Inference for large financial systems

DOI10.1111/mafi.12222OpenAlexW2752146356MaRDI QIDQ5109982

Justin A. Sirignano, Gustavo Schwenkler, Kay Giesecke

Publication date: 14 May 2020

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/mafi.12222

zbMATH Keywords

computational efficiencylikelihood inferencestatistical efficiencylarge interacting stochastic systems

Mathematics Subject Classification ID

Financial networks (including contagion, systemic risk, regulation) (91G45) Financial markets (91G15)

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Eigenfunction Martingale Estimators for Interacting Particle Systems and Their Mean Field Limit ⋮ Online parameter estimation for the McKean-Vlasov stochastic differential equation ⋮ Nonparametric adaptive estimation for interacting particle systems ⋮ Semiparametric estimation of McKean-Vlasov SDEs ⋮ Probabilistic properties and parametric inference of small variance nonlinear self-stabilizing stochastic differential equations ⋮ An SPDE model for systemic risk with endogenous contagion ⋮ Nonparametric estimation for interacting particle systems: McKean-Vlasov models ⋮ Parametric inference for small variance and long time horizon McKean-Vlasov diffusion models ⋮ The LAN property for McKean-Vlasov models in a mean-field regime

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