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We propose a generic calibration framework to both vanilla and no-touch options for a large class of continuous semi-martingale models. The method builds upon the forward partial integro-differential equation (PIDE) derived in Hambly et al.…
The square-gradient density-functional model with triple-parabolic free energy, that was used previously to study the homogeneous bubble nucleation [J. Chem. Phys. 129, 104508 (2008)], is used to study the stability of the critical bubble…
We further study the stochastic model discussed in Ref.[2] in which positive and negative particles diffuse in an asymmetric, CP invariant way on a ring. The positive particles hop clockwise, the negative counter-clockwise and…
For earthquake-resistant design, engineering seismologists employ time-history analysis for nonlinear simulations. The nonstationary stochastic method previously developed by Pousse et al. (2006) has been updated. This method has the…
We analyze the accuracy and sample complexity of variational Monte Carlo approaches to simulate the dynamics of many-body quantum systems classically. By systematically studying the relevant stochastic estimators, we are able to: (i) prove…
We propose using a permutation test to detect discontinuities in an underlying economic model at a known cutoff point. Relative to the existing literature, we show that this test is well suited for event studies based on time-series data.…
The usage of a spot volatility estimate based on a volatility decomposition in a time-changed price-model according to the trading times is investigated. In this model clock-time volatility splits up into the product of tick-time volatility…
We investigate large changes, bursts, of the continuous stochastic signals, when the exponent of multiplicativity is higher than one. Earlier we have proposed a general nonlinear stochastic model which can be transformed into Bessel process…
It is well known that the solutions to the non-viscous Burgers equation develop a gradient catastrophe at a critical time provided the initial data have a negative derivative in certain points. We consider this equation assuming that the…
The drift burst hypothesis postulates the existence of short-lived locally explosive trends in the price paths of financial assets. The recent U.S. equity and treasury flash crashes can be viewed as two high-profile manifestations of such…
We propose a nonparametric procedure to test for changes in correlation matrices at an unknown point in time. The new test requires only mild assumptions on the serial dependence structure and has considerable power in finite samples. We…
We develop a new tool, the time inhomogeneous Poisson equation in the whole space and with a terminal condition at infinity, to study the asymptotic behavior of the non-autonomous multi-scale stochastic system with irregular coefficients,…
In this paper, we first investigate the estimation of the empirical joint Laplace transform of volatilities of two semi-martingales within a fixed time interval [0, T] by using overlapped increments of high-frequency data. The proposed…
This work develops change-point methods for statistics of high-frequency data. The main interest is in the volatility of an It\^{o} semi-martingale, the latter being discretely observed over a fixed time horizon. We construct a…
We consider a model in which positive and negative particles diffuse in an asymmetric, CP-invariant way on a ring. The positive particles hop clockwise, the negative counterclockwise and oppositely-charged adjacent particles may swap…
Time crystals are quantum many-body systems which are able to self-organize their motion in a periodic way in time. Discrete time crystals have been experimentally demonstrated in spin systems. However, the first idea of spontaneous…
The phenomenon of solidification of a substance from its liquid phase is of the greatest practical and theoretical importance, and atomistic simulations can provide precious information towards its understanding and control. Unfortunately,…
We present a new methodology and accompanying theory to test for separability of spatio-temporal functional data. In spatio-temporal statistics, separability is a common simplifying assumption concerning the covariance structure which, if…
In the prototype sandpile model of self-organized criticality time series obtained by decomposing avalanches into waves of toppling show intermittent fluctuations. The q-th moments of wave size differences possess local multiscaling and…
We propose an informal test for stationarity in a time series which checks for the compatibility of nonlinear approximations to the dynamics made in different segments of the sequence. The segments are compared directly, rather than via…