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Conditional Complexity of Compression for Authorship Attribution

Malyutov, Mikhail B.; Wickramasinghe, Chammi I.; Li, Sufeng - Sonderforschungsbereich Ökonomisches Risiko <Berlin>

We introduce new stylometry tools based on the sliced conditional compression complexity of literary texts which are inspired by the nearly optimal application of the incomputable Kolmogorov conditional complexity (and presumably approximates it). Whereas other stylometry tools can occasionally...

Persistent link: https://www.econbiz.de/10005860841

Modelling Financial High Frequency Data Using Point Processes

Bauwens, Luc; Hautsch, Nikolaus - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2007

In this paper, we give an overview of the state-of-the-art in the econometric literature on the modeling of so … fundamental statistical concepts of point process theory, we review durationbased and intensity-based models of financial point …

Persistent link: https://www.econbiz.de/10005860832

Long Memory Persistence in the Factor of Implied Volatility Dynamics

Härdle, Wolfgang; Mungo, Julius - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2007

The volatility implied by observed market prices as a function of the strikeand time to maturity form an Implied Volatility Surface (IV S). Practicalapplications require reducing the dimension and characterize its dynamicsthrough a small number of factors. Such dimension reduction is...

Persistent link: https://www.econbiz.de/10005861020

PLS Path Modeling - A Software Review

Temme, Dirk; Kreis, Henning; Hildebrandt, Lutz - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2006

After years of stagnancy, PLS path modeling has recently attracted renewed interest from applied researchers in … path modeling software is on equal footing regarding ease of use, but clearly lags behind in terms of methodological …

Persistent link: https://www.econbiz.de/10005861232