2 citations · 3 across the 9 of their papers we have counts for
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q-fin.ST2023
From Deep Filtering to Deep Econometrics
Robert Stok, Paul Bilokon
Calculating true volatility is an essential task for option pricing and risk management. However, it is made difficult by market microstructure noise. Particle filtering has been p…
q-fin.ST2023
Real-time VaR Calculations for Crypto Derivatives in kdb+/q
Yutong Chen, Paul Bilokon, Conan Hales +1
Cryptocurrency market is known for exhibiting significantly higher volatility than traditional asset classes. Efficient and adequate risk calculation is vital for managing risk exp…
q-fin.ST2021
Iterated and exponentially weighted moving principal component analysis
Paul Bilokon, David Finkelstein
The principal component analysis (PCA) is a staple statistical and unsupervised machine learning technique in finance. The application of PCA in a financial setting is associated w…