1,643 research outputs found
Mixtures of t-distributions for Finance and Forecasting
We explore convenient analytic properties of distributions constructed as mixtures of scaled and shifted t-distributions. A feature that makes this family particularly desirable for econometric applications is that it possesses closed-form expressions for its anti-derivatives (e.g., the cumulative density function). We illustrate the usefulness of these distributions in two applications. In the first application, we use a scaled and shifted t-distribution to produce density forecasts of U.S. inflation and show that these forecasts are more accurate, out-of-sample, than density forecasts obtained using normal or standard t-distributions. In the second application, we replicate the option-pricing exercise of Abadir and Rockinger (2003) using a mixture of scaled and shifted t-distributions and obtain comparably good results, while gaining analytical tractability.ARMA-GARCH models, neural networks, nonparametric density estimation, forecast accuracy, option pricing, risk neutral density
GNN-Assisted Phase Space Integration with Application to Atomistics
Overcoming the time scale limitations of atomistics can be achieved by
switching from the state-space representation of Molecular Dynamics (MD) to a
statistical-mechanics-based representation in phase space, where approximations
such as maximum-entropy or Gaussian phase packets (GPP) evolve the atomistic
ensemble in a time-coarsened fashion. In practice, this requires the
computation of expensive high-dimensional integrals over all of phase space of
an atomistic ensemble. This, in turn, is commonly accomplished efficiently by
low-order numerical quadrature. We show that numerical quadrature in this
context, unfortunately, comes with a set of inherent problems, which corrupt
the accuracy of simulations -- especially when dealing with crystal lattices
with imperfections. As a remedy, we demonstrate that Graph Neural Networks,
trained on Monte-Carlo data, can serve as a replacement for commonly used
numerical quadrature rules, overcoming their deficiencies and significantly
improving the accuracy. This is showcased by three benchmarks: the thermal
expansion of copper, the martensitic phase transition of iron, and the energy
of grain boundaries. We illustrate the benefits of the proposed technique over
classically used third- and fifth-order Gaussian quadrature, we highlight the
impact on time-coarsened atomistic predictions, and we discuss the
computational efficiency. The latter is of general importance when performing
frequent evaluation of phase space or other high-dimensional integrals, which
is why the proposed framework promises applications beyond the scope of
atomistics
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