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We analyse the problem of stability of a continuous time linear switching system (LSS) versus the stability of its Euler discretization. It is well-known that the existence of a positive {\tau} for which the corresponding discrete time…
We analyse high-frequency realised volatility dynamics and spillovers in the bitcoin market, focusing on two pairs: bitcoin against the US dollar (the main fiat-crypto pair) and trading bitcoin against tether (the main crypto-crypto pair).…
A new classical TM stability simulation workflow has been developed that solves the resistive inner-layer equations in a plasma slab to yield a linear, quasi-toroidal TM growth rate $\gamma$ and mode rotation frequency $\omega$. This…
Vector autoregressive (VAR) models are widely used in practical studies, e.g., forecasting, modelling policy transmission mechanism, and measuring connection of economic agents. To better capture the dynamics, this paper introduces a new…
We propose a model in which dividend payments occur at regular, deterministic intervals in an otherwise continuous model. This contrasts traditional models where either the payment of continuous dividends is controlled or the dynamics are…
We study the high frequency price dynamics of traded stocks by a model of returns using a semi-Markov approach. More precisely we assume that the intraday return are described by a discrete time homogeneous semi-Markov process and the…
Predicting volatility in financial markets, including stocks, index ETFs, foreign exchange, and cryptocurrencies, remains a challenging task due to the inherent complexity and non-linear dynamics of these time series. In this study, I apply…
This paper introduces a novel approach to investigate the dynamics of state distributions, which accommodate both cross-sectional distributions of repeated panels and intra-period distributions of a time series observed at high frequency.…
T Tauri stars exhibit variability on all timescales, whose origin is still debated. On WTTS the variability is fairly simple and attributed to long-lived, ubiquitous cool spots. We investigate the long term variability of WTTS, extending up…
This study investigates the volatility of daily Bitcoin returns and multifractal properties of the Bitcoin market by employing the rolling window method and examines relationships between the volatility asymmetry and market efficiency.…
We study the stability of amorphous solids, focusing on the distribution P(x) of the local stress increase x that would lead to an instability. We argue that this distribution is singular P(x)x^{\theta}, where the exponent {\theta} is…
Maximum likelihood estimation applied to high-frequency data allows us to quantify intermittency in the fluctu- ations of asset prices. From time records as short as one month these methods permit extraction of a meaningful intermittency…
USDC and USDT are the dominant stablecoins pegged to \$1 with a total market capitalization of over \$300B and rising. Stablecoins make dollar value globally accessible with secure transfer and settlement. Yet in practice, these stablecoins…
To improve the efficient frontier of the classical mean-variance model in continuous time, we propose a varying terminal time mean-variance model with a constraint on the mean value of the portfolio asset, which moves with the varying…
Smooth transition autoregressive models are widely used to capture nonlinearities in univariate and multivariate time series. Existence of stationary solution is typically assumed, implicitly or explicitly. In this paper we describe…
In this paper, we propose a two-stage electricity market framework to explore the participation of distributed energy resources (DERs) in a day-ahead (DA) market and a real-time (RT) market. The objective is to determine the optimal bidding…
We develop a uniform test for detecting and dating explosive behavior of a strictly stationary GARCH$(r,s)$ (generalized autoregressive conditional heteroskedasticity) process. Namely, we test the null hypothesis of a globally stable GARCH…
We propose a new way of thinking about one parameter persistence. We believe topological persistence is fundamentally not about decomposition theorems but a central role is played by a choice of metrics. Choosing a pseudometric between…
This paper studies a recently proposed continuous-time distributed self-appraisal model with time-varying interactions among a network of $n$ individuals which are characterized by a sequence of time-varying relative interaction matrices.…
Mover-stayer models are used in social sciences and economics to model heterogeneous population dynamics in which some individuals never experience the event of interest ("stayers"), while others transition between states over time…