相关论文: Mining Financial Data using Mixtures of Mirrored W…

Count data often exhibit overdispersion driven by heavy tails or excess zeros, making standard models (e.g., Poisson, negative binomial) insufficient for handling outlying observations. We propose a novel contaminated discrete Weibull (cDW)…

In this paper, we introduce a new bivariate distribution we called it bivariate expo- nentiated modified Weibull extension distribution (BEMWE). The model introduced here is of Marshall-Olkin type. The marginals of the new bivariate…

In this paper, a new bivariate discrete distribution is introduced which called bivariate discrete exponentiated Weibull (BDEW) distribution. Several of its mathematical statistical properties are derived such as the joint cumulative…

This paper is devoted to study a new three- parameters model called the Exponential Flexible Weibull extension (EFWE) distribution which exhibits bathtub-shaped hazard rate. Some of it's statistical properties are obtained including…

The realized GARCH framework is extended to incorporate the two-sided Weibull distribution, for the purpose of volatility and tail risk forecasting in a financial time series. Further, the realized range, as a competitor for realized…

Financial time series forecasting in zero-shot settings is critical for investment decisions, especially during abrupt market regime shifts or in emerging markets with limited historical data. While Model-Agnostic Meta-Learning (MAML)…

Heavy-tailed probability distributions are extremely useful and play a crucial role in modeling different types of financial data sets. This study presents a two-pronged methodology. First, a mixture probability distribution is created by…

The peculiar properties of the Inverse Weibull (IW) distribution are shown. It is proven that the IW distribution is one of the few models having upside- down bathtub (UBT) shaped hazard function. Three real and typical de generative…

Normal mean-variance mixture distributions are widely applied to simplify a model's implementation and improve their computational efficiency under the Maximum Likelihood (ML) approach. Especially for distributions with normal mean-variance…

A six parameter distribution so-called the McDonald modified Weibull distribution is defined and studied. The new distribution contains, as special submodels, several important distributions discussed in the literature, such as the beta…

In recent years, machine learning (ML) has brought effective approaches and novel techniques to economic decision, investment forecasting, and risk management, etc., coping the variable and intricate nature of economic and financial…

This study evaluates the effectiveness of a Mixture of Experts (MoE) model for stock price prediction by comparing it to a Recurrent Neural Network (RNN) and a linear regression model. The MoE framework combines an RNN for volatile stocks…

This paper introduces a new three-parameters model called the Weibull-G exponential distribution (WGED) distribution which exhibits bathtub-shaped hazard rate. Some of it's statistical properties are obtained including quantile, moments,…

A generalization of the generalized inverse Weibull distribution so-called transmuted generalized inverse Weibull dis- tribution is proposed and studied. We will use the quadratic rank transmutation map (QRTM) in order to generate a…

In this paper we propose a new stochastic model based on a generalization of semi-Markov chains to study the high frequency price dynamics of traded stocks. We assume that the financial returns are described by a weighted indexed…

In this paper, we propose a market model with returns assumed to follow a multivariate normal tempered stable distribution defined by a mixture of the multivariate normal distribution and the tempered stable subordinator. This distribution…

We introduce a new multivariate circular linear distribution suitable for modeling direction and speed in (multiple) animal movement data. To properly account for specific data features, such as heterogeneity and time dependence, a hidden…

In this paper, we introduce a new four-parameter generalization of the exponentiated Weibull (EW) distribution, called the exponentiated Weibull-logarithmic (EWL) distribution, which obtained by compounding EW and logarithmic distributions.…

This thesis evaluates most of the extreme mixture models and methods that have appended in the literature and implements them in the context of finance and insurance. The paper also reviews and studies extreme value theory, time series,…

One of the most important studies in finance is to find out whether stock returns could be predicted. This research aims to create a new multivariate model, which includes dividend yield, earnings-to-price ratio, book-to-market ratio as…