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 Midtgaard Norlyk, 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…