activity
20162025
most citedFractional Brownian markets with time-varying volatility and high-frequency data

8 citations · 8 across the 7 of their papers we have counts for

collaborators

8 papers

math.ST2025

On testing the class of symmetry using entropy characterization and empirical likelihood approach

Ganesh Vishnu Avhad, Ananya Lahiri, Sudheesh K. Kattumannil

In this paper, we obtain a new characterization result for symmetric distributions based on the entropy measure. Using the characterization, we propose a nonparametric test to test…

math.ST2024

Jackknife Empirical Likelihood Ratio Test for Cauchy Distribution

Ganesh Vishnu Avhad, Ananya Lahiri, Sudheesh K. Kattumannil

Heavy-tailed distributions, such as the Cauchy distribution, are acknowledged for providing more accurate models for financial returns, as the normal distribution is deemed insuffi…

stat.ME2024

Nonparametric goodness of fit tests for Pareto type-I distribution with complete and censored data

Avhad Ganesh Vishnu, Ananya Lahiri, Sudheesh K. Kattumannil

Two new goodness of fit tests for the Pareto type-I distribution for complete and right censored data are proposed using fixed point characterization based on Steins type identity.…

stat.ME2018

Modeling Risk and Return using Dirichlet Process Prior

Sourish Das, Aritra Halder, Ananya Lahiri +1

In this paper, we showed that the no-arbitrage condition holds if the market follows the mixture of the geometric Brownian motion (GBM). The mixture of GBM can incorporate heavy-ta…

math.ST2017★ 8 cited

Fractional Brownian markets with time-varying volatility and high-frequency data

Ananya Lahiri, Rituparna Sen

Diffusion processes driven by Fractional Brownian motion (FBM) have often been considered in modeling stock price dynamics in order to capture the long range dependence of stock pr…

stat.AP2017

Understanding Betting Strategy

Kanika Saha, Ananya Lahiri

In this paper, we present betting strategy of a football game using probability theory. We know all betting houses offer slightly unfair odds towards the player. Here we discuss a…

math.ST2016

Asymptotic properties of the volatility estimator from high frequency data modeled by mixed fractional Brownian motion

Ananya Lahiri

Properties of mixed fractional Brownian motion has been discussed by Cheridito (2001) and Zili (2006). We have proposed an estimator of volatility parameter for a model driven by M…

stat.AP2016

Understanding Sea Ice Melting via Functional Data Analysis

Purba Das, Ananya Lahiri, Sourish Das

In this article, we considered the problem of sea ice cover is melting. Considering the `satellite passive microwave remote sensing data' as functional data, we studied daily obser…