5 citations · 9 across the 5 of their papers we have counts for
6 papers
Transformer-Based Neural Marked Spatio Temporal Point Process Model for Football Match Events Analysis
Calvin C. K. Yeung, Tony Sit, Keisuke Fujii
With recently available football match event data that record the details of football matches, analysts and researchers have a great opportunity to develop new performance metrics,…
Adaptive Robust Online Portfolio Selection
Man Yiu Tsang, Tony Sit, Hoi Ying Wong
The online portfolio selection (OLPS) problem differs from classical portfolio model problems, as it involves making sequential investment decisions. Many OLPS strategies described…
Simulation-based Value-at-Risk for Nonlinear Portfolios
Junyao Chen, Tony Sit, Hoi Ying Wong
Value-at-risk (VaR) has been playing the role of a standard risk measure since its introduction. In practice, the delta-normal approach is usually adopted to approximate the VaR of…
Event History Analysis of Dynamic Communication Networks
Tony Sit, Zhiliang Ying, Yi Yu
Statistical analysis on networks has received growing attention due to demand from various emerging applications. In dynamic networks, one of the key interests is to model the even…
From Boundary Crossing of Non-Random Functions to Boundary Crossing of Stochastic Processes
Mark Brown, Victor de la Pena, Tony Sit
One problem of wide interest involves estimating expected crossing-times. Several tools have been developed to solve this problem beginning with the works of Wald and the theory of…
Parameter Estimation using Empirical Likelihood combined with Market Information
Steven Kou, Tony Sit, Zhiliang Ying
During the last decade Levy processes with jumps have received increasing popularity for modelling market behaviour for both derviative pricing and risk management purposes. Chan e…