Prediction of future security returns is possible by decomposing a securities price into weighted superpositions of underlying basis states, given stationary distributions of the basis states. The (ensemble) Hilbert-Huang transform (HHT) is an empirical two-step online methodology which carries...

The limit order book of an exchange represents an information store of market participants' future aims and for many traders the information held in this store is of interest. However, information loss occurs between orders being entered into the exchange and limit order book data being sent...

In this paper we propose an on-line Bayesian filtering and smoothing method for time series models with heavy-tailed alpha-stable noise, with a particular focus on TVAR models. alpha-stable processes have been shown in the past to be a good model for many naturally occurring noise sources. We...

We describe novel Bayesian models for time-frequency inverse modelling of non-stationary signals. These models are based on the idea of a "Gabor regression", in which a time series is represented as a superposition of translated, modulated versions of a window function exhibiting good...

Discrete-time stochastic volatility (SV) models have generated a considerable literature in financial econometrics. However, carrying out inference for these models is a difficult task and often relies on carefully customized Markov chain Monte Carlo techniques. Our contribution here is twofold....

While statisticians are well-accustomed to performing exploratory analysis in the modeling stage of an analysis, the notion of conducting preliminary general-purpose exploratory analysis in the Monte Carlo stage (or more generally, the model-fitting stage) of an analysis is an area that we feel...

We present a multivariate central limit theorem for a general class of interacting Markov chain Monte Carlo algorithms used to solve nonlinear measure-valued equations. These algorithms generate stochastic processes which belong to the class of nonlinear Markov chains interacting with their...