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q-fin.CP2023
Precision versus Shrinkage: A Comparative Analysis of Covariance Estimation Methods for Portfolio Allocation
Sumanjay Dutta, Shashi Jain
In this paper, we perform a comprehensive study of different covariance and precision matrix estimation methods in the context of minimum variance portfolio allocation. The set of…
stat.ML2023
A neural network based model for multi-dimensional nonlinear Hawkes processes
Sobin Joseph, Shashi Jain
This paper introduces the Neural Network for Nonlinear Hawkes processes (NNNH), a non-parametric method based on neural networks to fit nonlinear Hawkes processes. Our method is su…