2 papers
math.ST2026
Consistent community recovery in stochastic block Ornstein-Uhlenbeck processes
Anders Norlyk, Almut E. D. Veraart
We propose the stochastic block Ornstein-Uhlenbeck (SBOU) process, a continuous-time multivariate model in which the drift matrix encodes a latent group structure among its compone…
econ.EM2026
Microstructural Foundations of Rough Noise
Peter Korsbakke Christensen, Anders Norlyk
Recently, it has been proposed to model the microstructure noise in prices by a continuous-time process with continuous sample paths that are rougher than those of a standard Brown…