Sequential hypothesis testing in machine learning, and crude oil price jump size detection
From MaRDI portal
(Redirected from Publication:4994675)
Abstract: In this paper we present a sequential hypothesis test for the detection of general jump size distrubution. Infinitesimal generators for the corresponding log-likelihood ratios are presented and analyzed. Bounds for infinitesimal generators in terms of super-solutions and sub-solutions are computed. This is shown to be implementable in relation to various classification problems for a crude oil price data set. Machine and deep learning algorithms are implemented to extract a specific deterministic component from the crude oil data set, and the deterministic component is implemented to improve the Barndorff-Nielsen and Shephard model, a commonly used stochastic model for derivative and commodity market analysis.
Recommendations
- Bayesian sequential testing for Lévy processes with diffusion and jump components
- Infinitesimal generators for two-dimensional Lévy process-driven hypothesis testing
- Sequential testing problems for Lévy processes
- Rate-optimal tests for jumps in diffusion processes
- On detecting changes in the jumps of arbitrary size of a time-continuous stochastic process
Cites work
- A sequential procedure for multihypothesis testing
- Analysis of variance based instruments for Ornstein-Uhlenbeck type models: swap and price index
- Barndorff-Nielsen and Shephard model: oil hedging with variance swap and option
- Generalized BN-S stochastic volatility model for option pricing
- scientific article; zbMATH DE number 1639858 (Why is no real title available?)
- scientific article; zbMATH DE number 3062496 (Why is no real title available?)
- Infinitesimal generators for two-dimensional Lévy process-driven hypothesis testing
- Minimax Methods for Multihypothesis Sequential Testing and Change-Point Detection Problems
- Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
- On the Dirichlet problem for second-order elliptic integro-differential equations
- Option Pricing in Stochastic Volatility Models of the Ornstein‐Uhlenbeck type
- Sequential multi-hypothesis testing for compound Poisson processes
- Sequential Testing for Several Signals in Gaussian White Noise
- Some stationary processes in discrete and continuous time
- Superposition of Ornstein-Uhlenbeck type processes
- Volatility and variance swap using superposition of the Barndorff-Nielsen and Shephard type Lévy processes
Cited in
(7)- Analysis of optimal portfolio on finite and small-time horizons for a stochastic volatility market model
- Modeling high frequency stock market data by using stochastic models
- Analysis of stock index with a generalized BN-S model: an approach based on machine learning and fuzzy parameters
- A Barndorff-Nielsen and Shephard model with leverage in Hilbert space for commodity forward markets
- Analysis of optimal portfolio on finite and small-time horizons for a stochastic volatility model with multiple correlated assets
- First exit-time analysis for an approximate Barndorff-Nielsen and Shephard model with stationary self-decomposable variance process
- Share price changes using MST-based sequential change point detection
This page was built for publication: Sequential hypothesis testing in machine learning, and crude oil price jump size detection
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4994675)
