2 papers
cs.LG2026
Score-Driven Rating System for Sports
Vladimír Holý, Michal Černý
This paper introduces a score-driven rating system, a generalization of the classical Elo rating system that employs the score, i.e. the gradient of the log-likelihood, as the upda…
q-fin.ST2025
The Pitfalls of Continuous Heavy-Tailed Distributions in High-Frequency Data Analysis
Vladimír Holý
We address the challenges of modeling high-frequency integer price changes in financial markets using continuous distributions, particularly the Student's t-distribution. We demons…