We show that three prominent consumption-based asset pricing models—the Bansal–Yaron, Campbell–Cochrane and Cecchetti–Lam–Mark models—cannot explain the dynamic properties of stock market returns. We show this by e...
In this study, we look at the wavelet basis for the nonparametric estimation of density and regression functions for continuous functional stationary processes in Hilbert space. The mean integrated squared error for a small subset is established. We...
The nonparametric estimation of density and regression function based on functional stationary processes using wavelet bases for Hilbert spaces of functions is investigated in this paper. The mean integrated square error over adapted decomposition sp...
This study introduces a wavelet-based framework for estimating derivatives of a general regression function within discrete-time, stationary ergodic processes. The analysis focuses on deriving the integrated mean squared error (IMSE) over compact sub...
In this work, we propose a wavelet-based framework for estimating the derivatives of a density function in the setting of continuous, stationary, and ergodic processes. Our primary focus is the derivation of the integrated mean square error (IMSE) ov...
In this paper, we introduce the martingale Hardy spaces and
This paper studies the effects of common shocks on the OLS estimators of the slopes’ parameters in linear panel data models. The shocks are assumed to affect both the errors and some of the explanatory variables. In contrast to existing approaches, w...
This paper is concerned with the problem of asymptotic stability for a class of stochastic differential equations with impulsive effects. A sufficient criterion on asymptotic stability is derived for such impulsive stochastic differential equations v...
In this study, we propose a smoothed weighted quantile regression (SWQR), which combines convolution smoothing with a weighted framework to address the limitations. By smoothing the non-differentiable quantile regression loss function, SWQR can impro...
This paper proposes a class of partial cointegrated models allowing for structural breaks in the deterministic terms. Moving-average representations of the models are given. It is then shown that, under the assumption of martingale difference innovat...
This article studies the theoretical properties of the numerical scheme for backward stochastic differential equations, extending the relevant results of Briand et al. with more general assumptions. To be more precise, the Brown motion will be approx...
Recognizing the importance of incorporating different risk measures in the portfolio management model, this paper examines the dynamic mean-risk portfolio optimization problem using both variance and value at risk (VaR) as risk measures. By employing...
In this paper, we consider a class of stochastic differential equations driven by multiplicative
We study a finite-horizon optimal job-switching and portfolio allocation problem where an agent faces a mandatory retirement date. The agent can freely switch between two jobs with differing levels of income and leisure. The financial market consists...
In this paper, we develop an energy-based, large-scale dynamical system model driven by Markov diffusion processes to present a unified framework for statistical thermodynamics predicated on a stochastic dynamical systems formalism. Specifically, usi...
Currently, network applications, such as audio, video, and augmented reality, have different stringent service requirements. They require service provision through end-to-end connections via other networks with different operating environments or ser...
This paper studies efficient market hypothesis in prediction markets and the results are illustrated for the in-play football betting market using the quoted odds for the English Premier League. Our analysis is based on the martingale property, where...
For large space dimensions, the log-linear convergence of the elitist evolution strategy with a 1/5 success rule on the sphere fitness function has been observed, experimentally, from the very beginning. Finding a mathematical proof took considerably...
The nonhomogeneous Poisson process model with power law intensity, also known as the Army Materiel Systems Analysis Activity (AMSAA) model, is commonly used to model the reliability growth process of many repairable systems. In practice, it is necess...
The emerging sixth-generation networks have to provide effective support to a wide plethora of novel disruptive heterogeneous applications. This paper models the probabilistic end-to-end delay bound for the virtual reality services in the presence of...
Most of the models leading to an analytical expression for option prices are based on the assumption that underlying asset returns evolve according to a Brownian motion with drift. For some asset classes like commodities, a Brownian model does not fi...
Next-generation networks are expected to handle a wide variety of internet of everything (IoE) services, notably including virtual reality (VR) for smart industrial-oriented applications. VR for industrial environments subtends strict quality of serv...
The conditional Gaussian nonlinear system (CGNS) is a broad class of nonlinear stochastic dynamical systems. Given the trajectories for a subset of state variables, the remaining follow a Gaussian distribution. Despite the conditionally linear struct...
This study explores market efficiency and behavior by integrating key theories such as the Efficient Market Hypothesis (EMH), Adaptive Market Hypothesis (AMH), Informational Efficiency and Random Walk theory. Using LSTM enhanced by optimizers like St...
Auxiliary reins are commonly used for the training of riders and horses as well as in daily training. They are often criticized when used incorrectly, as they will not help and can harm the horse by causing overwork, accidents, and injuries, which ha...
When analyzing smart metering data, both reading errors and frauds can be identified. The purpose of this analysis is to alert the utility companies to suspicious consumption behavior that could be further investigated with on-site inspections or oth...
In this study, we present a novel mathematical framework for pricing financial derivates and modelling asset behaviour by bringing together fractional Brownian motion (fBm), fuzzy logic, and jump processes, all aligned with no-arbitrage principle. In...
The success of Bitcoin has spurred emergence of countless alternative coins with some of them shutting down only few weeks after their inception, thus disappearing with millions of dollars collected from enthusiast investors through initial coin offe...
Background/Objectives: Time-to-event endpoints such as Overall Survival (OS), Progression-Free Survival (PFS), and Event-Free Survival (EFS) are central in phase III oncology trials. Hazard ratios from Cox proportional hazards models and log-rank tes...
This paper demonstrates that perfectly calibrating a multi-asset model to observed market prices of all basket call options is insufficient to uniquely determine the price of a best-of call option. Previous research on multi-asset option pricing has...