4 papers
Change Detection in Probability Flow ODE: Online Testing in Diffusion Latent Spaces
Artem Kraevskiy, Artem Prokhorov
A rapidly growing range of sequential data tasks, such as identifying trend reversals in financial markets, auto-segmenting video and audio recordings, detecting changes in movemen…
The Post Double LASSO for Efficiency Analysis
Christopher Parmeter, Artem Prokhorov, Valentin Zelenyuk
Big data and machine learning methods have become commonplace across economic milieus. One area that has not seen as much attention to these important topics yet is efficiency anal…
An early warning system for emerging markets
Artem Kraevskiy, Artem Prokhorov, Evgeniy Sokolovskiy
Financial markets of emerging economies are vulnerable to extreme and cascading information spillovers, surges, sudden stops and reversals. With this in mind, we develop a new onli…
Improved Semi-Parametric Bounds for Tail Probability and Expected Loss: Theory and Applications
Zhaolin Li, Artem Prokhorov
Many management decisions involve accumulated random realizations for which only the first and second moments of their distribution are available. The sharp Chebyshev-type bound fo…