相关论文: Short term prediction of extreme returns based on …

Rare events refer to qualitatively unlikely events whose realization can nevertheless have important consequences. Typically, the prediction of the kinetics of these events relies on Arrhenius laws, with exponentially distributed waiting…

Real-time probability forecasts for binary outcomes are routine in sports, online experimentation, medicine, and finance. Retrospective narratives, however, often hinge on pathwise extremes: for example, a forecast that becomes "90%…

The Extremal Index is a parameter that measures the intensity of clustering of rare events and is usually equal to the reciprocal of the mean of the limiting cluster size distribution. We show how to build dynamically generated stochastic…

Extreme event attribution characterizes how anthropogenic climate change may have influenced the probability and magnitude of selected individual extreme weather and climate events. Attribution statements often involve quantification of the…

Inverse statistics in economics is considered. We argue that the natural candidate for such statistics is the investment horizons distribution. This distribution of waiting times needed to achieve a predefined level of return is obtained…

Financial markets across all asset classes are known to exhibit trends. These trends have been exploited by traders for decades. Here, we empirically measure when trends revert, based on 30 years of daily futures prices for equity indices,…

Risk management is particularly concerned with extreme events, but analysing these events is often hindered by the scarcity of data, especially in a multivariate context. This data scarcity complicates risk management efforts. Various tools…

We establish new results for estimation and inference in financial durations models, where events are observed over a given time span, such as a trading day, or a week. For the classical autoregressive conditional duration (ACD) models by…

The study of long-horizon returns has received a great deal of attention in recent years (see, for example, Boudoukh, Richardson, and Whitelaw (2008), Neuberger (2012) and Lee (2013), Fama and French (2018)). While most of the discussions…

The processes of the averaged regression quantiles and of their modifications provide useful tools in the regression models when the covariates are not fully under our control. As an application we mention the probabilistic risk assessment…

We introduce a new regression method that relates the mean of an outcome variable to covariates, under the "adverse condition" that a distress variable falls in its tail. This allows to tailor classical mean regressions to adverse…

Extreme events have an important role which is sometime catastrophic in a variety of natural phenomena including climate, earthquakes and turbulence, as well as in man-made environments like financial markets. Statistical analysis and…

Accurate estimation of the frequency and magnitude of successive extreme events in energy demand is critical for strategic resource planning. Traditional approaches based on extreme value theory (EVT) are typically limited to modelling…

When considering d possibly dependent random variables, one is often interested in extreme risk regions, with very small probability p. We consider risk regions of the form ${\mathbf{z}\in\mathbb{R}^d:f(\mathbf{z})\leq\beta}$, where f is…

Extreme value statistics provides accurate estimates for the small occurrence probabilities of rare events. While theory and statistical tools for univariate extremes are well-developed, methods for high-dimensional and complex data sets…

The average time between two occurrences of the same event, referred to as its return time (or return period), is a useful statistical concept for practical applications. For instance insurances or public agency may be interested by the…

We investigate the predictability of extreme events in time series. The focus of this work is to understand under which circumstances large events are better predictable than smaller events. Therefore we use a simple prediction algorithm…

For non-uniformly hyperbolic dynamical systems we consider the time series of maxima along typical orbits. Using ideas based upon quantitative recurrence time statistics we prove convergence of the maxima (under suitable normalization) to…

Verifying probabilistic forecasts for extreme events is a highly active research area because popular media and public opinions are naturally focused on extreme events, and biased conclusions are readily made. In this context, classical…

We study the statistical properties of the recurrence intervals $\tau$ between successive trading volumes exceeding a certain threshold $q$. The recurrence interval analysis is carried out for the 20 liquid Chinese stocks covering a period…