Related papers: The Efficient Tail Hypothesis: An Extreme Value Pe…
Financial crises are a recurrent phenomenon with important effects on the real economy. The financial system is inherently fragile and it is therefore of great importance to be able to measure and characterize its systemic stability.…
In traditional extreme value analysis, the bulk of the data is ignored, and only the tails of the distribution are used for inference. Extreme observations are specified as values that exceed a threshold or as maximum values over distinct…
The statistical theory of extremes is extended to observations that are non-stationary and not independent. The non-stationarity over time and space is controlled via the scedasis (tail scale) in the marginal distributions. Spatial…
Attaining ultra-reliable communication (URC) in fifth-generation (5G) and beyond networks requires deriving statistics of channel in ultra-reliable region by modeling the extreme events. Extreme value theory (EVT) has been previously…
Considering that both the entropy-based market information and the Hurst exponent are useful tools for determining whether the efficient market hypothesis holds for a given asset, we study the link between the two approaches. We thus…
We model systemic risk using a common factor that accounts for market-wide shocks and a tail dependence factor that accounts for linkages among extreme stock returns. Specifically, our theoretical model allows for firm-specific impacts of…
This paper concerns estimation and inference for treatment effects in deep tails of the counterfactual distribution of unobservable potential outcomes corresponding to a continuously valued treatment. We consider two measures for the deep…
In this paper we discuss the problem of the estimation of extreme event occurrence probability for data drawn from some multifractal process. We also study the heavy (power-law) tail behavior of probability density function associated with…
This study examines the weak form of the efficient market hypothesis for Bitcoin using a feedforward neural network. Due to the increasing popularity of cryptocurrencies in recent years, the question has arisen, as to whether market…
We propose a set of dependence measures that are non-linear, local, invariant to a wide range of transformations on the marginals, can show tail and risk asymmetries, are always well-defined, are easy to estimate and can be used on any…
The efficiency of a modern economy depends on what we call the Value-Tracking Hypothesis: that market prices of key assets broadly track some underlying value. This can be expected if a sufficient weight of market participants are…
We give an overview of several aspects arising in the statistical analysis of extreme risks with actuarial applications in view. In particular it is demonstrated that empirical process theory is a very powerful tool, both for the asymptotic…
This paper aims to more effectively manage and mitigate stock market risks by accurately characterizing financial market returns and volatility. We enhance the Stochastic Volatility (SV) model by incorporating fat-tailed distributions and…
Effective field theories (EFT) parameterize the long-distance effects of short-distance dynamics whose details may or may not be known. It is known that EFT coefficients must obey certain positivity constraints if causality and unitarity…
A network evolution with predicted tail and extremal indices of PageRank and the Max-Linear Model used as node influence indices in random graphs is considered. The tail index shows a heaviness of the distribution tail. The extremal index…
This paper studies the topic of cost-efficiency in incomplete markets. A payoff is called cost-efficient if it achieves a given probability distribution at some given investment horizon with a minimum initial budget. Extensive literature…
Heavy tailed phenomena are naturally analyzed by extreme value statistics. A crucial step in such an analysis is the estimation of the extreme value index, which describes the tail heaviness of the underlying probability distribution. We…
Ecess-over-Threshold method is a crucial technique in extreme value analysis, which approximately models larger observations over a threshold using a Generalized Pareto Distribution. This paper presents a comprehensive framework for…
Prices in financial markets exhibit extreme jumps far more often than can be accounted for by external news. Further, magnitudes of price changes are correlated over long times. These so called stylized facts are quantified by scaling laws…
The risk of catastrophes is related to the possibility of occurring extreme values. Several statistical methodologies have been developed in order to evaluate the propensity of a process for the occurrence of high values and the permanence…