On-device research index

arXiv research

A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.

169,341 papers · 148 categories

Trend · papers per month

count % of corpus

3 results for “K-copula”

Dependence structure of market statesq-fin.ST

Study market state dependence using copulas of daily stock returns.

problem Estimating dependence structure of market states from daily stock returns.

method Estimate empirical pairwise copulas of daily stock returns, compare with K-copula model.

result Good overall agreement between empirical and analytical copulas, especially for locally normalized returns.

market states copulas daily stock returns empirical copulas K-copula

2015-03-31abs ↗pdf ↗

Impact of non-stationarity on estimating and modeling empirical copulas of daily stock returnsq-fin.ST

Study on non-stationary stock returns copulas, comparing models.

problem Capturing statistical dependencies in non-stationary financial data.

method Estimation and modeling of empirical copulas from non-stationary and locally normalized daily stock returns.

result K-copula best captures non-stationarity, skewed Student's t-copula best asymmetry.

copulas non-stationarity financial time series daily stock returns empirical dependencies

2015-06-26abs ↗pdf ↗

Local fluctuations of the signed traded volumes and the dependencies of demands: a copula analysisq-fin.TR

Copulas reveal strong positive dependencies in stock demand fluctuations due to volume imbalances.

problem Analyzing dependencies of stock demands using local volume fluctuations.

method Copula analysis of empirical data to model dependence structures.

result Large local fluctuations of signed traded volumes increase positive dependencies in demand but slightly lower negative ones.

copulas signed traded volumes demand dependencies volume imbalances positive dependencies

2017-06-28abs ↗pdf ↗