1k citations · 1.6k across the 56 of their papers we have counts for
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stat.AP2016
Sequential Bayesian Learning for Merton's Jump Model with Stochastic Volatility
Eric Jacquier, Nicholas Polson, Vadim Sokolov
Jump stochastic volatility models are central to financial econometrics for volatility forecasting, portfolio risk management, and derivatives pricing. Markov Chain Monte Carlo (MC…
stat.AP2016★ 1k cited
Deep Learning for Short-Term Traffic Flow Prediction
Nicholas Polson, Vadim Sokolov
We develop a deep learning model to predict traffic flows. The main contribution is development of an architecture that combines a linear model that is fitted using regula…
stat.AP2016★ 2 cited
The Market for English Premier League (EPL) Odds
Guanhao Feng, Nicholas G. Polson, Jianeng Xu
This paper employs a Skellam process to represent real-time betting odds for English Premier League (EPL) soccer games. Given a matrix of market odds on all possible score outcomes…