Similar Search Results

Towards a Delta-Gamma Sato Multivariate Model

Boen, Lynn - 2017

In this paper, we propose a multivariate Lévy model as an extension of the univariate Difference of Gammas model introduced by Finlay and Seneta. The construction is based on the work of Mathai and Moschopoulos, where we model the log price gains and losses by separate Gamma processes, each...

Persistent link: https://www.econbiz.de/10012965313

Using Grandi's Series for Complex Analysis of Infinite Geometric Progression

Kathane, Raghav - 2022

This paper talks about geometric progression (GP) and the formula for the sum of its finite terms. The formula is modified to find the sum of infinite terms of a GP for r ∈ (-1,1). An equation is found by substituting i (iota) for r. Arguments are provided for supporting such a substitution....

Persistent link: https://www.econbiz.de/10014077084

Manfred Deistler and the general-dynamic-factor-model approach to the statistical analysis of high-dimensional time series

Hallin, Marc - In: Econometrics : open access journal 10 (2022) 4, pp. 1-9

For more than half a century, Manfred Deistler has been contributing to the construction of the rigorous theoretical foundations of the statistical analysis of time series and more general stochastic processes. Half a century of unremitting activity is not easily summarized in a few pages. In...

Persistent link: https://www.econbiz.de/10013533262

The Shape of Performance Curve in Financial Time Series

Alonso, Miquel Noguer i; Srivastava, Sonam - 2021

in some specific domains.We discuss some of the recent discoveries in the mathematical theory of machine learning that … reduce the gap between theory and practice. We conduct experiments in the financial time series domain using deep neural … financial time series domain. This is consistent with the finance practitioner's theory that backtesting ( training data …

Persistent link: https://www.econbiz.de/10013310497

Non-parametric Cumulants Approach for Outlier Detection of Multivariate Financial Data

Cesarone, Francesco; Giacometti, Rosella; Ricci, Jacopo … - 2023

In this paper, we propose an outlier detection algorithm for multivariate data based on their projections on the directions that maximize the Cumulant Generating Function (CGF). We prove that CGF is a convex function, and we characterize the CGF maximization problem on the unit n-circle as a...

Persistent link: https://www.econbiz.de/10014350493

Generative Models for Time Series in Finance

Noguer i Alonso, Miquel; Pacheco Aznar, David - 2023

A generative model is a statistical model of the joint probability distribution. We built a generative model for univariate time series in finance using a Variational Autoencoder (VAE) neural network architecture. We test the model in SP500 and the Heston Model widely used for option pricing and...

Persistent link: https://www.econbiz.de/10014255820

Financial Modelling with Copula Functions

Nacaskul, Ph.D., Poomjai - 2010

Persistent link: https://www.econbiz.de/10014188150

The Fractal Nature of Bitcoin : Evidence from Wavelet Power Spectra

Delfin Vidal, Rafael - 2015

In this study a continuous wavelet transform is performed on Bitcoin's historical returns. Despite the asset's novelty and high volatility, evidence from the wavelet power spectra shows clear dominance of specific investment horizons during periods of high volatility. Thanks to wavelet analysis...

Persistent link: https://www.econbiz.de/10013030751

Shapley regressions : a framework for statistical inference on machine learning models

Joseph, Andreas - 2019

Persistent link: https://www.econbiz.de/10011983155

Three essays on model selection in time series econometrics : model averaging, causal graphs, and structural identification

Aka, Niels Mariano - 2021

Persistent link: https://www.econbiz.de/10013175078