Related papers: A Dynamic Factor Model for Level and Volatility
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…
Dynamical systems, that are used to model power grids, the brain, and other physical systems, can exhibit coexisting stable states known as attractors. A powerful tool to understand such systems, as well as to better predict when they may…
High-dimensional multivariate longitudinal data, which arise when many outcome variables are measured repeatedly over time, are becoming increasingly common in social, behavioral and health sciences. We propose a latent variable model for…
Group-based reinforcement can induce discontinuous transitions from inactive to active phases in higher-order contagion models. However, these results are typically obtained on static interaction structures or within mean-field…
We introduce a model of temporal evolution of political opinions which amounts to a dynamical extension of Galam model in which the proportions of inflexibles are treated as dynamical variables. We find that the critical value of…
We introduce and analyze a model for the dynamics of flocking and steering of a finite number of agents. In this model, each agent's acceleration consists of flocking and steering components. The flocking component is a generalization of…
We present a macroeconomic agent-based model that combines several mechanisms operating at the same timescale, while remaining mathematically tractable. It comprises enterprises and workers who compete in a job market and a commodity goods…
This paper discusses desirable properties of forecasting models in production systems. It then develops a family of models which are designed to satisfy these properties: highly customizable to capture complex patterns; accommodates a large…
We study dynamic risk measures in a very general framework enabling to model uncertainty and processes with jumps. We previously showed the existence of a canonical equivalence class of probability measures hidden behind a given set of…
Dynamic network data have become ubiquitous in social network analysis, with new information becoming available that captures when friendships form, when corporate transactions happen and when countries interact with each other. Flexible…
We investigate the effects of cooperativity between contagion processes that spread and persist in a host population. We propose and analyze a dynamical model in which individuals that are affected by one transmissible agent $A$ exhibit a…
Individual risk models need to capture possible correlations as failing to do so typically results in an underestimation of extreme quantiles of the aggregate loss. Such dependence modelling is particularly important for managing credit…
Financial scenario simulation is essential for risk management and portfolio optimization, yet it remains challenging especially in high-dimensional and small data settings common in finance. We propose a diffusion factor model that…
We introduce and analyze several variants of a system of differential equations which model the dynamics of social outbursts, such as riots. The systems involve the coupling of an explicit variable representing the intensity of rioting…
Agent-based models provide a constructive approach to studying emergent dynamics in life-like systems composed of interacting, adaptive agents. Financial markets serve as a canonical example of such systems, where collective price dynamics…
Homophily and social influence are the fundamental mechanisms that drive the evolution of attitudes, beliefs and behaviour within social groups. Homophily relates the similarity between pairs of individuals' attitudinal states to their…
Dynamic factor models have a wide range of applications in econometrics and applied economics. The basic motivation resides in their capability of reducing a large set of time series to only few indicators (factors). If the number of time…
Single index financial market models cannot account for the empirically observed complex interactions between shares in a market. We describe a multi-share financial market model and compare characteristics of the volatility, that is the…
Factor analysis acts a pivotal role in enhancing maritime safety. Most previous studies conduct factor analysis within the framework of incident-related label prediction, where the developed models can be categorized into short-term and…
In this study, we develop a latent factor model for analysing high-dimensional binary data. Specifically, a standard probit model is used to describe the regression relationship between the observed binary data and the continuous latent…