3 papers
math.PR2026
The Memoryless Best-Choice Problem
Alexander Gnedin, Marcos C. S. Carreira
A random sequence sampled from a known continuous distribution is observed with the objective to choose an item with the overall rank one. A rejected item cannot be recalled and is…
q-fin.RM2023
The Probability Conflation: A Reply
Nassim Nicholas Taleb, Ron Richman, Marcos Carreira +1
We respond to Tetlock et al. (2022) showing 1) how expert judgment fails to reflect tail risk, 2) the lack of compatibility between forecasting tournaments and tail risk assessment…
stat.ML2021
Exponential Kernels with Latency in Hawkes Processes: Applications in Finance
Marcos Costa Santos Carreira
The Tick library allows researchers in market microstructure to simulate and learn Hawkes process in high-frequency data, with optimized parametric and non-parametric learners. But…