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.
New econometric results for financial duration models under varying tail behaviors.
New model predicts financial transaction durations using quantiles.
A new method uses burst and inter-burst duration to test long-range memory in financial markets.
Market valuation duration is 175 years, but drops to 46 years during crises.
Paper forecasts financial trading durations using a new point process model.
Study predicts stock transaction durations using LSTM and attention mechanism.
This paper introduces the Markov-Switching Multifractal Duration (MSMD) model by adapting the MSM stochastic volatility model of Calvet and Fisher (2004) to the duration setting. Although the MSMD process is exponential -mixing as we show in the paper, it is capable of generating highly persistent autocorrelation. W…
It is widely accepted that there is strong persistence in the volatility of financial time series. The origin of the observed persistence, or long-range memory, is still an open problem as the observed phenomenon could be a spurious effect. Earlier we have proposed the consentaneous model of the financial markets based…
Unified asymptotic theory and tests for ACD models reveal infinite-mean durations in cryptocurrency trading.
In financial time series there are periods in which the value increases or decreases monotonically. We call those periods elemental trends and study the probability distribution of their duration for the indices DJIA, NASDAQ and IPC. It is found that the trend duration distribution often differs from the one expected u…
Intertrade duration of equities is an important financial measure characterizing the trading activities, which is defined as the waiting time between successive trades of an equity. Using the ultrahigh-frequency data of a liquid Chinese stock and its associated warrant, we perform a comparative investigation of the sta…
Possible distributions are discussed for intertrade durations and first-passage processes in financial markets. The view-point of renewal theory is assumed. In order to represent market data with relatively long durations, two types of distributions are used, namely, a distribution derived from the so-called Mittag-Lef…
Examines how extending home loan durations affects French households financially.
We address the problem of long-range memory in the financial markets. There are two conceptually different ways to reproduce power-law decay of auto-correlation function: using fractional Brownian motion as well as non-linear stochastic differential equations. In this contribution we address this problem by analyzing e…
Long-range correlation in financial time series reflects the complex dynamics of the stock markets driven by algorithms and human decisions. Our analysis exploits ultra-high frequency order book data from NASDAQ Nordic over a period of three years to numerically estimate the power-law scaling exponents using detrended …
We investigate large changes, bursts, of the continuous stochastic signals, when the exponent of multiplicativity is higher than one. Earlier we have proposed a general nonlinear stochastic model which can be transformed into Bessel process with known first hitting (first passage) time statistics. Using these results w…
We investigate the distributions of epsilon-drawdowns and epsilon-drawups of the most liquid futures financial contracts of the world at time scales of 30 seconds. The epsilon-drawdowns (resp. epsilon- drawups) generalise the notion of runs of negative (resp. positive) returns so as to capture the risks to which invest…
This paper proposes a method to select project schedules with the lowest risk.
Compound examines decentralized lending users and their short loan durations.
This study analyses the duration dependence of events that trigger volatility persistence in stock markets. Such events, in our context, are monthly spells of contiguous price decline or negative returns for the S&P500 stock market index over the last 145 years. Factors known to affect the duration of these spells are …
Recently, large-scale cascading failures in complex systems have garnered substantial attention. Such extreme events have been treated as an integral part of the self-organized criticality (SOC). Recent empirical work has suggested that some extreme events systematically deviate from the SOC paradigm, requiring a diffe…
Study shows cognitive load impacts financial market efficiency, especially for less sophisticated investors.
In this letter we borrow from the inference techniques developed for unbounded state-cardinality (nonparametric) variants of the HMM and use them to develop a tuning-parameter free, black-box inference procedure for Explicit-state-duration hidden Markov models (EDHMM). EDHMMs are HMMs that have latent states consisting…
New model improves inference on asset market durations.
In this paper, we studied the dynamics of the log-return distribution of the Korean Composition Stock Price Index (KOSPI) from 1992 to 2004. Based on the microscopic spin model, we found that while the index during the late 1990s showed a power-law distribution, the distribution in the early 2000s was exponential. This…
This paper builds a model of high-frequency equity returns by separately modeling the dynamics of trade-time returns and trade arrivals. Our main contributions are threefold. First, we characterize the distributional behavior of high-frequency asset returns both in ordinary clock time and in trade time. We show that wh…
Anomalous diffusions arise as scaling limits of continuous-time random walks (CTRWs) whose innovation times are distributed according to a power law. The impact of a non-exponential waiting time does not vanish with time and leads to different distribution spread rates compared to standard models. In financial modellin…
New conditions for ACD model consistency and normality.
The distribution of intertrade durations, defined as the waiting times between two consecutive transactions, is investigated based upon the limit order book data of 23 liquid Chinese stocks listed on the Shenzhen Stock Exchange in the whole year 2003. A scaling pattern is observed in the distributions of intertrade dur…
Proposes CEP to better represent financial products' carbon impact.
Study shows training duration impacts model merging quality, suggesting joint selection of duration and method.
Study shows training duration affects model merging quality, suggesting joint selection of duration and method.
Clusters cryptocurrency market states via cross correlation analysis.
Proposes a new model for better speech segmentation.
We study tick-by-tick financial returns belonging to the FTSE MIB index of the Italian Stock Exchange (Borsa Italiana). We can confirm previously detected non-stationarities. However, scaling properties reported in the previous literature for other high-frequency financial data are only approximately valid. As a conseq…
The financial crisis of 2008, which started with an initially well-defined epicenter focused on mortgage backed securities (MBS), has been cascading into a global economic recession, whose increasing severity and uncertain duration has led and is continuing to lead to massive losses and damage for billions of people. H…
A key barrier to making phonetic studies scalable and replicable is the need to rely on subjective, manual annotation. To help meet this challenge, a machine learning algorithm was developed for automatic measurement of a widely used phonetic measure: vowel duration. Manually-annotated data were used to train a model t…
A taxonomy of large financial crashes proposed in the literature locates the burst of speculative bubbles due to endogenous causes in the framework of extreme stock market crashes, defined as falls of market prices that are outlier with respect to the bulk of drawdown price movement distribution. This paper goes on dee…
The intraday pattern, long memory, and multifractal nature of the intertrade durations, which are defined as the waiting times between two consecutive transactions, are investigated based upon the limit order book data and order flows of 23 liquid Chinese stocks listed on the Shenzhen Stock Exchange in 2003. An inverse…
This paper tackles JSSP with uncertain task durations using DRL.
This article presents valuation of Treasury Bonds (T-Bonds) on Macedonian Stock Exchange (MSE) and empirical test of duration, modified duration and convexity of the T-bonds at MSE in order to determine sensitivity of bonds prices on interest rate changes. The main goal of this study is to determine how standard valuat…
In finance, durations between successive transactions are usually modeled by the autoregressive conditional duration model based on a continuous distribution omitting zero values. Zero or close-to-zero durations can be caused by either split transactions or independent transactions. We propose a discrete model allowing…
Predicting traffic incident duration is a major challenge for many traffic centres around the world. Most research studies focus on predicting the incident duration on motorways rather than arterial roads, due to a high network complexity and lack of data. In this paper we propose a bi-level framework for predicting th…
This paper considers magnitude, asymptotics and duration of drawdowns for some Lévy processes. First, we revisit some existing results on the magnitude of drawdowns for spectrally negative Lévy processes using an approximation approach. For any spectrally negative Lévy process whose scale functions are well-behaved at …
What is the dominating mechanism of the price dynamics in financial systems is of great interest to scientists. The problem whether and how volatilities affect the price movement draws much attention. Although many efforts have been made, it remains challenging. Physicists usually apply the concepts and methods in stat…
This paper addresses the problem of predicting duration of unplanned power outages, using historical outage records to train a series of neural network predictors. The initial duration prediction is made based on environmental factors, and it is updated based on incoming field reports using natural language processing …
Scheduling surgeries is a challenging task due to the fundamental uncertainty of the clinical environment, as well as the risks and costs associated with under- and over-booking. We investigate neural regression algorithms to estimate the parameters of surgery case durations, focusing on the issue of heteroscedasticity…
The study examines order flow in financial markets using fractional Lévy stable motion.