Related papers: High-frequency dynamics of the implied volatility …
Multivariate Hawkes processes are commonly used to model streaming networked event data in a wide variety of applications. However, it remains a challenge to extract reliable inference from complex datasets with uncertainty quantification.…
Predicting volatility is important for asset predicting, option pricing and hedging strategies because it cannot be directly observed in the financial market. The Black-Scholes option pricing model is one of the most widely used models by…
Wrinkling instabilities of thin elastic sheets can be used to generate periodic structures over a wide range of length scales. Viscosity of the thin elastic sheet or its surrounding medium has been shown to be responsible for dynamic…
We introduce a new non parametric method that allows for a direct, fast and efficient estimation of the matrix of kernel norms of a multivariate Hawkes process, also called branching ratio matrix. We demonstrate the capabilities of this…
Periodic travelling waves at the free surface of an incompressible inviscid fluid in two dimensions under gravity are numerically computed for an arbitrary vorticity distribution. The fluid domain over one period is conformally mapped from…
Thanks to the access to labeled orders on the Cac40 index future provided by Euronext, we are able to quantify market participants contributions to the volatility in the diffusive limit. To achieve this result we leverage the branching…
Hawkes Processes are a type of point process for modeling self-excitation, i.e., when the occurrence of an event makes future events more likely to occur. The corresponding self-triggering function of this type of process may be inferred…
Wave phenomena in vibrofluidized dry and partially wet granular materials confined in a quasi-two-dimensional geometry are investigated with numerical simulations considering individual particles as hard spheres. Short ranged cohesive…
Relating microstructure to properties, electromagnetic, mechanical, thermal and their couplings has been a major focus of mechanics, physics and materials science. The majority of the literature focuses on deriving homogenized constitutive…
The small-scale velocity gradient is connected to fundamental properties of turbulence at the large scales. By neglecting the viscous and nonlocal pressure Hessian terms, we derive a restricted Euler model for the turbulent flow along an…
Asymptotic behaviour of eigenvalues and eigenfunctions of a stiff problem is described in the case of the fourth-order ordinary differential operator. Considering the stiffness coefficient that depends on a small parameter epsilon and…
Targeting a better understanding of credit market dynamics, the authors have studied a stochastic model named the Hawkes process. Describing trades arrival times, this kind of model allows for the capture of self-excitement and mutual…
The skew stickiness ratio is a statistic that captures the joint dynamics of an asset price and its volatility. We derive a representation formula for this quantity using the It\^o-Wentzell and Clark-Ocone formulae, and we apply it to…
We report the quantitative experimental observation of the weak inertial-wave turbulence regime of rotating turbulence. We produce a statistically steady homogeneous turbulent flow that consists of nonlinearly interacting inertial waves,…
The paper tackles the problem of deriving a topological structure among stock prices from high frequency historical values. Similar studies using low frequency data have already provided valuable insights. However, in those cases data need…
Wave steepness is a key geometric variable for describing breaking occurrence and its consequences, including energy dissipation and air entrainment. Using three laboratory campaigns under varying spectral conditions and co-flowing wind…
Point processes are widely used statistical models for continuous-time discrete event data, such as medical records, crime reports, and social network interactions, to capture the influence of historical events on future occurrences. In…
We present local numerical models of accretion disk turbulence driven by the magnetorotational instability with varying shear rate. The resulting turbulent stresses are compared with predictions of a closure model in which triple…
The article demonstrates that the internal circulation velocity and patterns in sessile droplets on superhydrophobic surfaces is governed by the surface curvature. Particle Image Velocimetry reveals that increasing convexity deteriorates…
Euler's equations govern the behavior of gravity waves on the surface of an incompressible, inviscid, and irrotational fluid of arbitrary depth. We investigate the spectral stability of sufficiently small-amplitude, one-dimensional Stokes…