196 citations · 508 across the 11 of their papers we have counts for
14 papers
AIDA: Analytic Isolation and Distance-based Anomaly Detection Algorithm
Luis Antonio Souto Arias, Cornelis W. Oosterlee, Pasquale Cirillo
We combine the metrics of distance and isolation to develop the Analytic Isolation and Distance-based Anomaly (AIDA) detection algorithm. AIDA is the first distance-based method th…
A new self-exciting jump-diffusion process for option pricing
Luis A. Souto Arias, Pasquale Cirillo, Cornelis W. Oosterlee
We propose a new jump-diffusion process, the Heston-Queue-Hawkes (HQH) model, combining the well-known Heston model and the recently introduced Queue-Hawkes (Q-Hawkes) jump process…
Forecasting: theory and practice
Fotios Petropoulos, Daniele Apiletti, Vassilios Assimakopoulos +77
Forecasting has always been at the forefront of decision making and planning. The uncertainty that surrounds the future is both exciting and challenging, with individuals and organ…
On Single Point Forecasts for Fat-Tailed Variables
Nassim Nicholas Taleb, Yaneer Bar-Yam, Pasquale Cirillo
We discuss common errors and fallacies when using naive "evidence based" empiricism and point forecasts for fat-tailed variables, as well as the insufficiency of using naive first-…
Tail Risk of Contagious Diseases
Pasquale Cirillo, Nassim Nicholas Taleb
Applying a modification of Extreme value Theory (thanks to a dual distribution technique by the authors on data over the past 2,500 years, we show that pandemics are extremely fat-…
Branching epistemic uncertainty and thickness of tails
Nassim Nicholas Taleb, Pasquale Cirillo
This is an epistemological approach to errors in both inference and risk management, leading to necessary structural properties for the probability distribution. Many mechanisms ha…