相关论文: The matrix rate of return

Phylogenetics uses alignments of molecular sequence data to learn about evolutionary trees. Substitutions in sequences are modelled through a continuous-time Markov process, characterised by an instantaneous rate matrix, which standard…

We derive the distribution of the ratio of a non-central mean matrix and a sample covariance matrix. This aligns with the confluent term ${}_1F_1$ in the non-central uni-variate Student's $t$. Some extensions of matrix-variate distributions…

Stochastic volatility models describe stock returns $r_t$ as driven by an unobserved process capturing the random dynamics of volatility $v_t$. The present paper quantifies how much information about volatility $v_t$ and future stock…

Consider a multinomial regression model where the response, which indicates a unit's membership in one of several possible unordered classes, is associated with a set of predictor variables. Such models typically involve a matrix of…

In this paper, we consider a discrete time economy where we assume that the short term interest rate follows a quadratic term structure of a regime switching asset process. The possible non-linear structure and the fact that the interest…

We study multiplicative nested sums, which are generalizations of harmonic sums, and provide a calculation through multiplication of index matrices. Special cases interpret the index matrices as stochastic transition matrices of random…

The article discusses a generalization of model of economic growth with constant pace, which takes into account the effects of dynamic memory. Memory means that endogenous or exogenous variable at a given time depends not only on their…

This paper presents a new parameter estimation algorithm for the adaptive control of a class of time-varying plants. The main feature of this algorithm is a matrix of time-varying learning rates, which enables parameter estimation error…

We price European options in a class of models in which the volatility of the underlying risky asset depends on the short rate of interest. Our study results in an explicit pricing formula that depends on knowledge of a characteristic…

We propose a definition of diversification as a binary relationship between financial portfolios. According to it, a convex linear combination of several risk positions with some weights is considered to be less risky than the probabilistic…

We consider the asymmetric random average process which is a one-dimensional stochastic lattice model with nearest neighbour interaction but continuous and unbounded state variables. First, the explicit functional representations, so-called…

For a rational function of several variables with nonnegative imaginary part on the upper poly-half-plane, the matrix representations are obtained.

We review our recent results on pseudo-hermitian random matrix theory which were hitherto presented in various conferences and talks. (Detailed accounts of our work will appear soon in separate publications.) Following an introduction of…

Pricing extremely long-dated liabilities market consistently deals with the decline in liquidity of financial instruments on long maturities. The aim is to quantify the uncertainty of rates up to maturities of a century. We assume that the…

The paper studies sub and super-replication price bounds for contingent claims defined on general trajectory based market models. No prior probabilistic or topological assumptions are placed on the trajectory space, trading is assumed to…

The conventional rounding error analysis provides worst-case bounds with an associated failure probability and ignores the statistical property of the rounding errors. In this paper, we develop a new statistical rounding error analysis for…

When individuals interact in groups, the evolution of cooperation is traditionally modeled using the framework of public goods games. These models often assume that the return of the public good depends linearly on the fraction of…

The valuation process that economic agents undergo for investments with uncertain payoff typically depends on their statistical views on possible future outcomes, their attitudes toward risk, and, of course, the payoff structure itself.…

This article introduces the notion of arbitrage for a situation involving a collection of investments and a payoff matrix describing the return to an investor of each investment under each of a set of possible scenarios. We explain the…

The network density matrix formalism allows for describing the dynamics of information on top of complex structures and it has been successfully used to analyze from system's robustness to perturbations to coarse graining multilayer…