no code implementations • 9 Dec 2021 • Nils Bertschinger, Axel A. Araneda
In this paper, we examine the interlinkages among firms through a financial network where cross-holdings on both equity and debt are allowed.
2 code implementations • 14 Aug 2020 • Rajbir-Singh Nirwan, Nils Bertschinger
Due to increased awareness of data protection and corresponding laws many data, especially involving sensitive personal information, are not publicly accessible.
no code implementations • 17 Jan 2020 • Axel A. Araneda, Nils Bertschinger
The sub-fractional Brownian motion (sfBm) is a stochastic process, characterized by non-stationarity in their increments and long-range dependency, considered as an intermediate step between the standard Brownian motion (Bm) and the fractional Brownian motion (fBm).
no code implementations • 11 Dec 2019 • V. Sasidevan, Nils Bertschinger
The latest financial crisis has painfully revealed the dangers arising from a globally interconnected financial system.
1 code implementation • 12 May 2019 • Rajbir S. Nirwan, Nils Bertschinger
We consider probabilistic PCA and related factor models from a Bayesian perspective.
2 code implementations • 8 Jun 2018 • Rajbir-Singh Nirwan, Nils Bertschinger
Estimating covariances between financial assets plays an important role in risk management and optimal portfolio allocation.
Computational Engineering, Finance, and Science Portfolio Management
1 code implementation • 8 Dec 2014 • David Krakauer, Nils Bertschinger, Eckehard Olbrich, Nihat Ay, Jessica C. Flack
We consider biological individuality in terms of information theoretic and graphical principles.