83 citations · 136 across the 33 of their papers we have counts for
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q-fin.PR2018★ 2 cited
Asset Price Bubbles: An Option-based Indicator
Petteri Piiroinen, Lassi Roininen, Tobias Schoden +1
We construct a statistical indicator for the detection of short-term asset price bubbles based on the information content of bid and ask market quotes for plain vanilla put and cal…
stat.CO2018
Posterior Inference for Sparse Hierarchical Non-stationary Models
Karla Monterrubio-Gómez, Lassi Roininen, Sara Wade +2
Gaussian processes are valuable tools for non-parametric modelling, where typically an assumption of stationarity is employed. While removing this assumption can improve prediction…