Related papers: Spectral Dynamics and Regularization for High-Dime…
Index tracking, also known as passive investing, has gained significant traction in financial markets due to its cost-effective and efficient approach to replicating the performance of a specific market index. This review paper provides a…
We establish the limiting spectral distribution of Kendall's correlation matrices in the moderate high-dimensional regime where the dimension grows slower than the sample size. Our framework allows observations to be independent but not…
This paper studies model selection consistency for high dimensional sparse regression when data exhibits both cross-sectional and serial dependency. Most commonly-used model selection methods fail to consistently recover the true model when…
While simulations have been utilized in diverse domains, such as urban growth modeling, market dynamics modeling, etc; some of these applications may require validations based upon some real-world observations modeled in the simulation, as…
Instabilities and pattern formation is the rule in nonequilibrium systems. Selection of a persistent lengthscale, or coarsening (increase of the lengthscale with time) are the two major alternatives. When and under which conditions one…
Understanding the dependence relationship of credit spreads of corporate bonds is important for risk management. Vine copula models with tail dependence are used to analyze a credit spread dataset of Chinese corporate bonds, understand the…
To disentangle the complex non-stationary dependence structure of precipitation extremes over the entire contiguous U.S., we propose a flexible local approach based on factor copula models. Our sub-asymptotic spatial modeling framework…
We propose a new matrix pencil based approach for design of state-feedback and output-feedback stabilizing controllers for a general class of uncertain nonlinear strict-feedback-like systems. While the dynamic controller structure is based…
We pose the estimation and predictability of stock market performance. Three cases are taken: US, Japan, Germany, the monthly index of the value of realized investment in stocks, prices plus the value of dividend payments (OECD data). Once…
The main focus of this work is to understand the dynamics of non regulated markets. The present model can describe the dynamics of any market where the pricing is based on supply and demand. It will be applied here, as an example, for the…
The Gaussian copula is a powerful tool that has been widely used to model spatial and/or temporal correlated data with arbitrary marginal distributions. However, this kind of model can potentially be too restrictive since it expresses a…
The dynamics of coupled 2D chaotic maps with time-delay on a scalefree-tree is studied, with different types of the collective behaviors already been reported for various values of coupling strength [1]. In this work we focus on the…
We develop a methodology for index tracking and risk exposure control using financial derivatives. Under a continuous-time diffusion framework for price evolution, we present a pathwise approach to construct dynamic portfolios of…
Models of complex dynamical systems like the Earth's climate often involve large numbers of uncertain parameters. Comprehensive exploration of the parameter space is typically prohibitive due to excessive computational costs. Systematic…
There are many natural, physical, and biological systems that exhibit multiple time scales. For example, the dynamics of a population of ticks can be described in continuous time during their individual life cycle yet discrete time is used…
A frequent task in exploratory data analysis consists in examining pairwise dependencies between data variables. Popular approaches include visualizing correlation or scatter plot matrices. However, both methods can be misleading. The…
We consider theories with time-dependent Hamiltonians which alternate between being bounded and unbounded from below. For appropriate frequencies dynamical stabilization can occur rendering the effective potential of the system stable. We…
Discrimination between non-stationarity and long-range dependency is a difficult and long-standing issue in modelling financial time series. This paper uses an adaptive spectral technique which jointly models the non-stationarity and…
The pricing of derivatives tied to baskets of assets demands a sophisticated framework that aligns with the available market information to capture the intricate non-linear dependency structure among the assets. We describe the dynamics of…
We propose a new procedure to monitor and forecast the onset of transitions in high dimensional complex systems. We describe our procedure by an application to the Tangled Nature model of evolutionary ecology. The quasi-stable…