Related papers: General framework for a portfolio theory with non-…
There is convincing evidence showing that the probability distributions of stock returns in mature markets exhibit power-law tails and both the positive and negative tails conform to the inverse cubic law. It supports the possibility that…
I report a new statistical distribution formulated to confront the infamous, long-standing, computational/modeling challenge presented by highly skewed and/or leptokurtic ("fat- or heavy-tailed") data. The distribution is straightforward,…
We introduce a general class of continuous univariate distributions with positive support obtained by transforming the class of two-piece distributions. We show that this class of distributions is very flexible, easy to implement, and…
In this paper, we study the evolution of iterated equilibrium distributions for the Gamma and Weibull families of distributions as the iteration step increases. We characterize their moments and the pointwise limit of the distribution…
We present a simple method to quantitatively capture the heterogeneity in the degree distribution of a network graph using a single parameter $\sigma$. Using an exponential transformation of the shape parameter of the Weibull distribution,…
The behavior of stock market returns over a period of 1-60 days has been investigated for S&P 500 and Nasdaq within the framework of nonextensive Tsallis statistics. Even for such long terms, the distributions of the returns are…
We study the problem of active portfolio management where an investor aims to outperform a benchmark strategy's risk profile while not deviating too far from it. Specifically, an investor considers alternative strategies whose terminal…
The aim of the present work is to investigate the performances of a specific Bayesian control chart used to compare two processes. The chart monitors the ratio of the percentiles of a key characteristic associated with the processes. The…
Understanding variable dependence, particularly eliciting their statistical properties given a set of covariates, provides the mathematical foundation in practical operations management such as risk analysis and decision-making given…
Possible distributions are discussed for intertrade durations and first-passage processes in financial markets. The view-point of renewal theory is assumed. In order to represent market data with relatively long durations, two types of…
In this paper we study a broad class of distribution functions which is defined by means of reflected generalized beta distribution. This class includes that of Beta-generated distribution as a special case. In particular, we use this class…
In order to properly manage risk, practitioners must understand the aggregate risks they are exposed to. Additionally, to properly price policies and calculate bonuses the relative riskiness of individual business units must be well…
Compared to mean regression and quantile regression, the literature on modal regression is very sparse. A unifying framework for Bayesian modal regression is proposed, based on a family of unimodal distributions indexed by the mode, along…
The distribution of intertrade durations, defined as the waiting times between two consecutive transactions, is investigated based upon the limit order book data of 23 liquid Chinese stocks listed on the Shenzhen Stock Exchange in the whole…
The presence of non linear instruments is responsible for the emergence of non Gaussian features in the price changes distribution of realistic portfolios, even for Normally distributed risk factors. This is especially true for the…
Let $X_{\lambda_1}, \ldots , X_{\lambda_n}$ be independent non-negative random variables belong to the transmuted-G model and let $Y_i=I_{p_i} X_{\lambda_i}$, $i=1,\ldots,n$, where $I_{p_1}, \ldots, I_{p_n}$ are independent Bernoulli random…
This paper introduces studies on exponentaited generalized Weibull Gompertz distribution EGWGD which generalizes a lot of distributions. Several properties of the EGWGD such as reversed (hazard) function, moments, maximum likelihood…
We analyze correlations among stock returns via a series of widely adopted parameters which we refer to as explanatory variables. We subsequently exploit the results to propose a long only quantitative adaptive technique to construct a…
Over the past two decades, shrinkage priors have become increasingly popular, and many proposals can be found in the literature. These priors aim to shrink small effects to zero while maintaining true large effects. Horseshoe-type priors…
Heavy-tailed probability distributions are extremely useful and play a crucial role in modeling different types of financial data sets. This study presents a two-pronged methodology. First, a mixture probability distribution is created by…