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.

168,742 papers · 148 categories

Trend · papers per month

count % of corpus

7 results for “Mancino”

Malliavin-Mancino estimators implemented with non-uniform fast Fourier transformsq-fin.CP

Enhances Fourier estimator performance for asynchronous event-data.

problem Improving correlation and covariance estimation on event-data.

method Implement and test NUFFT methods with different averaging kernels.

result Demonstrates improved performance and relationship between averaging scales.

Fourier estimator asynchronous data event-data Non-Uniform Fast Fourier Transform (NUFFT)Malliavin-Mancino estimator

2020-03-05abs ↗pdf ↗

Fourier instantaneous estimators and the Epps effectq-fin.ST

Study compares Fourier estimators to mitigate asynchrony effects in finance.

problem Impact of asynchrony on instantaneous financial estimates.

method Comparison of Malliavin-Mancino and Cuchiero-Teichmann estimators.

result Malliavin-Mancino estimator produces more stable estimates under asynchrony.

asynchrony Fourier estimators Epps effect finance stability

2020-07-06abs ↗pdf ↗

Revisiting the Epps effect using volume time averaging: An exercise in Rq-fin.CP

Study confirms the Epps effect using different volume time averaging methods for JSE stocks.

problem Demonstrating the Epps effect in stock market data using various aggregation methods.

method Used two non-parametric covariance estimators (Malliavin and Mancino, Hayashi and Yoshida) and two volume time averaging methods (asset intrinsic and synchronised volume time).

result MM estimator more representative of trade time reality, confirming market phenomenology.

Epps effect volume time averaging Malliavin Mancino Hayashi

2019-12-05abs ↗pdf ↗

Asymptotic Normality for the Fourier spot volatility estimator in the presence of microstructure noiseq-fin.ST

The paper proves the consistency and efficiency of a volatility estimator in noisy data.

problem Proving the consistency and efficiency of a volatility estimator in the presence of microstructure noise.

method Proves asymptotic normality using Central Limit Theorem for Fourier spot volatility estimator.

result Proves consistency and asymptotic efficiency of the Fourier spot volatility estimator in noisy data.

volatility estimation Fourier spot volatility microstructure noise Central Limit Theorem consistent estimator

2022-09-19abs ↗pdf ↗

Approximation of eigenvalues of spot cross volatility matrix with a view toward principal component analysisq-fin.ST

In order to study the geometry of interest rates market dynamics, Malliavin, Mancino and Recchioni [A non-parametric calibration of the HJM geometry: an application of Itô calculus to financial statistics, {\it Japanese Journal of Mathematics}, 2, pp.55--77, 2007] introduced a scheme, which is based on the Fourier Seri…

2014-09-08abs ↗pdf ↗

Symmetric positive semi-definite Fourier estimator of instantaneous variance-covariance matrixstat.ME

Paper proposes a new covariance estimator ensuring positive semi-definite matrices.

problem Estimating spot covariance matrices while maintaining positive semi-definiteness.

method Modification of the Fourier covariance estimator with a symmetric positive semi-definite constraint.

result The estimator is consistent and produces accurate positive semi-definite matrices.

covariance estimation positive semi-definite Fourier transform spot covariance market microstructure noise

2023-04-10abs ↗pdf ↗

The Fourier estimator of spot volatility: Unbounded coefficients and jumps in the price processq-fin.CP

Study Fourier estimator for spot volatility with unbounded coefficients and jumps.

problem Estimating spot volatility with unbounded coefficients and jumps in price process.

method Fourier estimator for spot volatility, convergence analysis for unbounded coefficients and jumps.

result Convergence of trigonometric polynomial to volatility's path, almost sure convergence of reconstructed volatility.

Fourier estimator spot volatility unbounded coefficients jumps price process

2026-01-14abs ↗pdf ↗