Related papers: An unbounded intensity model for point processes
This paper considers the problem of comparing two processes with panel data. A nonparametric test is proposed for detecting a monotone change in the link between the two process distributions. The test statistic is of CUSUM type, based on…
We present a new framework for modeling the statistical behavior of both fully developed turbulence and short-term dynamics of financial markets based on the nonextensive thermostatistics proposed by Tsallis. We also show that intermittency…
The reliability of processes with moving elastic and isotropic material containing initial cracks is considered in terms of fracture. The material is modelled as a moving plate which is simply supported from two of its sides and subjected…
We propose a new adequacy test and a graphical evaluation tool for nonlinear dynamic models. The proposed techniques can be applied in any setup where parametric conditional distribution of the data is specified, in particular to models…
We develop a behavioral model for liquidity and volatility based on empirical regularities in trading order flow in the London Stock Exchange. This can be viewed as a very simple agent based model in which all components of the model are…
Scattering moments provide nonparametric models of random processes with stationary increments. They are expected values of random variables computed with a nonexpansive operator, obtained by iteratively applying wavelet transforms and…
We investigate control of a non-linear process when communication and processing capabilities are limited. The sensor communicates with a controller node through an erasure channel which introduces i.i.d. packet dropouts. Processor…
Order placement tactics play a crucial role in high-frequency trading algorithms and their design is based on understanding the dynamics of the order book. Using high quality high-frequency data and a set of microstructural features, we…
In this paper, we analyze the asymptotic behavior of the point process of exceedances in a spatio-temporal setting whose points are given by the rescaled occurrence times, the sites and the rescaled values of exceedances. Here, the…
We propose a class of stochastic models for a dynamics of limit order book with different type of liquidities. Within this class of models we study the one where a spread decreases uniformly, belonging to the class of processes known as a…
The price clustering phenomenon manifesting itself as an increased occurrence of specific prices is widely observed and well-documented for various financial instruments and markets. In the literature, however, it is rarely incorporated…
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…
The stable-regenerative multiple-stable model has been shown recently to have distinct candidate extremal index and extremal index. To understand further this rare phenomenon, two more results are established here for the double-stable…
An exclusion particle model is considered as a highly simplified model of a limit order market. Its price behavior reproduces the well known crossover from over-diffusion (Hurst exponent H>1/2) to diffusion (H=1/2) when the time horizon is…
In environmental science applications, extreme events frequently exhibit a complex spatio-temporal structure, which is difficult to describe flexibly and estimate in a computationally efficient way using state-of-art parametric…
The model consists of a signal process $X$ which is a general Brownian diffusion process and an observation process $Y$, also a diffusion process, which is supposed to be correlated to the signal process. We suppose that the process $Y$ is…
Event of the same type occurring several times for one individual (recurrent events) are present in various domains (industrial systems reliability, episodes of unemployment, political conflicts, chronic diseases episodes). Analysis of such…
In a fixed time horizon, appropriately executing a large amount of a particular asset -- meaning a considerable portion of the volume traded within this frame -- is challenging. Especially for illiquid or even highly liquid but also highly…
The effects of model parameter uncertainty on traffic flow control problems have recently drawn research attention. While the uncertainty in fundamental diagram related parameters has been investigated in the past, few articles have focused…
Modern information systems are able to collect event data in the form of event logs. Process mining techniques allow to discover a model from event data, to check the conformance of an event log against a reference model, and to perform…