94 citations · 133 across the 33 of their papers we have counts for
5 papers · 1 filter
The Short-Term Predictability of Returns in Order Book Markets: a Deep Learning Perspective
Lorenzo Lucchese, Mikko Pakkanen, Almut Veraart
In this paper, we conduct a systematic large-scale analysis of order book-driven predictability in high-frequency returns by leveraging deep learning techniques. First, we introduc…
Nonparametric estimation of trawl processes: Theory and applications
Orimar Sauri, Almut E. D. Veraart
Trawl processes belong to the class of continuous-time, strictly stationary, infinitely divisible processes; they are defined as Levy bases evaluated over deterministic trawl sets.…
A dynamic extreme value model with applications to volcanic eruption forecasting
Michele Nguyen, Almut E. D. Veraart, Benoit Taisne +2
Extreme events such as natural and economic disasters leave lasting impacts on society and motivate the analysis of extremes from data. While classical statistical tools based on G…
Simulation methods and error analysis for trawl processes and ambit fields
Dan Leonte, Almut E. D. Veraart
Trawl processes are continuous-time, stationary and infinitely divisible processes which can describe a wide range of possible serial correlation patterns in data. In this paper, w…
A feasible central limit theorem for realised covariation of SPDEs in the context of functional data
Fred Espen Benth, Dennis Schroers, Almut E. D. Veraart
This article establishes an asymptotic theory for volatility estimation in an infinite-dimensional setting. We consider mild solutions of semilinear stochastic partial differential…