10 research outputs found
Projective and Coarse Projective Integration for Problems with Continuous Symmetries
Temporal integration of equations possessing continuous symmetries (e.g.
systems with translational invariance associated with traveling solutions and
scale invariance associated with self-similar solutions) in a ``co-evolving''
frame (i.e. a frame which is co-traveling, co-collapsing or co-exploding with
the evolving solution) leads to improved accuracy because of the smaller time
derivative in the new spatial frame. The slower time behavior permits the use
of {\it projective} and {\it coarse projective} integration with longer
projective steps in the computation of the time evolution of partial
differential equations and multiscale systems, respectively. These methods are
also demonstrated to be effective for systems which only approximately or
asymptotically possess continuous symmetries. The ideas of projective
integration in a co-evolving frame are illustrated on the one-dimensional,
translationally invariant Nagumo partial differential equation (PDE). A
corresponding kinetic Monte Carlo model, motivated from the Nagumo kinetics, is
used to illustrate the coarse-grained method. A simple, one-dimensional
diffusion problem is used to illustrate the scale invariant case. The
efficiency of projective integration in the co-evolving frame for both the
macroscopic diffusion PDE and for a random-walker particle based model is again
demonstrated
A Simple Approach to the Parametric Estimation of Potentially Nonstationary Diffusions
www.elsevier.com/locate/jeconom A simple approach to the parametric estimation of potentially nonstationary diffusions
The impact of macroeconomic news on quote adjustments, noise and informational volatility
info:eu-repo/semantics/publishe
Inference with non-Gaussian Ornstein–Uhlenbeck processes for stochastic volatility
Continuous-time stochastic volatility models are becoming an increasingly popular way to describe moderate and high-frequency financial data. Barndorff-Nielsen and Shephard (2001a) proposed a class of models where the volatility behaves according to an Ornstein–Uhlenbeck (OU) process, driven by a positive Lévy process without Gaussian component. These models introduce discontinuities, or jumps, into the volatility process. They also consider superpositions of such processes and we extend that to the inclusion of a jump component in the returns. In addition, we allow for leverage effects and we introduce separate risk pricing for the volatility components. We design and implement practically relevant inference methods for such models, within the Bayesian paradigm. The algorithm is based on Markov chain Monte Carlo (MCMC) methods and we use a series representation of Lévy processes. MCMC methods for such models are complicated by the fact that parameter changes will often induce a change in the distribution of the representation of the process and the associated problem of overconditioning. We avoid this problem by dependent thinning methods. An application to stock price data shows the models perform very well, even in the face of data with rapid changes, especially if a superposition of processes with different risk premiums and a leverage effect is used