Related papers: Dynamics of Interest Rate Curve by Functional Auto…

We develop a framework especially suited to the autocorrelation properties observed in financial times series, by borrowing from the physical picture of turbulence. The success of our approach as applied to high frequency foreign exchange…

The aim of this paper is to propose a new methodology that allows forecasting, through Vasicek and CIR models, of future expected interest rates (for each maturity) based on rolling windows from observed financial market data. The novelty,…

The study of the dynamic behavior of cross-sectional ranks over time for functional data and the ranks of the observed curves at each time point and their temporal evolution can yield valuable insights into the time dynamics of functional…

Vector autoregressive (VAR) models are widely used in practical studies, e.g., forecasting, modelling policy transmission mechanism, and measuring connection of economic agents. To better capture the dynamics, this paper introduces a new…

New fast estimation methods stemming from control theory lead to a fresh look at time series, which bears some resemblance to "technical analysis". The results are applied to a typical object of financial engineering, namely the forecast of…

The Secured Overnight Funding Rate (SOFR) is becoming the main Risk-Free Rate benchmark in US dollars, thus interest rate term structure models need to be updated to reflect the key features exhibited by the dynamics of SOFR and the forward…

Accurate forecasting of zero coupon bond yields for a continuum of maturities is paramount to bond portfolio management and derivative security pricing. Yet a universal model for yield curve forecasting has been elusive, and prior attempts…

The Foreign Exchange market is a significant market for speculators, characterized by substantial transaction volumes and high volatility. Accurately predicting the directional movement of currency pairs is essential for formulating a sound…

We study the local volatility function in the Foreign Exchange market where both domestic and foreign interest rates are stochastic. This model is suitable to price long-dated FX derivatives. We derive the local volatility function and…

This article is an extension of the work of one of us (Coopersmith, 2011) in deriving the relationship between certain interest rates and the inflation rate of a two component economic system. We use the well-known Fisher relation between…

We study additive function-on-function regression where the mean response at a particular time point depends on the time point itself as well as the entire covariate trajectory. We develop a computationally efficient estimation methodology…

This paper reports empirical evidence that a neural networks model is applicable to the statistically reliable prediction of foreign exchange rates. Time series data and technical indicators such as moving average, are fed to neural nets to…

While machine learning has revolutionized many fields such as natural language processing (NLP) and computer vision, its impact on time-series forecasting is still widely disputed, especially in the finance domain. This paper compares…

The article is concerned with the problem of multi-step financial time series forecasting of Foreign Exchange (FX) rates. To address this problem, we introduce a regression network termed RegPred Net. The exchange rate to forecast is…

Human drivers produce a vast amount of data which could, in principle, be used to improve autonomous driving systems. Unfortunately, seemingly straightforward approaches for creating end-to-end driving models that map sensor data directly…

Automated driving systems require monitoring mechanisms to ensure safe operation, especially if system components degrade or fail. Their runtime self-representation plays a key role as it provides a-priori knowledge about the system's…

We consider the recursive estimation of a regression functional where the explanatory variables take values in some functional space. We prove the almost sure convergence of such estimates for dependent functional data. Also we derive the…

As with classic statistics, functional regression models are invaluable in the analysis of functional data. While there are now extensive tools with accompanying theory available for linear models, there is still a great deal of work to be…

We price European options in a class of models in which the volatility of the underlying risky asset depends on the short rate of interest. Our study results in an explicit pricing formula that depends on knowledge of a characteristic…

This paper seeks to forecast intraday volatility curves for major foreign exchange (FX) currencies using functional GARCH models. Intraday return curves are observed at a daily frequency, yet preserve the full high-frequency trading…