2 papers
stat.ML2026
Optimization and Regularization Under Arbitrary Objectives
Jared N. Lakhani, Etienne Pienaar
This study investigates the limitations of applying Markov Chain Monte Carlo (MCMC) methods to arbitrary objective functions, focusing on a two-block MCMC framework which alternate…
q-fin.ST2024
Detecting discrete processes with the Epps effect
Patrick Chang, Etienne Pienaar, Tim Gebbie
The Epps effect is key phenomenology relating to high frequency correlation dynamics in financial markets. We argue that it can be used to provide insight into whether tick data is…