Related papers: Revisiting Elastic String Models of Forward Intere…
Financial time series exhibit a number of interesting properties that are difficult to explain with simple models. These properties include fat-tails in the distribution of price fluctuations (or returns) that are slowly removed at longer…
We study, both analytically and numerically, an ARCH-like, multiscale model of volatility, which assumes that the volatility is governed by the observed past price changes on different time scales. With a power-law distribution of time…
We empirically analyze the reversion of financial market trends with time horizons ranging from minutes to decades. The analysis covers equities, interest rates, currencies and commodities and combines 14 years of futures tick data, 30…
This paper examines empirical methods for estimating the response of aggregated electricity demand to high-frequency price signals, the short-term elasticity of electricity demand. We investigate how the endogeneity of prices and the…
The Journal Impact Factor (IF), as a core indicator of academic evaluation, has not been systematically studied in relation to its historical evolution and global macroeconomic environment. This paper employs a period-based regression…
We present a family of models for the term structure of interest rates which describe the interest rate curve as a stochastic process in a Hilbert space. We start by decomposing the deformations of the term structure into the variations of…
Empirical rate-and-state friction laws are widely used in geophysics and engineering to simulate interface slip. They postulate that the friction coefficient depends on the local slip rate and a state variable that reflects the history of…
We analyze the price return distributions of currency exchange rates, cryptocurrencies, and contracts for differences (CFDs) representing stock indices, stock shares, and commodities. Based on recent data from the years 2017--2020, we model…
This paper introduces a novel stochastic model for credit spreads. The stochastic approach leverages the diffusion of default intensities via a CIR++ model and is formulated within a risk-neutral probability space. Our research primarily…
It will be discussed the statistics of the extreme values in time series characterized by finite-term correlations with non-exponential decay. Precisely, it will be considered the results of numerical analyses concerning the return…
The frequency response function (FRF) is an established way to describe the outcome of experiments in posture control literature. The FRF is an empirical transfer function between an input stimulus and the induced body segment sway profile,…
This is an old article which has never been posted for public use and which only appeard in a relatively hard-to-get Proceedings of the Sakharov Conference in Moscow (May, 1991). The subject of this article has received a lot of attention…
I introduce a high-dimensional Bayesian vector autoregressive (BVAR) framework designed to estimate the effects of conventional monetary policy shocks. The model captures structural shocks as latent factors, enabling computationally…
We study the dynamics of the linear and non-linear serial dependencies in financial time series in a rolling window framework. In particular, we focus on the detection of episodes of statistically significant two- and three-point…
The Convolution and Master equations governing the time behavior of the term structure of Interest Rates are set up both for continuous variables and for their discretised forms. The notion of Seed is introduced. The discretised theoretical…
The irreversibility of trajectories in stochastic dynamical systems is linked to the structure of their causal representation in terms of Bayesian networks. We consider stochastic maps resulting from a time discretization with interval \tau…
We present a systematic study of various statistical characteristics of high-frequency returns from the foreign exchange market. This study is based on six exchange rates forming two triangles: EUR-GBP-USD and GBP-CHF-JPY. It is shown that…
Networks of financial exposures are the key propagators of risk and distress among banks, but their empirical structure is not publicly available because of confidentiality. This limitation has triggered the development of methods of…
We analyse the dependence of stock return cross-correlations on the sampling frequency of the data known as the Epps effect: For high resolution data the cross-correlations are significantly smaller than their asymptotic value as observed…
Formal analysis of the emergent structural properties of dynamic networks is largely uncharted territory. We focus here on the properties of forward reachable sets (FRS) as a function of the underlying degree distribution and edge duration.…