arXiv research

This paper is concerned with the following Markovian stochastic differential equation of mean-reversion type \[ dR_t= (θ+σα(R_t, t))R_t dt +σR_t dB_t \] with an initial value $R_0=r_0\in\mathbb{R}$, where $θ\in\mathbb{R}$ and $σ>0$ are constants, and the mean correction function $α:\mathbb{R}\times[0,\infty)\to α(x,t)\…

In an efficient stock market, the log-returns and their time-dependent variances are often jointly modelled by stochastic volatility models (SVMs). Many SVMs assume that errors in log-return and latent volatility process are uncorrelated, which is unrealistic. It turns out that if a non-zero correlation is included in …

New SVM models correct mean of volatility processes to satisfy efficient market hypothesis.

This paper derives -- considering a Gaussian setting -- closed form solutions of the statistics that Adrian and Brunnermeier and Acharya et al. have suggested as measures of systemic risk to be attached to individual banks. The statistics equal the product of statistic specific Beta-coefficients with the mean corrected…

Develops EFT for ResNets, revealing limitations of kernel-only approach.

QTAML models quantum tunneling errors for AI robustness.