1.8k citations
Counting papers with at most 25 authors, so collaboration author lists do not stand in for the people here.
- University of ViennaAT14 papers
- Sapienza University of RomeIT12 papers
- Complexity Science HubAT11 papers
- University of SalzburgAT9 papers
- Johannes Kepler University of LinzAT8 papers
- Humboldt-Universität zu BerlinDE7 papers
- The University of MelbourneAU7 papers
- TU WienAT7 papers
- ETH ZurichCH6 papers
- Queensland University of TechnologyAU5 papers
- University College DublinIE5 papers
- University of AmsterdamNL5 papers
10 papers · 1 filter
Exact integrated completed likelihood maximisation in a stochastic block transition model for dynamic networks
Riccardo Rastelli
The latent stochastic block model is a flexible and widely used statistical model for the analysis of network data. Extensions of this model to a dynamic context often fail to capt…
Large-Scale Portfolio Allocation Under Transaction Costs and Model Uncertainty
Nikolaus Hautsch, Stefan Voigt
We theoretically and empirically study portfolio optimization under transaction costs and establish a link between turnover penalization and covariance shrinkage with the penalizat…
The Internet-of-Things Meets Business Process Management: A Manifesto
Christian Janiesch, Agnes Koschmider, Massimo Mecella +20
The Internet of Things (IoT) refers to a network of connected devices collecting and exchanging data over the Internet. These things can be artificial or natural, and interact as a…
Ancillarity-Sufficiency Interweaving Strategy (ASIS) for Boosting MCMC Estimation of Stochastic Volatility Models
Gregor Kastner, Sylvia Frühwirth-Schnatter
Bayesian inference for stochastic volatility models using MCMC methods highly depends on actual parameter values in terms of sampling efficiency. While draws from the posterior uti…
Talking Open Data
Sebastian Neumaier, Vadim Savenkov, Svitlana Vakulenko
Enticing users into exploring Open Data remains an important challenge for the whole Open Data paradigm. Standard stock interfaces often used by Open Data portals are anything but…
Pairs Trading under Drift Uncertainty and Risk Penalization
Sühan Altay, Katia Colaneri, Zehra Eksi
In this work, we study a dynamic portfolio optimization problem related to pairs trading, which is an investment strategy that matches a long position in one security with a short…
Sparse Bayesian vector autoregressions in huge dimensions
Gregor Kastner, Florian Huber
We develop a Bayesian vector autoregressive (VAR) model with multivariate stochastic volatility that is capable of handling vast dimensional information sets. Three features are in…
Effect fusion using model-based clustering
Gertraud Malsiner-Walli, Daniela Pauger, Helga Wagner
In social and economic studies many of the collected variables are measured on a nominal scale, often with a large number of categories. The definition of categories is usually not…
The amazing power of dimensional analysis: Quantifying market impact
Mathias Pohl, Alexander Ristig, Walter Schachermayer +1
This note complements the inspiring work on dimensional analysis and market microstructure by Kyle and Obizhaeva [18]. Following closely these authors, our main result shows by a s…
Ordinary differential equations in algebras of generalized functions
Evelina Erlacher, Michael Grosser
A local existence and uniqueness theorem for ODEs in the special algebra of generalized functions is established, as well as versions including parameters and dependence on initial…