Related papers: Realized cumulants for martingales
We develop a general multivariate aggregation property which encompasses the distinct versions of the property that were introduced by Neuberger [2012] and Bondarenko [2014] independently. This way, we classify new types of model-free…
This work is concerned with forest and cumulant type expansions of general random variables on a filtered probability spaces. We establish a "broken exponential martingale" expansion that generalizes and unifies the exponentiation result of…
The paper presents several combinatorial properties of the boolean cumulants. A corollary is a new proof of the multiplicative property of the boolean cumulant series that can be easily adapted for the case of boolean independence with…
We propose a recursive method for the computation of the cumulants of self-exciting point processes of Hawkes type, based on standard combinatorial tools such as Bell polynomials. This closed-form approach is easier to implement on…
The recent empirical work of Amaya et al. (2015) has pointed out that the realized skewness, which is the sample skewness of intraday high-frequency returns of a financial asset, serves as forecasting future returns in the cross-section.…
Set partitions and permutations with restrictions on the size of the blocks and cycles are important combinatorial sequences. Counting these objects lead to the sequences generalizing the classical Stirling and Bell numbers. The main focus…
We prove results concerning the representation of a given distribution by means of a given random quantity. The existence of a solution to this problem is related to the notion of conglomerability, originally introduced by Dubins to study…
We consider implied volatilities in asset pricing models, where the discounted underlying is a strict local martingale under the pricing measure. Our main result gives an asymptotic expansion of the right wing of the implied volatility…
Lions and Musiela (2007) give sufficient conditions to verify when a stochastic exponential of a continuous local martingale is a martingale or a uniformly integrable martingale. Blei and Engelbert (2009) and Mijatovi\'c and Urusov (2012c)…
We provide a set of probabilistic laws for estimating the quadratic variation of continuous semimartingales with realized range-based variance -- a statistic that replaces every squared return of realized variance with a normalized squared…
We present definitions for real and quaternionic second-order free cumulants, functions whose collective vanshing when applied to elements from different subalgebras is equivalent to the second-order real (resp.\ quaternionic) freeness of…
Realized moments of higher order computed from intraday returns are introduced in recent years. The literature indicates that realized skewness is an important factor in explaining future asset returns. However, the literature mainly…
The generating function of the cumulants in random matrix models, as well as the cumulants themselves, can be expanded as asymptotic (divergent) series indexed by maps. While at fixed genus the sums over maps converge, the sums over genera…
We give a collection of explicit sufficient conditions for the true martingale property of a wide class of exponentials of semimartingales. We express the conditions in terms of semimartingale characteristics. This turns out to be very…
In this paper we construct cumulants for stable random matrix models with single trace interactions of arbitrarily high even order. We obtain explicit and convergent expansions for it and we prove that it is an analytic function inside a…
The classic model of computable randomness considers martingales that take real or rational values. Recent work by Bienvenu et al. (2012) and Teutsch (2014) shows that fundamental features of the classic model change when the martingales…
We develop further the recently proposed event-by-event cumulants of azimuthal angles. The role of reflection symmetry, permutation symmetry, frame independence, and relabeling of particle indices in the cumulant expansion is discussed in…
The survey is dedicated to a celebrated series of quantitave results, developed by the Lithuanian school of probability, on the normal approximation for a real-valued random variable. The key ingredient is a bound on cumulants of the type…
Realizability notions in mathematical logic have a long history, which can be traced back to the work of Stephen Kleene in the 1940s, aimed at exploring the foundations of intuitionistic logic. Kleene's initial realizability laid the ground…
Biggins [Uniform convergence of martingales in the branching random walk. {\em Ann. Probab.}, 20(1):137--151, 1992] proved local uniform convergence of additive martingales in $d$-dimensional supercritical branching random walks at complex…