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20042026
most citedAnalysis of the Rosenblatt process

222 citations

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Showing 2021Show all

5 papers · 1 filter

q-fin.TR2021★ 5 cited

Market making by an FX dealer: tiers, pricing ladders and hedging rates for optimal risk control

Alexander Barzykin, Philippe Bergault, Olivier Guéant

Dealers make money by providing liquidity to clients but face flow uncertainty and thus price risk. They can efficiently skew their prices and wait for clients to mitigate risk (in…

stat.ME2021

Nonparametric estimator of the tail dependence coefficient: balancing bias and variance

Matthieu Garcin, Maxime L. D. Nicolas

A theoretical expression is derived for the mean squared error of a nonparametric estimator of the tail dependence coefficient, depending on a threshold that defines which rank del…

hep-th2021★ 2 cited

Hidden Sectors from Multiple Line Bundles for the MSSM

Anthony Ashmore, Sebastian Dumitru, Burt A. Ovrut

We give a formalism for constructing hidden sector bundles as extensions of sums of line bundles in heterotic -theory. Although this construction is generic, we present it withi…

physics.atom-ph2021★ 8 cited

Optical excitation of ultra-relativistic partially stripped ions

J. Bieroń, M. W. Krasny, W. Płaczek +1

The Gamma Factory (GF) initiative aims at the construction of a unique experimental tool exploiting resonant interaction of light with ultra-relativistic partially stripped ions (P…

hep-ph2021★ 13 cited

Probing ALPs at the CERN Gamma Factory

Reuven Balkin, Mieczyslaw W. Krasny, Teng Ma +2

The aim of the proposed CERN Gamma Factory is to produce photons per second with energies up to 400 MeV. The photon beam intensity is expected to be a factor of $\ma…