Zobrazeno 1 - 10
of 132
pro vyhledávání: '"Filimonov, Vladimir"'
Autor:
Marchenkov, Victor, Surin, Alexey, Ugarov, Victor, Kotova, Nina, Marchenko, Natalia, Fedorov, Alexey, Finkelstein, Alexei, Filimonov, Vladimir, Semisotnov, Gennady
Publikováno v:
In BBA - Proteins and Proteomics 1 September 2024 1872(5)
Publikováno v:
Phys. Rev. E 97, 032318 (2018)
Given a stationary point process, an intensity burst is defined as a short time period during which the number of counts is larger than the typical count rate. It might signal a local non-stationarity or the presence of an external perturbation to th
Externí odkaz:
http://arxiv.org/abs/1610.05383
We present a detailed methodological study of the application of the modified profile likelihood method for the calibration of nonlinear financial models characterised by a large number of parameters. We apply the general approach to the Log-Periodic
Externí odkaz:
http://arxiv.org/abs/1602.08258
We introduce the Hawkes process with renewal immigration and make its statistical estimation possible with two Expectation Maximization (EM) algorithms. The standard Hawkes process introduces immigrant points via a Poisson process, and each immigrant
Externí odkaz:
http://arxiv.org/abs/1407.7118
Autor:
Filimonov, Vladimir, Sornette, Didier
Publikováno v:
Chaos, Solitons & Fractals, 2015, 74 (5), 27-45
We investigate the distributions of epsilon-drawdowns and epsilon-drawups of the most liquid futures financial contracts of the world at time scales of 30 seconds. The epsilon-drawdowns (resp. epsilon- drawups) generalise the notion of runs of negati
Externí odkaz:
http://arxiv.org/abs/1407.5037
Autor:
Filimonov, Vladimir, Sornette, Didier
We present a careful analysis of possible issues on the application of the self-excited Hawkes process to high-frequency financial data. We carefully analyze a set of effects leading to significant biases in the estimation of the "criticality index"
Externí odkaz:
http://arxiv.org/abs/1308.6756
In order to disentangle the internal dynamics from exogenous factors within the Autoregressive Conditional Duration (ACD) model, we present an effective measure of endogeneity. Inspired from the Hawkes model, this measure is defined as the average fr
Externí odkaz:
http://arxiv.org/abs/1306.2245
Autor:
Filimonov, Vladimir, Sornette, Didier
Publikováno v:
Phys. Rev. E 85 (5), 056108 (2012)
We introduce a new measure of activity of financial markets that provides a direct access to their level of endogeneity. This measure quantifies how much of price changes are due to endogenous feedback processes, as opposed to exogenous news. For thi
Externí odkaz:
http://arxiv.org/abs/1201.3572
Autor:
Filimonov, Vladimir, Sornette, Didier
The observation of power laws in the time to extrema of volatility, volume and intertrade times, from milliseconds to years, are shown to result straightforwardly from the selection of biased statistical subsets of realizations in otherwise featurele
Externí odkaz:
http://arxiv.org/abs/1112.3868
Autor:
Filimonov, Vladimir, Sornette, Didier
Publikováno v:
Filimonov, V., Sornette, D. (2013). A Stable and Robust Calibration Scheme of the Log-Periodic Power Law Model. Physica A, 392(17), 3698-3707
We present a simple transformation of the formulation of the log-periodic power law formula of the Johansen-Ledoit-Sornette model of financial bubbles that reduces it to a function of only three nonlinear parameters. The transformation significantly
Externí odkaz:
http://arxiv.org/abs/1108.0099