421 citations
Counting papers with at most 25 authors, so collaboration author lists do not stand in for the people here.
- University College LondonGB63 papers
- Systemic Risk CentreGB48 papers
- University of OxfordGB20 papers
- University of WarwickGB18 papers
- King's College LondonGB16 papers
- London Mathematical LaboratoryGB12 papers
- University of Illinois Urbana-ChampaignUS12 papers
- Centre National de la Recherche ScientifiqueFR11 papers
- Queen Mary University of LondonGB11 papers
- The Open UniversityGB11 papers
- City, University of LondonGB10 papers
- ETH ZurichCH10 papers
19 papers · 1 filter
Bubble Economics
Tomohiro Hirano, Alexis Akira Toda
This article provides a self-contained overview of the theory of rational asset price bubbles. We cover topics from basic definitions, properties, and classical results to frontier…
Individual and gender inequality in computer science: A career study of cohorts from 1970 to 2000
Haiko Lietz, Mohsen Jadidi, Daniel Kostic +2
Inequality prevails in science. Individual inequality means that most perish quickly and only a few are successful, while gender inequality implies that there are differences in ac…
On product Schur triples in the integers
Letícia Mattos, Domenico Mergoni Cecchelli, Olaf Parczyk
Schur's theorem states that in any -colouring of the set of integers there is a monochromatic solution to , provided is sufficiently large. Abbott and Wang stud…
Machine-learning regression methods for American-style path-dependent contracts
Matteo Gambara, Giulia Livieri, Andrea Pallavicini
Evaluating financial products with early-termination clauses, in particular those with path-dependent structures, is challenging. This paper focuses on Asian options, look-back opt…
Pairwise likelihood estimation and limited information goodness-of-fit test statistics for binary factor analysis models under complex survey sampling
Haziq Jamil, Irini Moustaki, Chris Skinner
This paper discusses estimation and limited information goodness-of-fit test statistics in factor models for binary data using pairwise likelihood estimation and sampling weights.…
When Composite Likelihood Meets Stochastic Approximation
Giuseppe Alfonzetti, Ruggero Bellio, Yunxiao Chen +1
A composite likelihood is an inference function derived by multiplying a set of likelihood components. This approach provides a flexible framework for drawing inference when the li…
Automated regime classification in multidimensional time series data using sliced Wasserstein k-means clustering
Qinmeng Luan, James Hamp
Recent work has proposed Wasserstein k-means (Wk-means) clustering as a powerful method to classify regimes in time series data, and one-dimensional asset returns in particular. In…
The evolution of a non-autonomous chaotic system under non-periodic forcing: a climate change example
Francisco de Melo Viríssimo, David A. Stainforth, Jochen Bröcker
Complex Earth System Models are widely utilised to make conditional statements about the future climate under some assumptions about changes in future atmospheric greenhouse gas co…
Relational Quantum Mechanics and Contextuality
Calum J. Robson
This paper discusses the question of Stable Facts in Relational Quantum Mechanics. I examine how the approach to quantum logic in the consistent histories formalism can be used to…
Self-Dual Maxwell Fields from Clifford Analysis
Calum Robson
The study of complex functions is based around the study of holomorphic functions, satisfying the Cauchy-Riemann equations. The relatively recent field of Clifford Analysis lets us…
Contagious McKean--Vlasov problems with common noise: from smooth to singular feedback through hitting times
Ben Hambly, Aldaïr Petronilia, Christoph Reisinger +2
We consider a family of McKean--Vlasov equations arising as the large particle limit of a system of interacting particles on the positive half-line with common noise and feedback.…
A Note on Ising Network Analysis with Missing Data
Siliang Zhang, Yunxiao Chen
The Ising model has become a popular psychometric model for analyzing item response data. The statistical inference of the Ising model is typically carried out via a pseudo-likelih…
Unimodal maps perturbed by heteroscedastic noise: an application to a financial systems
F. Lillo, G. Livieri, S. Marmi +2
We investigate and prove the mathematical properties of a general class of one-dimensional unimodal smooth maps perturbed with a heteroscedastic noise. Specifically, we investigate…
Upper bounds for Grothendieck constants, quantum correlation matrices and CCP functions
Frank Oertel
Within the framework of the search for the still unknown exact value of the real and complex Grothendieck constant in the famous Grothendieck inequality (unsolved…
DIF Analysis with Unknown Groups and Anchor Items
Gabriel Wallin, Yunxiao Chen, Irini Moustaki
Ensuring fairness in instruments like survey questionnaires or educational tests is crucial. One way to address this is by a Differential Item Functioning (DIF) analysis, which exa…
Understanding the householder solar panel consumer: A Markovian model and its societal implications
Marta Leocata, Giulia Livieri, Silvia Morlacchi +3
Household adoption of rooftop photovoltaic (PV) systems is central to the green energy transition, yet diffusion depends on social influence and behavioral biases, as well as payba…
A two-step estimator for multilevel latent class analysis with covariates
Roberto Di Mari, Zsuzsa Bakk, Jennifer Oser +1
We propose a two-step estimator for multilevel latent class analysis (LCA) with covariates. The measurement model for observed items is estimated in its first step, and in the seco…
Complex Daily Activities, Country-Level Diversity, and Smartphone Sensing: A Study in Denmark, Italy, Mongolia, Paraguay, and UK
Karim Assi, Lakmal Meegahapola, William Droz +19
Smartphones enable understanding human behavior with activity recognition to support people's daily lives. Prior studies focused on using inertial sensors to detect simple activiti…
FTX's downfall and Binance's consolidation: The fragility of centralised digital finance
David Vidal-Tomás, Antonio Briola, Tomaso Aste
This paper investigates the causes of the FTX digital currency exchange's failure in November 2022. We identify the collapse of the Terra-Luna ecosystem as the pivotal event that t…