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We identify string corrections to the EM memory effect. Though largely negligible in the low-energy limit, the effect become relevant in high-energy collisions and in extreme events. We illustrate our findings in a simple unoriented bosonic…
The hypothesis that committed revolving credit lines with fixed spreads can provide firms with interest rate insurance is a standard feature of models on these credit facilities' interest rate structure. Nevertheless, this hypothesis has…
This paper proposes an empirical method to implement the recentered influence function (RIF) regression of Firpo, Fortin and Lemieux (2009), a relevant method to study the effect of covariates on many statistics beyond the mean. In…
Empirical risk minimization (ERM) is a fundamental learning rule for statistical learning problems where the data is generated according to some unknown distribution $\mathsf{P}$ and returns a hypothesis $f$ chosen from a fixed class…
We revisit the long-only trend-following strategy presented in A Century of Profitable Industry Trends by Zarattini and Antonacci, which achieved exceptional historical performance with an 18.2% annualized return and a Sharpe Ratio of 1.39.…
We present the model-independent studies of non attractor inflation in the context of effective field theory (EFT) of inflation. Within the EFT approach two independent branches of non-attractor inflation solutions are discovered in which a…
An autoregressive model with a power-law type memory kernel is studied as a stochastic process that exhibits a self-affine-fractal-like behavior for a small time scale. We find numerically that the root-mean-square displacement for the time…
Forward regression is a statistical model selection and estimation procedure which inductively selects covariates that add predictive power into a working statistical regression model. Once a model is selected, unknown regression parameters…
Experiments show that when a monolayer of cells cultured on an elastic substrate is subject to a cyclic stretch, cells tend to re-orient either perpendicularly or at an oblique angle with respect to the main direction of the stretch. Due to…
The paper tests the validity of the critique of the fiscal theory of the price level. A stochastic general equilibrium model with continuous time is constructed. An active fiscal policy and a passive monetary policy have been set. Monetary…
The effect of the Gaussian curvature in the rigid string action on the interquark potential is investigated. The linearized equations of motion and boundary conditions, following from the modified string action, are obtained. The equation,…
We propose a stochastic volatility model for time series of curves. It is motivated by dynamics of intraday price curves that exhibit both between days dependence and intraday price evolution. The curves are suitably normalized to…
An average instantaneous cross-correlation function is introduced to quantify the interaction of the financial market of a specific time. Based on the daily data of the American and Chinese stock markets, memory effect of the average…
Recent works have shown an interest in investigating the frequentist asymptotic properties of Bayesian procedures for high-dimensional linear models under sparsity constraints. However, there exists a gap in the literature regarding…
We explore the effect of past market movements on the instantaneous correlations between assets within the futures market. Quantifying this effect is of interest to estimate and manage the risk associated to portfolios of futures in a…
We propose a function-on-function linear regression model for time-dependent curve data that is consistently estimated by imposing factor structures on the regressors. An integral operator based on cross-covariances identifies two…
In fixed income sector, the yield curve is probably the most observed indicator by the market for trading and fifinancing purposes. A yield curve plots interest rates across different contract maturities from short end to as long as 30…
Modelling how a shock propagates in a temporal network and how the system relaxes back to equilibrium is challenging but important in many applications, such as financial systemic risk. Most studies so far have focused on shocks hitting a…
In this brief review, we critically examine the recent work done on correlation-based networks in financial systems. The structure of empirical correlation matrices constructed from the financial market data changes as the individual stock…
In the LIBOR era, banks routinely tied revolving credit facilities to credit-sensitive benchmarks. This study assesses the Across-the-Curve Credit Spread Index (AXI) -- a transparent, transaction-based measure of wholesale bank funding…