Stochastic Taylor expansion via Poisson point processes
By: Weichao Wu, Athanasios C. Micheas
Potential Business Impact:
Predicts stock prices more accurately.
We generalize Taylor's theorem by introducing a stochastic formulation based on an underlying Poisson point process model. We utilize this approach to propose a novel non-linear regression framework and perform statistical inference of the model parameters. Theoretical properties of the proposed estimator are also proven, including its convergence, uniformly almost surely, to the true function. The theory is presented for the univariate and multivariate cases, and we exemplify the proposed methodology using several examples via simulations and an application to stock market data.
Similar Papers
Nonparametric inference for nonstationary spatial point processes
Methodology
Finds hidden patterns in scattered data points.
Signature volatility models: pricing and hedging with Fourier
Pricing of Securities
Prices and protects against risky stock moves.
Understanding the Generalization Error of Markov algorithms through Poissonization
Machine Learning (Stat)
Helps computers learn better by fixing math.