15 citations · 24 across the 2 of their papers we have counts for
9 papers
Semimartingale detection and goodness-of-fit tests
Adam D. Bull
In quantitative finance, we often fit a parametric semimartingale model to asset prices. To ensure our model is correct, we must then perform goodness-of-fit tests. In this paper,…
Near-optimal estimation of jump activity in semimartingales
Adam D. Bull
In quantitative finance, we often model asset prices as semimartingales, with drift, diffusion and jump components. The jump activity index measures the strength of the jumps at hi…
Estimating time-changes in noisy Lévy models
Adam D. Bull
In quantitative finance, we often model asset prices as a noisy Ito semimartingale. As this model is not identifiable, approximating by a time-changed Levy process can be useful fo…
Adaptive-treed bandits
Adam D. Bull
We describe a novel algorithm for noisy global optimisation and continuum-armed bandits, with good convergence properties over any continuous reward function having finitely many p…
Spatially-adaptive sensing in nonparametric regression
Adam D. Bull
While adaptive sensing has provided improved rates of convergence in sparse regression and classification, results in nonparametric regression have so far been restricted to quite…
Adaptive confidence sets in L^2
Adam D. Bull, Richard Nickl
The problem of constructing confidence sets that are adaptive in L^2-loss over a continuous scale of Sobolev classes of probability densities is considered. Adaptation holds, where…