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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 “leptokurtosis”
Modeling Portfolios with Leptokurtic and Dependent Risk Factorsecon.EM

New method models portfolios with leptokurtic risk factors using Gram-Charlier expansions.

problem Modeling portfolios with excess kurtosis.
method GC-like expansions of the hyperbolic-secant law to account for leptokurtosis.
result Portfolio distribution with risk factors modeled as GC-like expansions of the HS law.
portfolio modelingleptokurtic risk factorsGram-Charlier expansionshyperbolic-secant lawexcess kurtosis
2021-06-08abs ↗pdf ↗
The Random Walk of High Frequency Tradingq-fin.TR

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…

2014-08-15abs ↗pdf ↗
Data driven value-at-risk forecasting using a SVR-GARCH-KDE hybridq-fin.ST

Paper proposes a hybrid model for VaR forecasting using SVR, GARCH, and KDE.

problem Inaccurate VaR estimates due to time-varying volatility and distributional characteristics.
method SVR-GARCH-KDE hybrid model combining nonlinear and nonparametric approaches.
result The SVR-GARCH-KDE hybrid outperforms benchmark models in VaR forecasting, especially for longer horizons.
VaR forecastingSVRGARCHKDEfinancial risk
2020-09-15abs ↗pdf ↗