相关论文: Financial Application of Extended Residual Coheren…

In this paper, we first propose a new extended mixture model of residual lifetime distributions. We show that this model is suitable in modeling residual lifetime in some practical situations. Several closure properties of some well-known…

This research presents a novel approach to predicting option movements by analyzing residual transactions, which are trades that deviate from standard hedging activities. Unlike traditional methods that primarily focus on open interest and…

In this paper, we introduce quantile coherency to measure general dependence structures emerging in the joint distribution in the frequency domain and argue that this type of dependence is natural for economic time series but remains…

Financial transactions constitute connections between entities and through these connections a large scale heterogeneous weighted graph is formulated. In this labyrinth of interactions that are continuously updated, there exists a variety…

The last decade has witnessed a number of important and exciting developments that had been achieved for improving recurrence plot based data analysis and to widen its application potential. We will give a brief overview about important and…

We review old and new uses of exchangeability, emphasizing the general theme of exchangeable representations of complex random structures. Illustrations of this theme include processes of stochastic coalescence and fragmentation; continuum…

Multivariate spatial field data are increasingly common and whose modeling typically relies on building cross-covariance functions to describe cross-process relationships. An alternative viewpoint is to model the matrix of spectral…

We review the state of the art of clustering financial time series and the study of their correlations alongside other interaction networks. The aim of this review is to gather in one place the relevant material from different fields, e.g.…

Multifractality is ubiquitously observed in complex natural and socioeconomic systems. Multifractal analysis provides powerful tools to understand the complex nonlinear nature of time series in diverse fields. Inspired by its striking…

The goal of this article is to understand some interesting features of sequences of arbitrage operations, which look relevant to various processes in Economics and Finances. In the second part of the paper, analysis of sequences of…

Symbolic regression (SR) aims to discover explicit mathematical expressions that explain observed data and is widely used in domains where interpretability is essential. Because interpretability requires expressions to reflect meaningful…

Recent developments in deep learning techniques have motivated intensive research in machine learning-aided stock trading strategies. However, since the financial market has a highly non-stationary nature hindering the application of…

This work introduces a novel, simple, and flexible method to quantify irreversibility in generic high-dimensional time series based on the well-known mapping to a binary classification problem. Our approach utilizes gradient boosting for…

Extended persistence is a technique from topological data analysis to obtain global multiscale topological information from a graph. This includes information about connected components and cycles that are captured by the so-called…

In real-world Information Retrieval (IR) experiments, the Evaluation Environment (EE) is exposed to constant change. Documents are added, removed, or updated, and the information need and the search behavior of users is evolving.…

In dealing with high-dimensional data sets, factor models are often useful for dimension reduction. The estimation of factor models has been actively studied in various fields. In the first part of this paper, we present a new approach to…

Recurrence is a fundamental property of dynamical systems, which can be exploited to characterise the system's behaviour in phase space. A powerful tool for their visualisation and analysis called recurrence plot was introduced in the late…

Recommender Systems have proliferated as general-purpose approaches to model a wide variety of consumer interaction data. Specific instances make use of signals ranging from user feedback, item relationships, geographic locality, social…

Agents' heterogeneity is recognized as a driver mechanism for the persistence of financial volatility. We focus on the multiplicity of investment strategies' horizons, we embed this concept in a continuous time stochastic volatility…

The Coherent Multiplex is formalized and validated as a scalable, real-time system for identifying, analyzing, and visualizing coherence among multiple time series. Its architecture comprises a fast spectral similarity layer based on cosine…