arXiv research

The risk-neutral option pricing method under GARCH intensity model is examined. The GARCH intensity model incorporates the characteristics of financial return series such as volatility clustering, leverage effect and conditional asymmetry. The GARCH intensity option pricing model has flexibility in changing the volatil…

We propose a novel method for automatic pain intensity estimation from facial images based on the framework of kernel Conditional Ordinal Random Fields (KCORF). We extend this framework to account for heteroscedasticity on the output labels(i.e., pain intensity scores) and introduce a novel dynamic features, dynamic ra…

Locates entanglement in curves using knot intensity distribution.

Machine learning classifies topological phases in leaky photonic lattices.

We introduce the concept of no-arbitrage in a credit risk market under ambiguity considering an intensity-based framework. We assume the default intensity is not exactly known but lies between an upper and lower bound. By means of the Girsanov theorem, we start from the reference measure where the intensity is equal to…

Method uses deep learning to estimate traffic intensity.

The intensity of a default time is obtained by assuming that the default indicator process has an absolutely continuous compensator. Here we drop the assumption of absolute continuity with respect to the Lebesgue measure and only assume that the compensator is absolutely continuous with respect to a general $σ$-finite …

This paper measures the intensity of implicit government guarantees using PMC index model.

It will be difficult to gain the agreement of all the actors on any proposal for climate change management, if universality and fairness are not considered. In this work, a universal measure of emissions to be applied at the international level is proposed, based on a modification of the Greenhouse Gas Intensity (GHG-I…

This paper quantifies privacy-robustness and generalization-robustness trade-offs in adversarial training.

This paper introduces a new market-based carbon risk measure for portfolio optimization.

Parts of Texas, Oklahoma, and Kansas have experienced increased rates of seismicity in recent years, providing new datasets of earthquake recordings to develop ground motion prediction models for this particular region of the Central and Eastern North America (CENA). This paper outlines a framework for using Artificial…

We propose a unified framework for equity and credit risk modeling, where the default time is a doubly stochastic random time with intensity driven by an underlying affine factor process. This approach allows for flexible interactions between the defaultable stock price, its stochastic volatility and the default intens…

New method models intensity functions on spheres using normalizing flows.

We consider properties of the measurement intensity $ρ$ of a random variable for which the probability density function represented by the corresponding Wigner function attains negative values on a part of the domain. We consider a simple economic interpretation of this problem. This model is used to present the applic…

Study resolves the Korean LVRP puzzle by showing HVRP exists but is masked by investor heterogeneity and improper intensity normalization.

Estimation of the intensity of a point process is considered within a nonparametric framework. The intensity measure is unknown and depends on covariates, possibly many more than the observed number of jumps. Only a single trajectory of the counting process is observed. Interest lies in estimating the intensity conditi…

A new generalized Statistical Complexity Measure (SCM) was proposed by Rosso et al in 2010. It is a functional that captures the notions of order/disorder and of distance to an equilibrium distribution. The former is computed by a measure of entropy, while the latter depends on the definition of a stochastic divergence…

Exact simulation method for market impact estimation under various execution strategies.

IDPGs extend RDPGs with a Poisson process for random latent positions.

Paper introduces statistical learning for point processes.

Study reduces emissions in portfolios with error-prone emissions data.

Study sharp convergence rates of empirical UOT for spatio-temporal point processes.

One basic requirement of many studies is the necessity of classifying data. Clustering is a proposed method for summarizing networks. Clustering methods can be divided into two categories named model-based approaches and algorithmic approaches. Since the most of clustering methods depend on their input parameters, it i…

Continuous time Bayesian networks are investigated with a special focus on their ability to express causality. A framework is presented for doing inference in these networks. The central contributions are a representation of the intensity matrices for the networks and the introduction of a causality measure. A new mode…

Fragility curves which express the failure probability of a structure, or critical components, as function of a loading intensity measure are nowadays widely used (i) in Seismic Probabilistic Risk Assessment studies, (ii) to evaluate impact of construction details on the structural performance of installations under se…

In this paper we develop a methodology to analyze and compare multiple global networks. We focus our analysis on the relation between human migration and trade. First, we identify the subset of products for which the presence of a community of migrants significantly increases trade intensity. To assure comparability ac…

We propose a statistical approach to tornadoes modeling for predicting and simulating occurrences of tornadoes and accumulated cost distributions over a time interval. This is achieved by modeling the tornadoes intensity, measured with the Fujita scale, as a stochastic process. Since the Fujita scale divides tornadoes …

Registration, which aims to find an optimal one-to-one correspondence between different data, is an important problem in various fields. This problem is especially challenging when large deformations occur. In this paper, we present a novel algorithm to obtain diffeomorphic image or surface registrations with large def…

We study multiple rule-based and machine learning (ML) models for sepsis detection. We report the first neural network detection and prediction results on three categories of sepsis. We have used the retrospective Medical Information Mart for Intensive Care (MIMIC)-III dataset, restricted to intensive care unit (ICU) p…

Intensive care clinicians are presented with large quantities of patient information and measurements from a multitude of monitoring systems. The limited ability of humans to process such complex information hinders physicians to readily recognize and act on early signs of patient deterioration. We used machine learnin…

Multiple sclerosis (MS) is an inflammatory demyelinating disease of the central nervous system (CNS) that results in focal injury to the grey and white matter. The presence of white matter lesions biases morphometric analyses such as registration, individual longitudinal measurements and tissue segmentation for brain v…

Neural Diffusion Intensity Models simplify Cox processes inference.

Investigates how extreme temperature events affect global equity portfolios.

Modeling and forecasting forward citations to a patent is a central task for the discovery of emerging technologies and for measuring the pulse of inventive progress. Conventional methods for forecasting these forward citations cast the problem as analysis of temporal point processes which rely on the conditional inten…

We consider the optimal investment problem when the traded asset may default, causing a jump in its price. For an investor with constant absolute risk aversion, we compute indifference prices for defaultable bonds, as well as a price for dynamic protection against default. For the latter problem, our work complements S…

The paper analyzes conditions for solving low-rank matrix recovery problems with noisy measurements.

Bayesian approach for inhomogeneous Poisson process intensity estimation.

We consider the problem of modelling the term structure of defaultable bonds, under minimal assumptions on the default time. In particular, we do not assume the existence of a default intensity and we therefore allow for the possibility of default at predictable times. It turns out that this requires the introduction o…

Model predicts terror attacks' likelihood and casualties.

In a continuous-time model with multiple assets described by càdlàg processes, this paper characterizes superhedging prices, absence of arbitrage, and utility maximizing strategies, under general frictions that make execution prices arbitrarily unfavorable for high trading intensity. Such frictions induce a duality bet…

This paper investigates the dynamics of stocks in the S&P500 index for the last 30 years. Using a stochastic geometry technique, we investigate the evolution of the market space and define a new measure for that purpose, which is a robust index of the dynamics of the market structure and provides information on the int…

A new kernel method improves Poisson process intensity estimation.

Improved crude oil price forecasting using multi-dimensional LLM sentiment signals.

Study identifies two borrowing patterns in UK payday loan users.

This work provides a semi-analytic approximation method for decoupled forwardbackward SDEs (FBSDEs) with jumps. In particular, we construct an asymptotic expansion method for FBSDEs driven by the random Poisson measures with σ-finite compensators as well as the standard Brownian motions around the small-variance limit …

We propose a novel class of network models for temporal dyadic interaction data. Our goal is to capture a number of important features often observed in social interactions: sparsity, degree heterogeneity, community structure and reciprocity. We propose a family of models based on self-exciting Hawkes point processes i…

Improves topic modeling using LLM embeddings and Poisson process.