19 citations · 57 across the 9 of their papers we have counts for
10 papers
Posterior Invariance of Multiplicative Contrasts under Margin Constraints in Contingency Tables
Rafael Bassi Stern, Ruobin Gong, Joseph B. Kadane +2
Measures of association in contingency tables, such as odds ratios and their generalizations, are often studied under different sampling schemes that either fix or leave random the…
Instantaneous order impact and high-frequency strategy optimization in limit order books
Federico Gonzalez, Mark Schervish
We propose a limit order book (LOB) model with dynamics that account for both the impact of the most recent order and the shape of the LOB. We present an empirical analysis showing…
Dominating countably many forecasts
M. J. Schervish, Teddy Seidenfeld, J. B. Kadane
We investigate differences between a simple Dominance Principle applied to sums of fair prices for variables and dominance applied to sums of forecasts for variables scored by prop…
Hierarchical Semi-parametric Duration Models
Mingyu Tang, Mark Schervish
This research attempts to model the stochastic process of trades in a limit order book market as a marked point process. We propose a semi-parametric model for the conditional dist…
Infinite Previsions and Finitely Additive Expectations
Mark J. Schervish, Teddy Seidenfeld, Joseph B. Kadane
We give an extension of de Finetti's concept of coherence to unbounded (but real-valued) random variables that allows for gambling in the presence of infinite previsions. We presen…
Nonparametric risk bounds for time-series forecasting
Daniel J. McDonald, Cosma Rohilla Shalizi, Mark Schervish
We derive generalization error bounds for traditional time-series forecasting models. Our results hold for many standard forecasting tools including autoregressive models, moving a…