This paper finds that realized kurtosis predicts stock variance better than realized skewness for daily returns.
problem The explanatory power of realized skewness for daily stock returns is limited.
method An extensive empirical analysis of realized skewness and realized kurtosis on daily stock returns and variance.
result Realized kurtosis shows significant forecasting power for stock variance, while realized skewness is less effective for daily returns.
Estimates Heston SDE parameters from observable realized volatilities.
problem Estimating parameters of Heston SDEs from observable data.
method Constructs estimators from empirical moments of realized volatilities over sliding windows.
result Explicit bounds for the convergence of realized volatilities to true volatilities.
We propose a new method of measuring the third and fourth moments of return distribution based on quadratic variation method when the return process is assumed to have zero drift. The realized third and fourth moments variations computed from high frequency return series are good approximations to corresponding actual …
We discuss the probabilistic properties of the variation based third and fourth moments of financial returns as estimators of the actual moments of the return distributions. The moment variations are defined under non-parametric assumptions with quadratic variation method but for the computational tractability, we use …
Study examines volatility of Nikkei Stock Average, finding returns follow a Gaussian process.
problem Analyzing volatility of Nikkei Stock Average on Tokyo Stock Exchange.
method Calculated realized volatility in morning and afternoon sessions, investigating return dynamics.
result Return dynamics of Nikkei Stock Average are consistent with Gaussian distribution.
Study finds spin model returns align with normal distribution.
problem Understanding return dynamics in financial markets.
method Calculated realized volatility and examined standardized returns.
result Moments of standardized returns match theoretical values.
Study shows different types of volatility and skewness changes affect stock prices.
problem Different types of volatility and skewness changes affect stock prices.
method Used intraday data for individual stocks to analyze cross-section of asset returns.
result Idiosyncratic transitory and persistent shocks to volatility and skewness are priced differently in stock returns.
A financial swap reduces skew and fat tails in a portfolio's performance.
problem Managing skew and fat tails in portfolio performance.
method Used a third moment variation swap and partial differential equation approach.
result The hedged portfolio returns are more Gaussian-like with thin-tails.
The paper introduces a moment-matching algorithm to quantify approximation error in sampling random measures.
problem Approximation error in sampling random measures from Ferguson and Klass representation.
method Moment-matching criterion to evaluate discrepancy between actual and simulated moments.
result Determines optimal truncation level for precision in sampling.
The moments of historic stock returns align with the Heston model, not the multiplicative model.
problem Understanding the distribution of historic stock returns and volatility.
method Comparison of moments with Heston and multiplicative models, analysis of mean realized variance.
result The moments of historic stock returns are better explained by the Heston model than the multiplicative model.
The latest generation of volatility derivatives goes beyond variance and volatility swaps and probes our ability to price realized variance and sojourn times along bridges for the underlying stock price process. In this paper, we give an operator algebraic treatment of this problem based on Dyson expansions and moment …
Wide neural networks learn features under μP, identifying weights and decomposing support.
problem Feature learning in wide neural networks under μP. method Proving mean-field limit, characterizing identifiability, sparse-dictionary decomposition, and feature-learning-error decomposition.
result The triple (w∗,Dorb∗,S∗) identifies the natural learning cell of the architecture-data pair (σ,ρ). Tropical curves match to special Lagrangian shapes.
problem Connecting tropical geometry to special Lagrangian shapes.
method Gluing construction that matches tropical local models to Lagrangian shapes.
result Locally planar tropical curves can be realized as special Lagrangian limits.
New algorithm trains ReLU gates provably in linear time.
problem Training ReLU gates in realizable settings with mild conditions.
method Iterative stochastic algorithm with moment assumptions.
result First recovery of true labels under data-poisoning attacks.
Q-MMR evaluates policies using reweighted rewards and moment matching.
problem Off-policy evaluation in finite-horizon MDPs.
method Q-MMR learns scalar weights for data points via a moment matching objective against a value-function discriminator class.
result Data-dependent finite-sample guarantee with a dimension-free error bound.
Shows natural quasi-Poisson structure on multiplicative Grothendieck-Springer space.
problem Exploring new structures in algebraic geometry.
method Reduction along Dirac realizations.
result Natural quasi-Poisson structure exists on multiplicative Grothendieck-Springer space.
The paper analyzes the performance of empirical risk minimization for p-norm linear regression.
problem Empirical risk minimization on p-norm linear regression. method Analyzes performance under various conditions and moment assumptions.
result High probability excess risk bounds for empirical risk minimizer, matching asymptotic rates.
Extracts representative scenarios from large data panels.
problem Creating representative scenarios from large data panels.
method Two novel algorithms: one identifies new scenarios, the other selects known important data points.
result Efficient algorithms for consistent scenario-based modeling and multi-dimensional numerical integration.
The paper examines Nash equilibrium in GANs for stationary Gaussian processes.
problem Existence and uniqueness of Nash equilibrium in GANs for stationary Gaussian processes.
method Analyzes the existence of Nash equilibrium in GANs for stationary Gaussian processes, considering different discriminator families.
result The existence of Nash equilibrium depends on the discriminator family and symmetry properties of the generator family.
New algorithm recovers sparse measures in polynomial time.
problem Recovering sparse measures from Fourier moments.
method Polynomial-time recovery method inspired by mean-field theory.
result Improves upon convex relaxation methods in specific parameter regime.
The study examines how choice of risk measure and volatility estimator affects procyclicality.
problem Understanding the factors affecting procyclicality in risk measure estimation.
method Examined three risk measures (Value-at-Risk, Expected Shortfall, Expectile), realized volatility estimators (sample variance, mean absolute deviation), and two models (iid and GARCH).
result Procyclicality is always present regardless of the choice of risk measure and realized volatility estimator.
New DMEM models forecast volatility combining low- and high-frequency data.
problem Modeling realized volatility with both short- and long-term features.
method Doubly Multiplicative Error (DMEM) models combining daily and long-term data.
result DMEM models outperform existing GARCH-type models in forecasting.
Derives scalar curvature formula in generalized Kähler geometry.
problem Formalizes scalar curvature in generalized Kähler geometry.
method Uses moment map and action of generalized Hamiltonian automorphisms.
result Derives explicit formula for Goto's scalar curvature.
The study classifies manifolds realized as orbit spaces of non-free Z2^k actions.
problem Classifying manifolds realized as orbit spaces of non-free Z2^k actions.
method Examining actions of subgroups H on real moment-angle manifolds and analyzing orbit spaces.
result Constructs series of manifolds homeomorphic to S^n and manifolds admitting hyperelliptic involutions.
Method estimates posterior model for boundary value problems with uncertain constraints.
problem Estimating posterior probability model for stochastic boundary value problems with uncertain constraints.
method Probabilistic learning inference using Kullback-Leibler divergence and MCMC.
result Method successfully estimates posterior probability measure with constraints.
Generative adversarial networks sample unknown high-dimensional conditional distributions.
problem Sampling from unknown high-dimensional conditional distributions with limited data.
method Generative adversarial networks (GAN) for both sampling and distribution inference.
result GAN effectively samples target conditional distribution with minimal impact on sample quality.
A new model for generating point processes with complex geometries.
problem Difficulties in modeling point processes with large numbers of particles and complex geometries.
method Gradient descent algorithm applied to a phase harmonic operator on wavelet transforms of point patterns.
result The model allows for fast sampling of new configurations that match the statistics of observed point processes.
This paper improves volatility estimation for noisy multivariate data.
problem Nonparametric inference for nonlinear volatility functionals of multivariate Itô semimartingales.
method Pre-averaging and truncation techniques to handle noise and jumps; second-order expansion for bias correction; stable central limit theorems for asymptotic results.
result Achieves optimal convergence rate and stable central limit theorems with estimable asymptotic covariance matrices.
Study tests rough fractional volatility model across different time scales, revealing new volatility patterns.
problem Testing robustness of rough fractional volatility model over various time scales.
method Used large dataset on FX rates, included smoothing and measurement errors, analyzed log-log plots of realized variance increments.
result Found new stylized facts in volatility patterns, including convexity and nonlinear behavior.
Modeling joint log-volatility dynamics with multivariate fractional Ornstein-Uhlenbeck process.
problem Empirical evidence of joint behavior in realized volatility time series.
method Multivariate fractional Ornstein-Uhlenbeck process with different Hurst exponents and non-trivial interdependencies.
result Model accurately captures asymmetries and spillover effects in realized-volatility time series.
We consider the intensity-based approach for the modeling of default times of one or more companies. In this approach the default times are defined as the jump times of a Cox process, which is a Poisson process conditional on the realization of its intensity. We assume that the intensity follows the Cox-Ingersoll-Ross …
Real Lagrangians in toric manifolds are classified by combinatorial data.
problem Classifying real Lagrangian submanifolds in toric symplectic manifolds.
method Established a real analog of the Delzant construction.
result Real Lagrangians in toric del Pezzo surfaces have all possible diffeomorphism types.
New method estimates tempered stable Lévy models with high accuracy.
problem Estimating volatility and jump intensity of tempered stable Lévy processes.
method Iterative method combining Truncated Realized Quadratic Variations and small-time approximations.
result Method outperforms existing alternatives in various scenarios.
We present a generalization of Minkowski's classic theorem on the reconstruction of tetrahedra from algebraic data to homogeneously curved spaces. Euclidean notions such as the normal vector to a face are replaced by Levi-Civita holonomies around each of the tetrahedron's faces. This allows the reconstruction of both s…
In this article we describe a canonical way to expand a certain kind of (Z2)n+1-colored regular graphs into closed n-manifolds by adding cells determined by the edge-colorings inductively. We show that every closed combinatorial n-manifold can be obtained in this way. When n≤3, we give simple eq…
New method estimates volatility for processes with jumps of unbounded variation.
problem Estimating volatility of processes with jumps of unbounded variation.
method Developed a new volatility estimator using debiasing of truncated realized quadratic variation.
result Method outperforms existing alternatives in simulations.
Let μ be a probability measure on Out(FN) with finite first logarithmic moment with respect to the word metric, finite entropy, and whose support generates a nonelementary subgroup of Out(FN). We show that almost every sample path of the random walk on (Out(FN),μ), when realized in Culle…
New framework quantifies uncertainty in data and models using RKHS.
problem Quantifying uncertainty in data and models.
method Projecting data into RKHS, transforming PDF, decomposing gradient flow.
result Decomposes uncertainty moments, providing discriminative resolution.
Given a compact symplectic toric manifold (M,ω,T), we identify a class DGKωT(M) of T-invariant generalized Kähler structures for which a generalisation the Abreu-Guillemin theory of toric Kähler metrics holds. Specifically, elements of DGKωT(M) are characterized by t…
FORE evaluates occupancy ratios without requiring Bellman completeness.
problem Offline reinforcement learning occupancy ratio estimation.
method Fitted occupancy-ratio evaluation (FORE) using adjoint Bellman recursion.
result FORE achieves convergence in KL without Bellman completeness.
Ens-CGP synthesizes ensemble-based inference with Gaussian processes.
problem Ensemble-based inference and Gaussian process modeling.
method Formulates Ens-CGP as a conditional Gaussian process for ensemble moments.
result Ens-CGP provides a unified probabilistic foundation for Kalman-type methods.
Estimates Hurst exponent of log-volatility using KS statistic, addressing serial correlation in financial data.
problem Estimating Hurst exponent of log-volatility in financial time series with serial correlation.
method Proposes a random permutation procedure to remove serial correlation, using the Kolmogorov-Smirnov statistic for distribution-based estimation.
result Establishes the asymptotic variance of the estimator and reveals statistically significant hierarchy of roughness in volatility measures.
New method learns SIMs with arbitrary monotone activations without strong distributional assumptions.
problem Learning Single-Index Models with arbitrary monotone activations.
method Based on omniprediction with calibrated multiaccuracy and Bregman divergences.
result First agnostic learning result for SIMs with arbitrary monotone activations.
Efficiently models multiple correlated point data using generalized LGCPs.
problem Joint modeling of multiple correlated point data.
method Generalized LGCP framework with Gaussian process priors and variational inference.
result Orders of magnitude faster inference compared to existing methods.
Analyzes GJR-GARCH moments for efficient predictive distributions.
problem Estimating moments of GARCH processes for accurate predictions.
method Derives analytic expressions for GJR-GARCH moments and their limits.
result Analytic moments provide excellent approximate predictive distributions.
A new method calculates fractional moments using the moment-generating function.
problem Computing fractional moments from probability densities.
method Integral framework based on moment-generating function.
result Exact integral expressions for various types of moments.
Study compares weak and homotopy moment maps in multisymplectic geometry.
problem Existence and equivariance of moment maps in multisymplectic geometry.
method Comparison of weak and homotopy moment maps.
result Analysis of existence and equivariance phenomena.
GraphMoE generates random graphs using neural networks and graphlets.
problem Learning generative models for random graphs.
method GraphMoE uses a neural network trained with graphlets and subgraph counts to match the distribution of random graphs.
result GraphMoE can generate graphs that mimic various real-world datasets and fool graph classifiers.