Related papers: The Three-Dimensional Decomposition of Volatility …
Stochastic systems with memory naturally appear in life science, economy, and finance. We take the modelling point of view of stochastic functional delay equations and we study these structures when the driving noises admit jumps. Our…
Scale-invariant avalanches -- with events of all sizes following power-law distributions -- are considered critical. Above the upper critical dimension of four, the mean-field solution with a robust $3/2$ size exponent describes the…
A three-dimensional round liquid jet within a low-speed coaxial gas flow is numerically simulated and explained via vortex dynamics ($\lambda_2$ method). The instabilities on the liquid-gas interface reflect well the vortex interactions…
In this paper, we relax the power parameter of instantaneous variance and develop a new stochastic volatility plus jumps model that generalize the Heston model and 3/2 model as special cases. This model has two distinctive features. First,…
We introduce the concept of volume term adaptivity for high-order discontinuous Galerkin (DG) schemes solving time-dependent partial differential equations. Termed v-adaptivity, we present a novel general approach that exchanges the…
Complex systems display variability over a broad range of spatial and temporal scales. Some scales are unresolved due to computational limitations. The impact of these unresolved scales on the resolved scales needs to be parameterized or…
This paper offers a new approach to modeling and forecasting of nonstationary time series with applications to volatility modeling for financial data. The approach is based on the assumption of local homogeneity: for every time point, there…
We fully generalize a previously-developed computational geometry tool [1] to perform large-scale simulations of arbitrary two-dimensional faceted surfaces $z = h(x,y)$. Our method uses a three-component facet/edge/junction storage model,…
We investigate the dynamics of triaxial collapse in terms of eigenvalues of the deformation tensor, the velocity derivative tensor and the gravity Hessian. Using the Bond-Myers model of ellipsoidal collapse, we derive a new set of equations…
Multistability is an extraordinary nonlinear property of dynamical systems and can be explored to implement memory and switches. Here we experimentally realize the tristability in a three-mode cavity magnonic system with Kerr nonlinearity.…
Time variation and persistence are crucial properties of volatility that are often studied separately in energy volatility forecasting models. Here, we propose a novel approach that allows shocks with heterogeneous persistence to vary…
Time-varying parameter vector autoregression provides a flexible framework to capture structural changes within time series. However, when applied to high-dimensional data, this model encounters challenges of over-parametrization and…
We show that the Realized GARCH model yields close-form expression for both the Volatility Index (VIX) and the volatility risk premium (VRP). The Realized GARCH model is driven by two shocks, a return shock and a volatility shock, and these…
A simple variational Lagrangian is proposed for the time development of an arbitrary density matrix, employing the "factorization" of the density. Only the "kinetic energy" appears in the Lagrangian. The formalism applies to pure and mixed…
This paper expands on stochastic volatility models by proposing a data-driven method to select the macroeconomic events most likely to impact volatility. The paper identifies and quantifies the effects of macroeconomic events across…
Four-dimensional state space geometry is worked out for the exactly solved one-dimensional spin-3/2 lattice with a Blume-Emery-Griffiths (BEG) Hamiltonian as well as a more general one with a term containing a non-zero field coupling to the…
This work is devoted to the study of modeling geophysical and financial time series. A class of volatility models with time-varying parameters is presented to forecast the volatility of time series in a stationary environment. The modeling…
This paper is devoted to the price-storage dynamics in natural gas markets. A novel stochastic path-dependent volatility model is introduced with path-dependence in both price volatility and storage increments. Model calibrations are…
Recently, it has been experimentally demonstrated that individual memory units coupled in certain topology can provide the intended performance. However, experimental or simulation based evaluation of different coupled memory topologies and…
In this paper we provide a comprehensive analysis of a structural model for the dynamics of prices of assets traded in a market originally proposed in [1]. The model takes the form of an interacting generalization of the geometric Brownian…