Statistical Finance

Authors and titles for recent submissions

[ total of 8 entries: 1-8 ]
[ showing up to 25 entries per page: fewer | more ]

[1] arXiv:2405.00051 (cross-list from physics.soc-ph) [pdf, other]: Title: Arbitrage impact on the relationship between XRP price and correlation tensor spectra of transaction networks

Authors: Abhijit Chakraborty, Yuichi Ikeda

Comments: 12 pages, 8 figures

Subjects: Physics and Society (physics.soc-ph); General Finance (q-fin.GN); Statistical Finance (q-fin.ST)
[2] arXiv:2405.00046 (cross-list from physics.soc-ph) [pdf, ps, other]: Title: Synchronization in a market model with time delays

Authors: Ghassan Dibeh, Omar El Deeb

Comments: 12 pages, 4 figures

Subjects: Physics and Society (physics.soc-ph); Statistical Finance (q-fin.ST)

[3] arXiv:2404.17008 (cross-list from q-fin.RM) [pdf, other]: Title: The TruEnd-procedure: Treating trailing zero-valued balances in credit data

Authors: Arno Botha, Tanja Verster, Roelinde Bester

Comments: 21 pages, 7255 words, 10 Figures

Subjects: Risk Management (q-fin.RM); Statistical Finance (q-fin.ST); Applications (stat.AP)

[4] arXiv:2404.16449 (cross-list from q-fin.CP) [pdf, other]: Title: Analysis of market efficiency in main stock markets: using Karman-Filter as an approach

Authors: Beier Liu, Haiyun Zhu

Subjects: Computational Finance (q-fin.CP); Statistical Finance (q-fin.ST)
[5] arXiv:2404.16169 (cross-list from cs.CE) [pdf, other]: Title: Interpretable Machine Learning Models for Predicting the Next Targets of Activist Funds

Authors: Minwu Kim

Comments: 15 pages

Subjects: Computational Engineering, Finance, and Science (cs.CE); Statistical Finance (q-fin.ST)

[6] arXiv:2404.15495 [pdf, other]: Title: Correlations versus noise in the NFT market

Authors: Marcin Wątorek, Paweł Szydło, Jarosław Kwapień, Stanisław Drożdż

Subjects: Statistical Finance (q-fin.ST); Computational Engineering, Finance, and Science (cs.CE); Econometrics (econ.EM); Data Analysis, Statistics and Probability (physics.data-an); Applications (stat.AP)
[7] arXiv:2404.15478 (cross-list from q-fin.TR) [pdf, other]: Title: Algorithmic Market Making in Spot Precious Metals

Authors: Alexander Barzykin, Philippe Bergault, Olivier Guéant

Subjects: Trading and Market Microstructure (q-fin.TR); Risk Management (q-fin.RM); Statistical Finance (q-fin.ST)

[8] arXiv:2404.14136 [pdf, ps, other]: Title: Elicitability and identifiability of tail risk measures

Authors: Tobias Fissler, Fangda Liu, Ruodu Wang, Linxiao Wei

Comments: 31 pages

Subjects: Statistical Finance (q-fin.ST); Statistics Theory (math.ST); Risk Management (q-fin.RM); Methodology (stat.ME)

[ total of 8 entries: 1-8 ]
[ showing up to 25 entries per page: fewer | more ]