24 citations · 43 across the 12 of their papers we have counts for
4 papers · 1 filter
A Bayesian Perspective of Statistical Machine Learning for Big Data
Rajiv Sambasivan, Sourish Das, Sujit K Sahu
Statistical Machine Learning (SML) refers to a body of algorithms and methods by which computers are allowed to discover important features of input data sets which are often very…
Modeling Nelson-Siegel Yield Curve using Bayesian Approach
Sourish Das
Yield curve modeling is an essential problem in finance. In this work, we explore the use of Bayesian statistical methods in conjunction with Nelson-Siegel model. We present the hi…
Modeling Risk and Return using Dirichlet Process Prior
Sourish Das, Aritra Halder, Ananya Lahiri +1
In this paper, we showed that the no-arbitrage condition holds if the market follows the mixture of the geometric Brownian motion (GBM). The mixture of GBM can incorporate heavy-ta…
Characterization of catastrophic instabilities: Market crashes as paradigm
Anirban Chakraborti, Kiran Sharma, Hirdesh K. Pharasi +3
Catastrophic events, though rare, do occur and when they occur, they have devastating effects. It is, therefore, of utmost importance to understand the complexity of the underlying…