相关论文: Realized cumulants for martingales
We introduce a novel generalization of deranged Bell numbers by defining the partial deranged Bell numbers $w_{n,r}$, which count the number of set partitions of $\left[ n\right] $ with exactly $r$ fixed blocks, while the remaining blocks…
We develop a new approach to prove multiplier theorems in various geometric settings. The main idea is to use martingale transforms and a Gundy-Varopoulos representation for multipliers defined via a suitable extension procedure. Along the…
We study the joint laws of a continuous, uniformly integrable martingale, its maximum, and its minimum. In particular, we give explicit martingale inequalities which provide upper and lower bounds on the joint exit probabilities of a…
We compute the exact asymptotics for the cumulants of linear statistics associated with the zeros counting measure of a large class of real Gaussian processes. Precisely, we show that if the underlying covariance function is regular and…
We prove new results on additive properties of finite sets $A$ with small multiplicative doubling $|AA|\leq M|A|$ in the category of real/complex sets as well as multiplicative subgroups in the prime residue field. The improvements are…
In order to improve forecasts, a decisionmaker often combines probabilities given by various sources, such as human experts and machine learning classifiers. When few training data are available, aggregation can be improved by incorporating…
Two acts are comonotonic if they yield high payoffs in the same states of nature. The main purpose of this paper is to derive a new characterization of Cumulative Prospect Theory (CPT) through simple properties involving comonotonicity. The…
We analyze and partially solve system of recurrences that can be derived from the properties of martingale orthogonal polynomials that characterize quadratic harnesses (QH). We also specify conditions for the existence of moments of one…
The multinomial probit model is a typical statistical model for multiple-choice data applied in many research areas. When we are interested in some quantiles of relative utilities for understanding the distribution of these utilities, the…
The main purpose of this paper is to give a vector lattice version of a Theorem by Burkholder about convergence of martingales. The proof is based on a vector lattice analogue of Austin's sample function theorem, proved recently by Grobler,…
While many questions in robust finance can be posed in the martingale optimal transport framework or its weak extension, others like the subreplication price of VIX futures, the robust pricing of American options or the construction of…
Using the sample produced by the AMPT default model, we construct a corresponding mixed sample by the method of mixed events. The mixed sample provides an effective estimation for non-critical fluctuations which are caused by global and…
Continuity of the value of the martingale optimal transport problem on the real line w.r.t. its marginals was recently established in Backhoff-Veraguas and Pammer [2] and Wiesel [21]. We present a new perspective of this result using the…
I provide a novel approach to characterizing the set of interim realizable allocations, in the spirit of Matthews (1984) and Border (1991). The approach allows me to identify precisely why exact characterizations are difficult to obtain in…
To take sample biases and skewness in the observations into account, practitioners frequently weight their observations according to some marginal distribution. The present paper demonstrates that such weighting can indeed improve the…
The article presents mathematical generalization of results which originated as solutions of practical problems, in particular, the modeling of transitional processes in electrical circuits and problems of resource allocation. However, the…
In this paper, by the generalized Bell umbra and Rolle's theorem, we give some results on the real rootedness of polynomials. Some applications on partition polynomials and the sigma polynomials of graphs are given.
A collection of quantile curves provides a complete picture of conditional distributions. Properly centered and scaled versions of estimated curves at various quantile levels give rise to the so-called quantile regression process (QRP). In…
We study the continuity properties of a generalized Davenport Fourier expansion we recently discovered, by imposing conditions on the coefficients. We also put our expansion into perspective from the position of Appell sequences.
In this paper, we propose a new jump robust quantile-based realised variance measure of ex-post return variation that can be computed using potentially noisy data. The estimator is consistent for the integrated variance and we present…