50 citations · 119 across the 14 of their papers we have counts for
5 papers · 1 filter
Machine learning models for predicting catastrophe bond coupons using climate data
Julia Kończal, Michał Balcerek, Krzysztof Burnecki
In recent years, the growing frequency and severity of natural disasters have increased the need for effective tools to manage catastrophe risk. Catastrophe (CAT) bonds allow the t…
Two-dimensional fractional Brownian motion: Analysis in time and frequency domains
Michał Balcerek, Adrian Pacheco-Pozo, Agnieszka Wyłomańska +2
This article introduces a novel construction of the two-dimensional fractional Brownian motion (2D fBm) with dependent components. Unlike similar models discussed in the literature…
Multifractional Brownian motion with telegraphic, stochastically varying exponent
Michał Balcerek, Samudrajit Thapa, Krzysztof Burnecki +4
The diversity of diffusive systems exhibiting long-range correlations characterized by a stochastically varying Hurst exponent calls for a generic multifractional model. We present…
CINNAMON: A hybrid approach to change point detection and parameter estimation in single-particle tracking data
Jakub Malinowski, Marcin Kostrzewa, Michał Balcerek +2
Change point detection has become an important part of the analysis of the single-particle tracking data, as it allows one to identify moments, in which the motion patterns of obse…
Evaluating Gaussianity of heterogeneous fractional Brownian motion
Michał Balcerek, Adrian Pacheco-Pozo, Agnieszka Wyłomańska +1
Heterogeneous diffusion processes are prevalent in various fields, including the motion of proteins in living cells, the migratory movement of birds and mammals, and finance. These…