We present an adjusted method for calculating the eigenvalues of a time-dependent return correlation matrix that produces a more stationary distribution of eigenvalues. First, we compare the normalized maximum eigenvalue time series of the market-adjusted return correlation matrix to that of...

We study a combination of the refracted and reflected Levy processes. Given a spectrally negative Levy process and two boundaries, it is reflected at the lower boundary while, whenever it is above the upper boundary, a linear drift at a constant rate is subtracted from the increments of the...

We investigate near-shoring a small part of the global production to local \emph{SpeedFactories} that serve only the variable demand. The short lead time of the responsive SpeedFactory reduces the risk of making large volumes in advance, yet it does not involve a complete re-shoring of demand....

The problem of optimal decision among unit roots, trend stationarity, and trend stationarity with structural breaks is considered. Each class is represented by a hierarchically random process whose parameters are distributed in a non-informative way. The prior frequency for all three processes...

We consider a cross-calibration test of predictions by multiple potential experts in a stochastic environment. This test checks whether each expert is calibrated conditional on the predictions made by other experts. We show that this test is good in the sense that a true expert - one informed of...

Exploiting the fact that most arrival processes exhibit cyclic behaviour, we propose a simple procedure for estimating the intensity of a non-homogeneous Poisson process. The estimator is the super-resolution analogue to Shao 2010 and Shao & Lii 2011, which is a sum of p sinusoids where p and...

We consider the basic problem of refi tting a time series over a finite period of time and formulate it as a stochastic dynamic program. By changing the underlying Markov decision process we are able to obtain a model that at optimality considers historical data as well as forecasts of future...

Most panel unit root tests are designed to test the joint null hypothesis of a unit root for each individual series in a panel. After a rejection, it will often be of interest to identify which series can be deemed to be stationary and which series can be deemed nonstationary. Researchers will...