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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.

169,051 papers · 148 categories

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5 results for “kurtosis-skewness”

Parallel Statistical and Machine Learning Methods for Estimation of Physical Loadcs.LG

Methods estimate physical load and fatigue from wearable data.

problem Estimating physical load and fatigue from wearable data.

method Statistical and machine learning methods based on kurtosis-skewness diagram.

result Different levels of physical activities and fitness can be distinguished from the kurtosis-skewness diagram.

physical load fatigue wearable data kurtosis-skewness machine learning

2018-08-14abs ↗pdf ↗

On approximations of Value at Risk and Expected Shortfall involving kurtosisq-fin.RM

New approximations for Value at Risk and Expected Shortfall accounting for kurtosis.

problem Approximating Value at Risk and Expected Shortfall with positive skewness and kurtosis.

method Extensions of the Normal Power Approximation incorporating skewness and kurtosis.

result Improved precision for various loss distributions.

Value at Risk Expected Shortfall kurtosis skewness approximation

2018-11-15abs ↗pdf ↗

Time-varying properties of asymmetric volatility and multifractality in Bitcoinq-fin.ST

Study finds time-varying volatility and multifractality in Bitcoin, with asymmetry weakening as market efficiency increases.

problem Investigating time-varying properties of Bitcoin's volatility and multifractality.

method Rolling window method to examine daily Bitcoin returns and multifractal properties over time.

result Volatility asymmetry in Bitcoin changes over time, becoming less pronounced as market efficiency increases.

Bitcoin volatility multifractality asymmetry market efficiency

2021-02-15abs ↗pdf ↗

On the Pricing of Currency Options under Variance Gamma Processq-fin.PR

Study shows variance gamma model outperforms Black-Scholes for USD-INR currency options.

problem Complex pricing of currency options with multi-assets.

method Examined USD-INR currency options, tested several models, compared performance.

result Variance gamma model outperforms Black-Scholes model in various volatility regimes.

currency options variance gamma Black-Scholes kurtosis skewness

2020-09-29abs ↗pdf ↗

Classification-Based Analysis of Price Pattern Differences Between Cryptocurrencies and Stocksq-fin.ST

Study compares price patterns of cryptocurrencies and stocks using machine learning.

problem Investor behavior in cryptocurrencies vs. stocks.

method Machine learning models (LR, RF, SVM) classify price time series of cryptocurrencies and stocks.

result Cryptocurrencies and stocks have distinct price patterns, explained by various statistical features.

cryptocurrencies stocks price time series machine learning classification

2025-04-17abs ↗pdf ↗