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Found 8 papers, 1 papers with code
Calibrated rank volatility stabilized models for large equity markets
In the framework of stochastic portfolio theory we introduce rank volatility stabilized models for large equity markets over long time horizons.
The LuViRA Dataset: Synchronized Vision, Radio, and Audio Sensors for Indoor Localization
The dataset includes color images, corresponding depth maps, inertial measurement unit (IMU) readings, channel response between a 5G massive multiple-input and multiple-output (MIMO) testbed and user equipment, audio recorded by 12 microphones, and accurate six degrees of freedom (6DOF) pose ground truth of 0. 5 mm.
Ergodic robust maximization of asymptotic growth under stochastic volatility
We consider an asymptotic robust growth problem under model uncertainty and in the presence of (non-Markovian) stochastic covariance.
Open Markets and Hybrid Jacobi Processes
Our approach combines open markets, where trading is confined to the top $N$ capitalized stocks as well as the market portfolio consisting of all $d$ assets, with a parametric family of models which we call hybrid Jacobi processes.
Robust Asymptotic Growth in Stochastic Portfolio Theory under Long-Only Constraints
In addition to the general results outlined above, we propose the use of a broad class of models for the volatility matrix $c(x)$, which can be calibrated to data and, under which, we obtain explicit formulas of the optimal unconstrained portfolio for any invariant density.
Relative Arbitrage: Sharp Time Horizons and Motion by Curvature
We characterize the minimal time horizon over which any equity market with $d \geq 2$ stocks and sufficient intrinsic volatility admits relative arbitrage with respect to the market portfolio.
Spectral Characterization of functional MRI data on voxel-resolution cortical graphs
The human cortical layer exhibits a convoluted morphology that is unique to each individual.
Polynomial Jump-Diffusion Models
We develop a comprehensive mathematical framework for polynomial jump-diffusions in a semimartingale context, which nest affine jump-diffusions and have broad applications in finance.
