arXiv research

Study examines extreme and erratic cryptocurrency behaviour during COVID-19.

New simulation model predicts financial market dynamics with high accuracy.

Study shows similarities and differences in crypto and equity dynamics during pandemic.

We study the modelling and valuation of surrender and other behavioural options in life insurance and pension. We place ourselves in between the two extremes of completely arbitrary intervention and optimal intervention by the policyholder. We present a method that is based on differential equations and that can be use…

We study the Calabi functional on a ruled surface over a genus two curve. For polarisations which do not admit an extremal metric we describe the behaviour of a minimising sequence splitting the manifold into pieces. We also show that the Calabi flow starting from a metric with suitable symmetry gives such a minimising…

Modeling house prices in Australia reveals supply limitations as the primary driver of extreme trends.

Develops a new model for measuring extremal dependence in financial markets.

Second part of series studying charged scalar fields on Reissner--Nordström spacetimes.

Pricing extremely long-dated liabilities market consistently deals with the decline in liquidity of financial instruments on long maturities. The aim is to quantify the uncertainty of rates up to maturities of a century. We assume that the interest rates follow the affine mean-reverting Vasicek model. We model paramete…

Study examines dependence of extreme electricity prices in Australian markets.

Capturing the dependence structure of multivariate extreme events is a major concern in many fields involving the management of risks stemming from multiple sources, e.g. portfolio monitoring, insurance, environmental risk management and anomaly detection. One convenient (non-parametric) characterization of extremal de…

Study tail risk in high-frequency finance using $L_1$-regularized regression.

In a wide variety of situations, anomalies in the behaviour of a complex system, whose health is monitored through the observation of a random vector X = (X1,. .. , X d) valued in R d , correspond to the simultaneous occurrence of extreme values for certain subgroups $α$ $\subset$ {1,. .. , d} of variables Xj. Under th…

Neural Bayes methods simplify fitting complex bivariate extremal models.

Study of charged scalar fields on Reissner-Nordström spacetimes via energy estimates.

Preconditioned neural posterior estimation improves reliability in misspecified models.

Every rack $Q$ provides a set-theoretic solution $c_Q$ of the Yang-Baxter equation. This article examines the deformation theory of $c_Q$ within the space of Yang-Baxter operators over a ring $\A$, a problem initiated by Freyd and Yetter in 1989. As our main result we classify deformations in the modular case, which ha…

This paper measures and compares the tail risks of limit and market orders using Extreme Value Theory. The analysis examines realised tail outcomes using the Dealing 2000-2 electronic broking system based on completed transactions rather than the more common analysis of indicative quotes. In general, limit and market o…

Study on price fluctuations and persistence in European electricity spot markets.

This paper improves uncertainty quantification in ELM models.

Introduces Polar Depth for analyzing multivariate heavy-tailed data extremes.

{\em Riemannian cubics} are curves in a manifold $M$ that satisfy a variational condition appropriate for interpolation problems. When $M$ is the rotation group SO(3), Riemannian cubics are track-summands of {\em Riemannian cubic splines}, used for motion planning of rigid bodies. Partial integrability results are know…

In this paper we study the geometry and the topology of unbounded domains in the Hyperbolic Space $\mathbb{H} ^n$ supporting a bounded positive solution to an overdetermined elliptic problem. Under suitable conditions on the elliptic problem and the behaviour of the bounded solution at infinity, we are able to show tha…

We determine the asymptotic behaviour of extremal length along arbitrary Teichmüller rays. This allows us to calculate the endpoint in the Gardiner-Masur boundary of any Teichmüller ray. We give a proof that this compactification is the same as the horofunction compactification. An important subset of the latter is the…

This paper investigates multiscaling in the rough Bergomi model, finding it primarily due to fat-tailed returns.

Polynomial processes have the property that expectations of polynomial functions (of degree $n$, say) of the future state of the process conditional on the current state are given by polynomials (of degree $\leq n$) of the current state. Here we explore the application of polynomial processes in the context of structur…

Paper derives new option pricing formulas and approximations for a local volatility model with discontinuity.

Imagine that measurements are made at times $t_0$ and $t_1$ of the trajectory of a physical system whose governing laws are given approximately by a class ${\cal A}$ of so-called {\em prior vector fields}. Because the physical laws are not known precisely, it might be that the measurements are not realised by the integ…

This paper empirically analyses risk in the Euro relative to other currencies. Comparisons are made between a sub period encompassing the final transitional stage to full monetary union with a sub period prior to this. Stability in the face of speculative attack is examined using Extreme Value Theory to obtain estimate…

Paper introduces ML tools for guided wave behaviour in composite materials.

For spherically symmetric distributions, efficient quantisation can be achieved with moderate sample sizes.

With the growing popularity of wearable devices, the ability to utilize physiological data collected from these devices to predict the wearer's mental state such as mood and stress suggests great clinical applications, yet such a task is extremely challenging. In this paper, we present a general platform for personaliz…

Many complex systems exhibit extreme events far more often than expected for a normal distribution. This work examines how self-similar bursts of activity across several orders of magnitude can emerge from first principles in systems that adapt to information. Surprising connections are found between two apparently unr…

Wide stochastic networks show Gaussian behavior and improve training with PAC-Bayesian methods.

In this paper we discuss the asymptotic behaviour of random contractions $X=RS$, where $R$, with distribution function $F$, is a positive random variable independent of $S\in (0,1)$. Random contractions appear naturally in insurance and finance. Our principal contribution is the derivation of the tail asymptotics of $X…

New model predicts dynamic tax evasion with audits and imitation.

In this work, we consider the problem of estimating a behaviour policy for use in Off-Policy Policy Evaluation (OPE) when the true behaviour policy is unknown. Via a series of empirical studies, we demonstrate how accurate OPE is strongly dependent on the calibration of estimated behaviour policy models: how precisely …

The main aim of this work is to incorporate selected findings from behavioural finance into a Heterogeneous Agent Model using the Brock and Hommes (1998) framework. Behavioural patterns are injected into an asset pricing framework through the so-called `Break Point Date', which allows us to examine their direct impact.…

Automated model tracks mouse behavior in home cages.

Multi-agent reinforcement learning systems aim to provide interacting agents with the ability to collaboratively learn and adapt to the behaviour of other agents. In many real-world applications, the agents can only acquire a partial view of the world. Here we consider a setting whereby most agents' observations are al…

Multi-step temporal difference (TD) learning is an important approach in reinforcement learning, as it unifies one-step TD learning with Monte Carlo methods in a way where intermediate algorithms can outperform either extreme. They address a bias-variance trade off between reliance on current estimates, which could be …

Impact of chosen behavioural factors on imprecision of present value is discussed here. The formal model of behavioural present value is offered as a result of this discussion. Behavioural present value is described here by fuzzy set. These considerations were illustrated by means of extensive numerical case study. Fin…

New bounds on predicting agent behavior from behavior alone.

Paper introduces PHI to identify structurally distinct payment patterns in UK municipal procurement.

We develop an algebraic framework for the description and analysis of financial behaviours, that is, behaviours that consist of transferring certain amounts of money at planned times. To a large extent, analysis of financial products amounts to analysis of such behaviours. We formalize the cumulative interest compliant…

LLMs can simulate human investment attitudes based on personality traits.

Assessment of risk levels for existing credit accounts is important to the implementation of bank policies and offering financial products. This paper uses cluster analysis of behaviour of credit card accounts to help assess credit risk level. Account behaviour is modelled parametrically and we then implement the behav…

Most binary classifiers work by processing the input to produce a scalar response and comparing it to a threshold value. The various measures of classifier performance assume, explicitly or implicitly, probability distributions $P_s$ and $P_n$ of the response belonging to either class, probability distributions for the…