Related papers: Estimation errors of the Sharpe ratio for long-mem…
We consider Stochastic Volatility processes with heavy tails and possible long memory in volatility. We study the limiting conditional distribution of future events given that some present or past event was extreme (i.e. above a level which…
We consider the problem of inferring latent stochastic differential equations (SDEs) with a time and memory cost that scales independently with the amount of data, the total length of the time series, and the stiffness of the approximate…
The SHAP (short for Shapley additive explanation) framework has become an essential tool for attributing importance to variables in predictive tasks. In model-agnostic settings, SHAP uses the concept of Shapley values from cooperative game…
The Lasso is one of the most important approaches for parameter estimation and variable selection in high dimensional linear regression. At the heart of its success is the attractive rate of convergence result even when $p$, the dimension…
We study how the Shannon entropy of sequences produced by an information source converges to the source's entropy rate. We synthesize several phenomenological approaches to applying information theoretic measures of randomness and memory to…
We use multi-class machine learning classifiers to identify the stocks that outperform or underperform other stocks. The resulting long-short portfolios achieve annual Sharpe ratios of 1.67 (value-weighted) and 3.35 (equal-weighted), with…
A general rate estimation method is proposed that is based on studying the in-sample evolution of appropriately chosen diverging/converging statistics. The proposed rate estimators are based on simple least squares arguments, and are shown…
Our primary aim is to find an estimate of the expected shortfall in various situations: (1) Nonparametric situation, when the probability distribution of the incurred loss is unknown, only satisfying some general conditions. Then, following…
Freidlin-Wentzell theory of large deviations can be used to compute the likelihood of extreme or rare events in stochastic dynamical systems via the solution of an optimization problem. The approach gives exponential estimates that often…
The aim of this paper is to describe a new an integrated methodology for project control under uncertainty. This proposal is based on Earned Value Methodology and risk analysis and presents several refinements to previous methodologies.…
Shuffled linear regression (SLR) seeks to estimate latent features through a linear transformation, complicated by unknown permutations in the measurement dimensions. This problem extends traditional least-squares (LS) and Least Absolute…
The analysis of irregularly sampled time series remains a challenging task requiring methods that account for continuous and abrupt changes of sampling resolution without introducing additional biases. The edit-distance is an effective…
We present a large scale benchmark of modern deep learning architectures for a financial time series prediction and position sizing task, with a primary focus on Sharpe ratio optimization. Evaluating linear models, recurrent networks,…
Spectral estimation is an important tool in time series analysis, with applications including economics, astronomy, and climatology. The asymptotic theory for non-parametric estimation is well-known but the development of non-asymptotic…
Recent works have shown an interest in investigating the frequentist asymptotic properties of Bayesian procedures for high-dimensional linear models under sparsity constraints. However, there exists a gap in the literature regarding…
We study the parameter estimation method for linear regression models with possibly skewed stable distributed errors. Our estimation procedure consists of two stages: first, for the regression coefficients, the Cauchy quasi-maximum…
This paper models stochastic process of price time series of CSI 300 index in Chinese financial market, analyzes volatility characteristics of intraday high-frequency price data. In the new generalized Barndorff-Nielsen and Shephard model,…
A well-interpretable measure of information has been recently proposed based on a partition obtained by intersecting a random sequence with its moving average. The partition yields disjoint sets of the sequence, which are then ranked…
Large sectors of the recent optimization literature focused in the last decade on the development of optimal stochastic first order schemes for constrained convex models under progressively relaxed assumptions. Stochastic proximal point is…
Statistical inference for stochastic processes based on high-frequency observations has been an active research area for more than a decade. One of the most well-known and widely studied problems is that of estimation of the quadratic…