Article
Business, Finance
Youssef El-Khatib, Stephane Goutte, Zororo S. Makumbe, Josep Vives
Summary: In this paper, we investigate the pricing of European call options under a hybrid CEV-Heston model from both theoretical and empirical perspectives. The model captures the leverage effect and stochastic volatility behavior of financial assets. Theoretical proofs show the model's coverage of the leverage effect, while empirical analysis demonstrates the volatility clustering property. We propose an approximate formula for pricing European call options using a decomposition of the option price, and compare its accuracy with the Monte Carlo method. The results confirm the efficiency of our approximate formula.
FINANCE RESEARCH LETTERS
(2022)
Article
Business, Finance
Sora Chon, Jaeho Kim
Summary: This study investigates how the financial leverage effect changes across different volatility regimes using a new regime switching stochastic volatility model applied to daily return data of the S&P 500 and NASDAQ indices. The empirical analysis using Bayesian inference reveals that the leverage effect is reinforced when financial markets enter into high or medium-high volatility regimes.
FINANCE RESEARCH LETTERS
(2021)
Article
Physics, Multidisciplinary
Anna Pajor
Summary: This paper introduces a new method for estimating the Bayes factor, with simulation examples confirming its good performance. Additionally, it is found that the validity of reducing the hybrid MSV-MGARCH model to the MGARCH specification depends on the analyzed dataset and prior assumptions about model parameters.
Article
Physics, Multidisciplinary
Giulio Franzese, Dimitrios Milios, Maurizio Filippone, Pietro Michiardi
Summary: In this work, a novel practical method is proposed to make the sg noise isotropic by using a fixed learning rate determined analytically. Extensive experimental validations indicate that the proposal is competitive with the state of the art on sgmcmc.
Article
Economics
Nianling Wang, Zhusheng Lou
Summary: The stochastic volatility (SV) model is widely used to study time-varying volatility. However, the linearity assumption for transition equation in basic SV model is restrictive. To allow for nonlinearity, we proposed a semiparametric SV model that specifies a nonparametric transition equation for log-volatility using natural cubic splines. The empirical applications to Bitcoin and convertible bond return data indicate that the transition equations of their log-volatility are highly nonlinear. Taking nonlinearity into account, the semi-parametric SV model can improve the likelihood of the basic SV model both in-sample and out-of-sample.
ECONOMIC MODELLING
(2023)
Article
Economics
Leopoldo Catania
Summary: We introduce a new stochastic volatility model that better characterizes the leverage effect and propagation in financial time series. It can also be used for testing and diagnostics, and nests other asymmetric volatility models.
JOURNAL OF BUSINESS & ECONOMIC STATISTICS
(2022)
Article
Economics
Alessio Brini, Jimmie Lenz
Summary: By analyzing various cryptocurrencies, we found that the leverage effect is absent in this market. Unlike the equity market, investors show less panic behavior and appear indifferent to negative returns in terms of market participation. Furthermore, our results demonstrate the reversal of the negative asymmetric effect for certain cryptocurrencies, indicating investors' fear of missing out.
Review
Statistics & Probability
Christopher Nemeth, Paul Fearnhead
Summary: MCMC algorithms are considered the gold standard technique for Bayesian inference, but the computational cost can be prohibitive for large datasets, leading to the development of scalable Monte Carlo algorithms. One type of these algorithms is SGMCMC, which reduces per-iteration cost by utilizing data subsampling techniques.
JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION
(2021)
Editorial Material
Economics
Mark Bognanni
Summary: This article introduces a method for fully Bayesian inference in the VAR-SV model and compares the different effects of using the triangular algorithm and the systemwide algorithm in the MCMC algorithm.
JOURNAL OF ECONOMETRICS
(2022)
Article
Computer Science, Theory & Methods
Xinzhu Liang, Shangda Yang, Simon L. L. Cotter, Kody J. H. Law
Summary: This paper addresses the problem of estimating expectations when the normalizing constant of the target distribution is unknown and the unnormalized target needs to be approximated at finite resolution. Building upon a recently introduced multi-index sequential Monte Carlo (SMC) ratio estimator, this work combines the complexity improvements of multi-index Monte Carlo (MIMC) with the efficiency of SMC for inference. The proposed method uses a randomization strategy to remove bias entirely, simplifying the estimation process, particularly in the context of MIMC.
STATISTICS AND COMPUTING
(2023)
Article
Physics, Multidisciplinary
Yuliya Shapovalova
Summary: This study empirically illustrates the performance of different classes of Bayesian inference methods in estimating stochastic volatility models, comparing their adaptability to various model specifications and dimensions. The research emphasizes the importance of considering various data-generating processes for a fair assessment of the methods used in comparing models.
Article
Mathematics, Applied
Coffie Emmanuel, Xuerong Mao
Summary: This paper examines the analytical properties of the true solution of the Ait-Sahalia model with time-delayed volatility in the spot interest rate, and proposes new techniques for constructing numerical solutions. It is demonstrated that the truncated Euler-Maruyama approximate solution can be effectively utilized within a Monte Carlo scheme for valuing financial instruments such as options and bonds.
JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS
(2021)
Article
Mechanics
Daniel Dominguez-Vazquez, Gustaaf B. Jacobs, Daniel M. Tartakovsky
Summary: The study focused on the uncertainty introduced in the model predictions by the interaction between particles and carrier flow in deterministic Eulerian-Lagrangian models, finding that the stochastic solution is highly non-Gaussian. Through numerical calculations and Monte Carlo comparisons of the evolution of joint PDF of the particle phase and drag coefficient, the importance of the method for approximating the initial conditions was demonstrated.
Article
Computer Science, Interdisciplinary Applications
Darjus Hosszejni, Gregor Kastner
Summary: Stochastic volatility (SV) models, popular for fitting and predicting heteroskedastic time series, face challenges in efficient estimation due to a large number of latent quantities. The authors address this by introducing novel implementations of five SV models in two R packages, enhancing computational efficiency and offering user-friendly interfaces. Additionally, they discuss Bayesian SV estimation and demonstrate the new software through various examples.
JOURNAL OF STATISTICAL SOFTWARE
(2021)
Article
Computer Science, Theory & Methods
Angelos Alexopoulos, Petros Dellaportas, Michalis K. Titsias
Summary: This paper introduces a general framework for constructing estimators with reduced variance for random walk Metropolis and Metropolis-adjusted Langevin algorithms. The proposed method uses the approximate solution of the Poisson equation to produce control variates, achieving variance reduction. Simulated data examples and real data examples verify the effectiveness of the method.
STATISTICS AND COMPUTING
(2023)
Article
Green & Sustainable Science & Technology
Lars odegaard Bentsen, Narada Dilp Warakagoda, Roy Stenbro, Paal Engelstad
Summary: This study investigates uncertainty modeling in wind power forecasting using different parametric and non-parametric methods. Johnson's SU distribution is found to outperform Gaussian distributions in predicting wind power. This research contributes to the literature by introducing Johnson's SU distribution as a candidate for probabilistic wind forecasting.
JOURNAL OF CLEANER PRODUCTION
(2024)
Article
Green & Sustainable Science & Technology
Xing Liu, Qiuchen Wang, Yunhao Wen, Long Li, Xinfang Zhang, Yi Wang
Summary: This study analyzes the characteristics of process parameters in three lean gas ethane recovery processes and establishes a prediction and multiobjective optimization model for ethane recovery and system energy consumption. A new method for comparing ethane recovery processes for lean gas is proposed, and the addition of extra coolers improves the ethane recovery. The support vector regression model based on grey wolf optimization demonstrates the highest prediction accuracy, and the multiobjective multiverse optimization algorithm shows the best optimization performance and diversity in the solutions.
JOURNAL OF CLEANER PRODUCTION
(2024)
Article
Green & Sustainable Science & Technology
Cairong Song, Haidong Yang, Xian-Bing Meng, Pan Yang, Jianyang Cai, Hao Bao, Kangkang Xu
Summary: The paper proposes a novel deep learning-based prediction framework, aTCN-LSTM, for accurate cooling load predictions. The framework utilizes a gate-controlled multi-head temporal convolutional network and a sparse probabilistic self-attention mechanism with a bidirectional long short-term memory network to capture both temporal and long-term dependencies in the cooling load sequences. Experimental results demonstrate the effectiveness and superiority of the proposed method, which can serve as an effective guide for HVAC chiller scheduling and demand management initiatives.
JOURNAL OF CLEANER PRODUCTION
(2024)
Article
Green & Sustainable Science & Technology
Zhe Chen, Xiaojing Li, Xianli Xia, Jizhou Zhang
Summary: This study uses survey data from the Loess Plateau in China to evaluate the impact of social interaction on the adoption of soil and water conservation (SWC) technology by farmers. The study finds that social interaction increases the likelihood of farmers adopting SWC, and internet use moderates this effect. The positive impact of social interaction on SWC adoption is more pronounced for farmers in larger villages and those who join cooperative societies.
JOURNAL OF CLEANER PRODUCTION
(2024)
Article
Green & Sustainable Science & Technology
Chenghua Zhang, Yunfei Yan, Kaiming Shen, Zongguo Xue, Jingxiang You, Yonghong Wu, Ziqiang He
Summary: This paper reports a novel method that significantly improves combustion performance, including heat transfer enhancement under steady-state conditions and adaptive stable flame regulation under velocity sudden increase.
JOURNAL OF CLEANER PRODUCTION
(2024)