相关论文: Long-range memory model of trading activity and vo…

We demonstrate that the processes underlying on-line auction price bids and many other longitudinal data can be represented by an empirical first order stochastic ordinary differential equation with time-varying coefficients and a smooth…

A dynamic herding model with interactions of trading volumes is introduced. At time $t$, an agent trades with a probability, which depends on the ratio of the total trading volume at time $t-1$ to its own trading volume at its last trade.…

In order to simulate the complex phenomena manifested in stock markets, we introduce a continuous asynchronous model in which millions of individual traders interact through a central orders matching mechanism, just as it happens in real…

Stochastic storage models based on essentially non-Gaussian noise are considered. The stochastic description of physical systems based on stochastic storage models is associated with generalized Poisson (or shot) noise, in which the jump…

A quantity of interest to characterise continuous-valued stochastic processes is the differential entropy rate. The rate of convergence of many properties of LRD processes is slower than might be expected, based on the intuition for…

Stochastic processes with long memories, known as long memory processes, are ubiquitous in various science and engineering problems. Superposing Markovian stochastic processes generates a non-Markovian long memory process serving as…

An analytical study of the return time distribution of extreme events for stochastic processes with power-law correlation has been carried on. The calculation is based on an epsilon-expansion in the correlation exponent:…

This paper studies an input-driven one-state differential equation model initially developed for an experimentally demonstrated dynamic molecular switch that switches like synapses in the brain do. The linear-in-the-state and…

In the stochastic volatility models for multivariate daily stock returns, it has been found that the estimates of parameters become unstable as the dimension of returns increases. To solve this problem, we focus on the factor structure of…

In this paper, we introduce a new time series model having a stochastic exponential tail. This model is constructed based on the Normal Tempered Stable distribution with a time-varying parameter. The model captures the stochastic…

We address the problem of identifying functional interactions among stochastic neurons with variable-length memory from their spiking activity. The neuronal network is modeled by a stochastic system of interacting point processes with…

The paper models foreign capital inflow from the developed to the developing countries in a stochastic dynamic programming (SDP) framework. Under some regularity conditions, the existence of the solutions to the SDP problem is proved and…

Learning is based on synaptic plasticity, which affects and is driven by neural activity. Because pre- and postsynaptic spiking activity is shaped by randomness, the synaptic weights follow a stochastic process, requiring a probabilistic…

Recurrent boom-and-bust cycles are a salient feature of economic and financial history. Cycles found in the data are stochastic, often highly persistent, and span substantial fractions of the sample size. We refer to such cycles as "long".…

We study the statistical properties of volatility---a measure of how much the market is likely to fluctuate. We estimate the volatility by the local average of the absolute price changes. We analyze (a) the S&P 500 stock index for the…

We introduce time-inhomogeneous stochastic volatility models, in which the volatility is described by a nonnegative function of a Volterra type continuous Gaussian process that may have very rough sample paths. The main results obtained in…

In this paper, we introduce and analyze the fractional Barndorff-Nielsen and Shephard (BN-S) stochastic volatility model. The proposed model is based upon two desirable properties of the long-term variance process suggested by the empirical…

Scalar dynamic risk measures for univariate positions in continuous time are commonly represented as backward stochastic differential equations. In the multivariate setting, dynamic risk measures have been defined and studied as families of…

Continuous-time event data are common in applications such as individual behavior data, financial transactions, and medical health records. Modeling such data can be very challenging, in particular for applications with many different types…

In this paper we perform robustness and sensitivity analysis of several continuous-time stochastic volatility (SV) models with respect to the process of market calibration. The analyses should validate the hypothesis on importance of the…