Gareth Peters

University College London - Department of Statistical Science

Honorary Professor of Statistics

1-19 Torrington Place

London, WC1 7HB

United Kingdom

University of California Santa Barbara

Janet and Ian Duncan Endowed Chair Professor of Actuarial Science; & Prof. of Statistics for Risk and Insurance

Santa Barbara, CA 93106

United States

University of Oxford - Oxford-Man Institute of Quantitative Finance

Affiliated Academic Member

University of Oxford Eagle House

Walton Well Road

Oxford, OX2 6ED

United Kingdom

London School of Economics & Political Science (LSE) - Systemic Risk Centre

Affiliated Academic Member

Houghton St

London

United Kingdom

University of New South Wales (UNSW) - Faculty of Science

Affiliated Professor

Australia

Macquarie University - Department of Actuarial Studies and Business Analytics

Honarary Professor

Australia

SCHOLARLY PAPERS

108

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113

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99

Scholarly Papers (108)

1.

Understanding Modern Banking Ledgers Through Blockchain Technologies: Future of Transaction Processing and Smart Contracts on the Internet of Money

Number of pages: 33 Posted: 24 Nov 2015
Gareth Peters, Gareth Peters and Efstathios Panayi
University College London - Department of Statistical ScienceUniversity of California Santa Barbara and University College London - Financial Computing and Analytics Group, Department of Computer Science
Downloads 5,394 (1,861)
Citation 59

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Blockchain, distributed ledger, databases, smart contracts, digital assets, data integrity, provisioning, government cash management, clearing, settlement

2.

Trends in Cryptocurrencies and Blockchain Technologies: A Monetary Theory and Regulation Perspective

Journal of Financial Perspectives, Vol. 3, No. 3, 2015
Number of pages: 46 Posted: 08 Dec 2017
Gareth Peters, Gareth Peters, Efstathios Panayi and Ariane Chapelle
University College London - Department of Statistical ScienceUniversity of California Santa Barbara, University College London - Financial Computing and Analytics Group, Department of Computer Science and University College London - Department of Computer Science
Downloads 3,365 (4,260)

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3.

Trends in Crypto-Currencies and Blockchain Technologies: A Monetary Theory and Regulation Perspective

Number of pages: 25 Posted: 19 Aug 2015
Gareth Peters, Gareth Peters, Efstathios Panayi and Ariane Chapelle
University College London - Department of Statistical ScienceUniversity of California Santa Barbara, University College London - Financial Computing and Analytics Group, Department of Computer Science and University College London - Department of Computer Science
Downloads 2,904 (5,484)
Citation 60

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Crypto-currency, virtual currency, regulation, monetary theory

4.

Statistical Machine Learning and Data Analytic Methods for Risk and Insurance

Number of pages: 309 Posted: 11 Oct 2017 Last Revised: 11 Dec 2017
Gareth Peters and Gareth Peters
University College London - Department of Statistical ScienceUniversity of California Santa Barbara
Downloads 1,932 (10,630)
Citation 5

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Machine Learning, Risk, Insurance, Statistical Learning

5.
Downloads 955 ( 30,910)
Citation 4

Understanding Cyber-Risk and Cyber-Insurance

Macquarie University Faculty of Business & Economics Research Paper
Number of pages: 31 Posted: 20 Jun 2018
Gareth Peters, Gareth Peters, Pavel V. Shevchenko and Ruben Cohen
University College London - Department of Statistical ScienceUniversity of California Santa Barbara, Macquarie University - Department of Actuarial Studies and Business Analytics and Independent
Downloads 650 (51,571)
Citation 5

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Fi nancial technology (FinTech), risk management, cyber risk, cyber crime, operational risk, cyber insurance, cyber regulation, information technology risk, business disruption

Understanding Cyber Risk and Cyber Insurance

Number of pages: 30 Posted: 07 Nov 2017 Last Revised: 05 Mar 2018
Gareth Peters, Gareth Peters, Pavel V. Shevchenko, Ruben Cohen and Diane Maurice
University College London - Department of Statistical ScienceUniversity of California Santa Barbara, Macquarie University - Department of Actuarial Studies and Business Analytics, Independent and Central Bank of Tunisia
Downloads 305 (127,184)
Citation 2

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cyber risk, cyber crime, operational risk, cyber insurance, cyber regulation, Information Technology risk, business disruption

6.

Standardized Measurement Approach for Operational Risk: Pros and Cons

Number of pages: 18 Posted: 04 Jun 2016
Gareth Peters, Gareth Peters, Pavel V. Shevchenko, Bertrand Hassani and Ariane Chapelle
University College London - Department of Statistical ScienceUniversity of California Santa Barbara, Macquarie University - Department of Actuarial Studies and Business Analytics, Université Paris I Panthéon-Sorbonne and University College London - Department of Computer Science
Downloads 794 (39,940)
Citation 2

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7.

Overview of Emerging Blockchain Architectures and Platforms for Electronic Trading Exchanges

Number of pages: 20 Posted: 10 Nov 2016
Gareth Peters, Gareth Peters and Guy Vishnia
University College London - Department of Statistical ScienceUniversity of California Santa Barbara and University College London - Financial Computing and Analytics Group, Department of Computer Science
Downloads 786 (40,469)
Citation 2

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Blockchain; Blockchain transaction reporting; Trade reporting; Transparency

8.

Blockchain Architectures for Electronic Exchange Reporting Requirements: EMIR, Dodd Frank, MiFID I/II, MiFIR, REMIT, Reg NMS and T2S.

Number of pages: 48 Posted: 31 Aug 2016 Last Revised: 07 Sep 2016
Gareth Peters, Gareth Peters and Guy Vishnia
University College London - Department of Statistical ScienceUniversity of California Santa Barbara and University College London - Financial Computing and Analytics Group, Department of Computer Science
Downloads 689 (48,342)
Citation 1

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Blockchain, Blockchain transaction reporting, Dodd-Frank, EMIR, Exchange Regulation, MiFID I, MiFID II and MiFIR, REMIT, Reg NMS, T2S and CSD, Trade reporting, Transparency

9.

Opening Discussion on Banking Sector Risk Exposures and Vulnerabilities from Virtual Currencies: An Operational Risk Perspective

Number of pages: 34 Posted: 06 Sep 2014
Gareth Peters, Gareth Peters, Ariane Chapelle and Efstathios Panayi
University College London - Department of Statistical ScienceUniversity of California Santa Barbara, University College London - Department of Computer Science and University College London - Financial Computing and Analytics Group, Department of Computer Science
Downloads 385 (98,895)
Citation 2

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Virtual Currency, Crypto Currency, Operational Risk, Regulation, Basel II

Statistical Machine Learning Analysis of Cyber Risk Data: Event Case Studies

Number of pages: 27 Posted: 21 Nov 2017 Last Revised: 22 Feb 2018
Gareth Peters, Gareth Peters, Pavel V. Shevchenko, Ruben Cohen and Diane Maurice
University College London - Department of Statistical ScienceUniversity of California Santa Barbara, Macquarie University - Department of Actuarial Studies and Business Analytics, Independent and Central Bank of Tunisia
Downloads 267 (146,276)
Citation 1

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Cyber Risk, Cyber Crime, Operational Risk, Cyber Insurance, Kernel K-Means, Clustering, Cyber Empirical Studies

Statistical Machine Learning Analysis of Cyber Risk Data: Event Case Studies

Macquarie University Faculty of Business & Economics Research Paper
Number of pages: 28 Posted: 20 Jun 2018
Gareth Peters, Gareth Peters, Pavel V. Shevchenko, Ruben Cohen and Diane Maurice
University College London - Department of Statistical ScienceUniversity of California Santa Barbara, Macquarie University - Department of Actuarial Studies and Business Analytics, Independent and Central Bank of Tunisia
Downloads 95 (347,793)
Citation 9

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cyber risk, cyber crime, operational risk, cyber insurance, machine learning, k-means clustering method

11.

Violations of Uncovered Interest Rate Parity and International Exchange Rate Dependences

Number of pages: 34 Posted: 01 Aug 2015
Matthew Ames, Matthew Ames, Guillaume Bagnarosa, Gareth Peters and Gareth Peters
The Institute of Statistical MathematicsResilientML, ESC Rennes School of Business and University College London - Department of Statistical ScienceUniversity of California Santa Barbara
Downloads 327 (118,719)
Citation 4

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Forward Premium Puzzle, Speculative Trading Volumes, Multivariate Tail Dependence, Mixture Copula Models, Currency Carry Trade, Covariance Regressions

12.

Forecasting Covariance for Optimal Carry Trade Portfolio Allocations

Number of pages: 5 Posted: 07 Jan 2016
The Institute of Statistical MathematicsResilientML, ESC Rennes School of Business, University College London - Department of Statistical ScienceUniversity of California Santa Barbara and Macquarie University - Department of Actuarial Studies and Business Analytics
Downloads 295 (132,503)

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Covariance Forecasting, Currency Carry Trade, Covariance Regression, Markowitz Portfolio, Equal Risk Contribution

13.

Which Risk Factors Drive Oil Futures Price Curves?

Number of pages: 63 Posted: 20 Sep 2016 Last Revised: 03 Feb 2020
The Institute of Statistical MathematicsResilientML, ESC Rennes School of Business, The Institute of Statistical Mathematics, University College London - Department of Statistical ScienceUniversity of California Santa Barbara and Macquarie University - Department of Actuarial Studies and Business Analytics
Downloads 287 (136,347)
Citation 1

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Crude oil futures, Theory of storage, Theory of normal backwardation, Hedging pressure, Futures Term structure

14.

Understanding the Interplay between Covariance Forecasting Factor Models and Risk Based Portfolio Allocations in Currency Carry Trades

Number of pages: 25 Posted: 05 Dec 2015
The Institute of Statistical MathematicsResilientML, ESC Rennes School of Business, University College London - Department of Statistical ScienceUniversity of California Santa Barbara and Macquarie University - Department of Actuarial Studies and Business Analytics
Downloads 249 (157,509)
Citation 1

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Covariance Forecasting, Currency Carry Trade, Covariance Regression, Generalised Multi-Factor Model, Portfolio Optimisation

15.

Full Bayesian Analysis of Claims Reserving Uncertainty

Number of pages: 20 Posted: 24 May 2016
Gareth Peters, Gareth Peters, Rodrigo Targino and Mario V. Wuthrich
University College London - Department of Statistical ScienceUniversity of California Santa Barbara, Getulio Vargas Foundation (FGV) - EMAp - School of Applied Mathematics and RiskLab, ETH Zurich
Downloads 245 (159,978)
Citation 1

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Chain-Ladder Method, Claims Reserving Uncertainty, Claims Development Result, Mack's Formula, Merz-WüThrich's Formula, Conditional Mean Square Error of Prediction, Runoff Uncertainty, Full Bayesian Chain-Ladder Model

16.

Bayesian Modelling, Monte Carlo Sampling and Capital Allocation of Insurance Risks

Number of pages: 53 Posted: 03 May 2017
Gareth Peters, Gareth Peters, Rodrigo Targino and Mario V. Wuthrich
University College London - Department of Statistical ScienceUniversity of California Santa Barbara, Getulio Vargas Foundation (FGV) - EMAp - School of Applied Mathematics and RiskLab, ETH Zurich
Downloads 235 (166,578)
Citation 2

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Capital Allocation, Premium and Reserve Risk, Solvency Capital Requirement (SCR), Sequential Monte Carlo (SMC), Swiss Solvency Test (SST)

17.

Long Memory Models for Financial Time Series of Counts and Evidence of Systematic Market Participant Trading Behaviour Patterns in Futures on US Treasuries

Number of pages: 36 Posted: 04 May 2017
Hongxuan Yan, Jennifer Chan, Gareth Peters and Gareth Peters
The University of Sydney - School of Mathematics and Statistics, The University of Sydney - School of Mathematics and Statistics and University College London - Department of Statistical ScienceUniversity of California Santa Barbara
Downloads 225 (173,657)
Citation 3

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Long memory Count Time Series, Bayesian Forecasting, Futures Contract, Open Interest, Traded Volume, Liquidity, Treasury Securities, GARMA, ARFIMA, Generalized Poisson Distribution

18.

Market Resilience

Number of pages: 51 Posted: 11 May 2018
Jon Danielsson, Efstathios Panayi, Gareth Peters, Gareth Peters and Jean-Pierre Zigrand
London School of Economics - Systemic Risk Centre, University College London - Financial Computing and Analytics Group, Department of Computer Science, University College London - Department of Statistical ScienceUniversity of California Santa Barbara and London School of Economics - Department of Finance, Systemic Risk Centre, and Financial Markets Group
Downloads 218 (178,938)
Citation 3

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Liquidity Measures, Resilience, Limit Order Book, Liquidity Provision, Optimal Trade Execution

19.

Reinvestigating the Uncovered Interest Rate Parity Puzzle via Analysis of Multivariate Tail Dependence in Currency Carry Trades

Number of pages: 26 Posted: 22 Mar 2013 Last Revised: 23 Jan 2014
Matthew Ames, Matthew Ames, Guillaume Bagnarosa, Gareth Peters and Gareth Peters
The Institute of Statistical MathematicsResilientML, ESC Rennes School of Business and University College London - Department of Statistical ScienceUniversity of California Santa Barbara
Downloads 213 (182,835)
Citation 2

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Currency carry trade, Multivariate tail dependence, Forward premium puzzle, Mixture copula models, Generalized Archimedean copula, Extreme value copula

20.

Simulation of the Annual Loss Distribution in Operational Risk Via Panjer Recursions and Volterra Integral Equations for Value at Risk and Expected Shortfall Estimation.

Number of pages: 27 Posted: 05 Jun 2017
Gareth Peters, Gareth Peters, Adam M. Johansen and Arnaud Doucet
University College London - Department of Statistical ScienceUniversity of California Santa Barbara, University of Bristol - Department of Mathematics and University of Cambridge - Department of Engineering
Downloads 209 (186,100)
Citation 2

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Importance Sampling; Trans-dimensional Markov Chain Monte Carlo; Basel II Advanced Measurement Approach; Panjer Recursions; Volterra Integral Equations; Compound Processes; Loss Distributional Approach; Operational Risk; Value at Risk; Expected Shortfall

Should the Advanced Measurement Approach be Replaced with the Standardized Measurement Approach for Operational Risk?

Journal of Operational Risk, Vol 11, No. 3, pp. 1–49, 2016, DOI: 10.21314/JOP.2016.177
Number of pages: 38 Posted: 14 Jun 2016 Last Revised: 15 Sep 2016
Gareth Peters, Gareth Peters, Pavel V. Shevchenko, Bertrand Hassani and Ariane Chapelle
University College London - Department of Statistical ScienceUniversity of California Santa Barbara, Macquarie University - Department of Actuarial Studies and Business Analytics, Université Paris I Panthéon-Sorbonne and University College London - Department of Computer Science
Downloads 200 (193,726)
Citation 8

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Operational Risk, Standarised Measurement Approach, Advanced Measurement Approach

Should the Advanced Measurement Approach Be Replaced with the Standardized Measurement Approach for Operational Risk?

Journal of Operational Risk, Vol. 11, No. 3, 2016
Number of pages: 50 Posted: 15 Sep 2016
Gareth Peters, Gareth Peters, Pavel V. Shevchenko, Bertrand Hassani and Ariane Chapelle
University College London - Department of Statistical ScienceUniversity of California Santa Barbara, Macquarie University - Department of Actuarial Studies and Business Analytics, Université Paris I Panthéon-Sorbonne and University College London - Department of Computer Science
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operational risk (OpRisk), standardized measurement approach (SMA), loss distribution approach (LDA), advanced measurement approach (AMA), Basel Committee for Banking Supervision (BCBS) regulations

22.

Sequential Monte Carlo Samplers for Capital Allocation Under Copula-Dependent Risk Models

Insurance: Mathematics and Economics, Vol. 61, 2015
Number of pages: 32 Posted: 05 Oct 2014 Last Revised: 18 Feb 2015
Rodrigo Targino, Gareth Peters, Gareth Peters and Pavel V. Shevchenko
Getulio Vargas Foundation (FGV) - EMAp - School of Applied Mathematics, University College London - Department of Statistical ScienceUniversity of California Santa Barbara and Macquarie University - Department of Actuarial Studies and Business Analytics
Downloads 176 (217,024)
Citation 2

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Risk Management, Capital Allocation, Sequential Monte Carlo (SMC), Copula Models

23.

Covariance Forecasting Methods for Dynamic Asset Allocation

Number of pages: 16 Posted: 05 Jan 2021
Kongsak Tipakornrojanakit, Mantana Chudtong, Gareth Peters, Gareth Peters and Pairote SATIRACOO
affiliation not provided to SSRN, Mahidol University, University College London - Department of Statistical ScienceUniversity of California Santa Barbara and affiliation not provided to SSRN
Downloads 175 (218,109)

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covariance regression, early stopping, global minimum variance portfolio, vector heterogeneous autoregressive

24.

Bayesian Inference, Monte Carlo Sampling and Operational Risk.

 Peters G.W. and Sisson S.A. (2006) “Bayesian Inference, Monte Carlo Sampling and Operational Risk". Journal of Operational Risk, 1(3).
Number of pages: 24 Posted: 05 Jun 2017
Gareth Peters, Gareth Peters and Scott Sisson
University College London - Department of Statistical ScienceUniversity of California Santa Barbara and University of New South Wales (UNSW) - School of Mathematics and Statistics
Downloads 172 (221,387)
Citation 8

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Approximate Bayesian Computation; Basel II Advanced Measurement Approach; Bayesian Inference; Compound Processes; Loss Distributional Approach; Markov Chain Monte Carlo; Operational Risk

25.

Loss Distribution Approach for Operational Risk Capital Modelling Under Basel II: Combining Different Data Sources for Risk Estimation

Number of pages: 44 Posted: 05 Jun 2017
Pavel V. Shevchenko, Gareth Peters and Gareth Peters
Macquarie University - Department of Actuarial Studies and Business Analytics and University College London - Department of Statistical ScienceUniversity of California Santa Barbara
Downloads 171 (222,438)
Citation 2

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operational risk; loss distribution approach; Basel II

26.

Designating Market Maker Behaviour in Limit Order Book Markets

Number of pages: 36 Posted: 19 Aug 2015
Efstathios Panayi, Gareth Peters, Gareth Peters, Jon Danielsson and Jean-Pierre Zigrand
University College London - Financial Computing and Analytics Group, Department of Computer Science, University College London - Department of Statistical ScienceUniversity of California Santa Barbara, London School of Economics - Systemic Risk Centre and London School of Economics - Department of Finance, Systemic Risk Centre, and Financial Markets Group
Downloads 170 (223,543)

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Limit Order Book, liquidity, resilience, GLM, GAMLSS

27.

Multi Yield Curve Stress-Testing Framework Incorporating Temporal and Cross Tenor Structural Dependencies

Bank of England Working Paper No. 655
Number of pages: 34 Posted: 10 Apr 2017
Emmanouil Karimalis, Ioannis Kosmidis, Gareth Peters and Gareth Peters
Bank of England, Department of Statistical Science, University College London and University College London - Department of Statistical ScienceUniversity of California Santa Barbara
Downloads 167 (226,901)
Citation 1

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Stress-testing, term structure, yield curve, liquidity risk, credit risk

Cohort Effects in Mortality Modelling: A Bayesian State-Space Approach

Number of pages: 44 Posted: 31 Jan 2017 Last Revised: 22 Oct 2019
Simon Man Chung Fung, Gareth Peters, Gareth Peters and Pavel V. Shevchenko
Commonwealth Bank of Australia, University College London - Department of Statistical ScienceUniversity of California Santa Barbara and Macquarie University - Department of Actuarial Studies and Business Analytics
Downloads 111 (313,050)
Citation 5

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mortality modelling, cohort features, state-space models, Bayesian inference, Markov chain Monte Carlo

Cohort Effects in Mortality Modelling: A Bayesian State-Space Approach

Macquarie University Faculty of Business & Economics Research Paper
Number of pages: 44 Posted: 17 Apr 2018 Last Revised: 22 Oct 2019
Simon Man Chung Fung, Gareth Peters, Gareth Peters and Pavel V. Shevchenko
Commonwealth Bank of Australia, University College London - Department of Statistical ScienceUniversity of California Santa Barbara and Macquarie University - Department of Actuarial Studies and Business Analytics
Downloads 56 (469,253)

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mortality modelling, cohort features, state-space model, Bayesian inference, Markov chain Monte Carlo

29.

Stochastic Simulation Framework for the Limit Order Book Using Liquidity Motivated Agents

Number of pages: 45 Posted: 19 Jan 2015
Efstathios Panayi, Gareth Peters and Gareth Peters
University College London - Financial Computing and Analytics Group, Department of Computer Science and University College London - Department of Statistical ScienceUniversity of California Santa Barbara
Downloads 156 (240,367)
Citation 1

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Limit order book, agent-based model, copula dependence, exchange regulation

30.

Mortality Models Incorporating Long Memory Improves Life Table Estimation: A Comprehensive Analysis

Number of pages: 122 Posted: 31 Mar 2018
Hongxuan Yan, Gareth Peters, Gareth Peters and Jennifer Chan
The University of Sydney - School of Mathematics and Statistics, University College London - Department of Statistical ScienceUniversity of California Santa Barbara and The University of Sydney - School of Mathematics and Statistics
Downloads 152 (245,581)
Citation 5

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Life Table, Life Expectancy, Lee Carter Model, Fractional Integrated Model, Bayesian Inference

31.

Dynamic Operational Risk: Modeling Dependence and Combining Different Sources of Information

The Journal of Operational Risk 4(2), pp. 69-104, 2009
Number of pages: 47 Posted: 23 Nov 2014
Gareth Peters, Gareth Peters, Pavel V. Shevchenko and Mario V. Wuthrich
University College London - Department of Statistical ScienceUniversity of California Santa Barbara, Macquarie University - Department of Actuarial Studies and Business Analytics and RiskLab, ETH Zurich
Downloads 150 (248,290)

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dependence modelling, copula, compound process, operational risk, Bayesian inference, Markov chain Monte Carlo, Slice sampling.

32.

Heavy-Tailed Features and Dependence in Limit Order Book Volume Profiles in Futures Markets

Number of pages: 37 Posted: 22 May 2013 Last Revised: 05 May 2015
Kylie-Anne Richards, Kylie-Anne Richards, Gareth Peters, Gareth Peters and William Dunsmuir
University of New South Wales (UNSW) - School of Mathematics and StatisticsUniversity of Technology Sydney (UTS) - UTS Business School, University College London - Department of Statistical ScienceUniversity of California Santa Barbara and University of New South Wales
Downloads 146 (253,722)
Citation 3

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Limit order book, Futures markets, High frequency volume profiles, Microstructure, Heavy tail

33.

Reducing Model Risk and Improving Mortality Forecasts for Life Insurance Product Pricing

Number of pages: 31 Posted: 31 Jan 2019
Hongxuan Yan, Gareth Peters, Gareth Peters and Jennifer Chan
The University of Sydney - School of Mathematics and Statistics, University College London - Department of Statistical ScienceUniversity of California Santa Barbara and The University of Sydney - School of Mathematics and Statistics
Downloads 145 (255,116)

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Life Table, Gengenbauer Polynomial, Lee Carter Model, Long Memory, Bayesian Inference, Annuity Pricing, Guaranteed Annuity Option

34.

Financial Big Data Solutions for State Space Panel Regression in Interest Rates Dynamics

Number of pages: 93 Posted: 22 Feb 2018 Last Revised: 17 Aug 2020
Dorota Toczydlowska, Gareth Peters and Gareth Peters
School of Mathematical and Physical Sciences, University of Technology Sydney and University College London - Department of Statistical ScienceUniversity of California Santa Barbara
Downloads 142 (259,395)
Citation 1

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Interest Rates, yield curves, financial big data, probabilistic PCA, Feater Extraction, State Space Models, dynamic models

35.

Tutorial on General Quantile Time Series Constructions

Number of pages: 33 Posted: 23 Oct 2017
Gareth Peters and Gareth Peters
University College London - Department of Statistical ScienceUniversity of California Santa Barbara
Downloads 140 (262,346)

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quantile time series, time series, non-parametric, parametric, regression, quantile function

36.

Upside and Downside Risk Exposures of Currency Carry Trades via Tail Dependence

Number of pages: 19 Posted: 18 Jun 2014
Matthew Ames, Matthew Ames, Gareth Peters, Gareth Peters, Guillaume Bagnarosa and Ioannis Kosmidis
The Institute of Statistical MathematicsResilientML, University College London - Department of Statistical ScienceUniversity of California Santa Barbara, ESC Rennes School of Business and Department of Statistical Science, University College London
Downloads 132 (274,622)

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Currency carry trade, Multivariate tail dependence, Forward premium puzzle, Mixture models, Generalized Archimedean copula

37.

Topics in Sequential Monte Carlo Samplers

Number of pages: 186 Posted: 23 Mar 2021
Gareth Peters and Gareth Peters
University College London - Department of Statistical ScienceUniversity of California Santa Barbara
Downloads 130 (277,704)
Citation 1

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Sequential Monte Carlo Samplers

38.

Foundations & Quantitative Aspects of Operational Risk Modelling

Number of pages: 317 Posted: 18 May 2021 Last Revised: 27 May 2021
Gareth Peters and Gareth Peters
University College London - Department of Statistical ScienceUniversity of California Santa Barbara
Downloads 123 (289,430)

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Operational Risk, Quantitative Risk, Risk Management, Loss Models

39.

A Feature-Ranking Framework for IoT Device Classification

Number of pages: 8 Posted: 03 Dec 2018
Bharat Atul Desai, Dinil Mon Divakaran, Ido Nevat, Gareth Peters, Gareth Peters and Mohan Gurusamy
Singapore University of Technology and Design (SUTD), Singapore Telecommunications Limited (Singtel), Heriot-Watt University - Department of Actuarial Mathematics and Statistics, University College London - Department of Statistical ScienceUniversity of California Santa Barbara and National University of Singapore (NUS)
Downloads 118 (298,143)
Citation 1

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Classification, Feature Selection, Cyber Risk, Internet of Things (IoT)

40.

Machine Learning Mitigants for Speech Based Cyber Risk

Number of pages: 73 Posted: 31 Jul 2020 Last Revised: 25 Aug 2021
Marta Campi, Gareth Peters, Gareth Peters, Nourddine Azzaoui and Tomoko Matsui
UCL, University College London - Department of Statistical ScienceUniversity of California Santa Barbara, Mathematics Department, Université Blaise Pascal and The Institute of Statistical Mathematics
Downloads 114 (305,586)

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Speech Bio-metric Cyber Security, Automatic Speaker Verification, Support Vector Machines, Non-Stationary Feature Extraction, Empirical Mode Decomposition, Cyber Risk Mitigation

41.

AuditChain: A Trading Audit Platform Over Blockchain

Number of pages: 31 Posted: 07 Jun 2019
Guy Vishnia, Gareth Peters and Gareth Peters
University College London - Financial Computing and Analytics Group, Department of Computer Science and University College London - Department of Statistical ScienceUniversity of California Santa Barbara
Downloads 114 (305,586)

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Regulation; Blockchain; Auditing; Distributed Ledger; Auctions; Periodic Auction; Dark Pools; Liquidity; Electronic Trading

42.

Bayesian Inference for Dynamic Cointegration Models with Application to Soybean Crush Spread

Number of pages: 30 Posted: 01 May 2017
Maciej Marówka, Gareth Peters, Gareth Peters, Nikolas Kantas and Guillaume Bagnarosa
Imperial College London - Department of Mathematics, University College London - Department of Statistical ScienceUniversity of California Santa Barbara, Imperial College London and ESC Rennes School of Business
Downloads 114 (305,586)

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Bayesian Cointegration, Crush Trades, Rao-Blackwellized MCMC

43.

Stochastic Period and Cohort Effect State-Space Mortality Models Incorporating Demographic Factors via Probabilistic Robust Principle Components

Number of pages: 92 Posted: 01 Jun 2017
Dorota Toczydlowska, Gareth Peters, Gareth Peters, Simon Man Chung Fung and Pavel V. Shevchenko
School of Mathematical and Physical Sciences, University of Technology Sydney, University College London - Department of Statistical ScienceUniversity of California Santa Barbara, Commonwealth Bank of Australia and Macquarie University - Department of Actuarial Studies and Business Analytics
Downloads 113 (307,495)
Citation 1

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Stochastic Mortality Models, Demographic, Factor Model, Feature Extraction, Robust Estimation

44.

Global Perspectives on Operational Risk Management and Practice. A Survey by Institute of Operational Risk (IOR) and the Center for Financial Professionals (CeFPro)

Number of pages: 49 Posted: 09 Mar 2018 Last Revised: 29 Apr 2018
Gareth Peters, Gareth Peters, George Clark, John Thirlwell and Manoj Kulwal
University College London - Department of Statistical ScienceUniversity of California Santa Barbara, The Institute of Operational Risk, The Institute of Operational Risk and The Institute of Operational Risk
Downloads 108 (317,270)

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45.

A Unified Approach to Mortality Modelling Using State-Space Framework: Characterisation, Identification, Estimation and Forecasting

Number of pages: 44 Posted: 31 May 2016
Simon Man Chung Fung, Gareth Peters, Gareth Peters and Pavel V. Shevchenko
Commonwealth Bank of Australia, University College London - Department of Statistical ScienceUniversity of California Santa Barbara and Macquarie University - Department of Actuarial Studies and Business Analytics
Downloads 107 (319,319)
Citation 6

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mortality modelling, state-space model, stochastic volatility, heteroscedasticity, particle Markov chain Monte Carlo

46.

Spatial Field Reconstruction of Non-Gaussian Random Fields: The Tukey G-and-H Random Process

Number of pages: 37 Posted: 27 Apr 2018
Sai Ganesh Nagarajan, Gareth Peters, Gareth Peters and Ido Nevat
Singapore University of Technology and Design (SUTD), University College London - Department of Statistical ScienceUniversity of California Santa Barbara and Heriot-Watt University - Department of Actuarial Mathematics and Statistics
Downloads 104 (325,544)
Citation 1

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Tukey Process, Co-Skewness, Co-Kurtosis, Non-Gaussian Spatial Process, Spatial Field Reconstruction

Understanding Operational Risk Capital Approximations: First and Second Orders

Peters G.W, Targino R., Shevchenko P.V., "Understanding Operational Risk Capital Approximations: First and Second Orders". The Journal of Governance and Regulation, 2(3), (2013).
Number of pages: 34 Posted: 05 Sep 2014
Gareth Peters, Gareth Peters, Rodrigo Targino and Pavel V. Shevchenko
University College London - Department of Statistical ScienceUniversity of California Santa Barbara, Getulio Vargas Foundation (FGV) - EMAp - School of Applied Mathematics and Macquarie University - Department of Actuarial Studies and Business Analytics
Downloads 67 (428,354)

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Understanding Operational Risk Capital Approximations: First and Second Orders

Number of pages: 34 Posted: 05 Jun 2017
Gareth Peters, Gareth Peters, Rodrigo Targino and Pavel V. Shevchenko
University College London - Department of Statistical ScienceUniversity of California Santa Barbara, University College London - Department of Statistical Science and Macquarie University - Department of Actuarial Studies and Business Analytics
Downloads 36 (563,521)
Citation 5

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Basel II/III; Capital Approximation; Loss Distributional Approach; Capital Approximation; Value-at-Risk; Expected Shortfall; Spectral Risk Measure; Subexponential; Regularly Varying

48.

Multivariate Long Memory Cohort Mortality Models

Number of pages: 25 Posted: 23 Apr 2018
Hongxuan Yan, Gareth Peters, Gareth Peters and Jennifer Chan
The University of Sydney - School of Mathematics and Statistics, University College London - Department of Statistical ScienceUniversity of California Santa Barbara and The University of Sydney - School of Mathematics and Statistics
Downloads 101 (331,816)
Citation 2

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mortality modelling, life expectancy, multivariate, cohort, long memory, count time series, pension

49.

A State-Space Estimation of the Lee-Carter Mortality Model and Implications for Annuity Pricing

Number of pages: 7 Posted: 07 Dec 2015
Simon Man Chung Fung, Gareth Peters, Gareth Peters and Pavel V. Shevchenko
Commonwealth Bank of Australia, University College London - Department of Statistical ScienceUniversity of California Santa Barbara and Macquarie University - Department of Actuarial Studies and Business Analytics
Downloads 101 (331,816)
Citation 8

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Mortality modeling, longevity risk, Bayesian inference, Gibbs sampling, state-space models, life annuities

50.

Efficient Sequential Monte-Carlo Samplers for Bayesian Inference

Number of pages: 33 Posted: 06 Jun 2017
Thi Nguyen, Francois Septier, Gareth Peters, Gareth Peters and Yves Delignon
Institut Mines-Télécom Business School, Institut Mines-Télécom Business School, University College London - Department of Statistical ScienceUniversity of California Santa Barbara and Institut Mines-Télécom Business School
Downloads 96 (342,843)

Abstract:

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Bayesian inference, Sequential Monte Carlo sampler, complex models

51.

Statistical Modelling for Precision Agriculture: A Case Study in Optimal Environmental Schedules for Agaricus Bisporus Production via Variable Domain Functional Regression

Number of pages: 26 Posted: 08 Aug 2017
Efstathios Panayi, Gareth Peters, Gareth Peters and George Kyriakides
University College London - Financial Computing and Analytics Group, Department of Computer Science, University College London - Department of Statistical ScienceUniversity of California Santa Barbara and Kyiakides Mushrooms Ltd.
Downloads 95 (345,143)

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Functional Regression, Variable Domain Functional Regression, Precision Agriculture, Yield Models

52.

Explicit Solutions to Correlation Matrix Completion Problems, with an Application to Risk Management and Insurance

Number of pages: 18 Posted: 16 Oct 2017
Dan Georgescu, Nicholas Higham, Gareth Peters and Gareth Peters
Bank of England - Prudential Regulation Authority, University of Manchester and University College London - Department of Statistical ScienceUniversity of California Santa Barbara
Downloads 94 (347,453)
Citation 1

Abstract:

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Matrix Completion, Correlation Matrix, Positive Definite Matrix, Maximal Determinant, Chordal Graph, Covariance Selection, Insurance, Risk Management

53.

Quantile Diffusions for Risk Analysis

Number of pages: 34 Posted: 13 Jan 2020 Last Revised: 13 Sep 2021
Holly Brannelly, Andrea Macrina, Gareth Peters and Gareth Peters
University College London, University College London and University College London - Department of Statistical ScienceUniversity of California Santa Barbara
Downloads 92 (352,232)

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Diffusions, order statistics and empirical distributions, quantile functions, stochastic differential equations, Tukey transforms, probability measure distortions, dynamic tilting, Wang transform, risk.

54.

Dynamic Quantile Function Models

Number of pages: 37 Posted: 17 Jul 2017
Wilson Chen, Gareth Peters, Gareth Peters, Richard H. Gerlach and Scott Sisson
University of Sydney Business School, University College London - Department of Statistical ScienceUniversity of California Santa Barbara, University of Sydney and University of New South Wales (UNSW) - School of Mathematics and Statistics
Downloads 91 (354,648)
Citation 3

Abstract:

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symbolic data, time series, MCMC, quantile function, g-and-h, Value-at-Risk

55.

Tensor Approximation of Generalized Correlated Diffusions and Functional Copula Operators

Dalessandro, A. & Peters, G.W. Methodology and Computing in Applied Probability (2017). doi:10.1007/s11009-017-9545-8
Number of pages: 35 Posted: 26 Feb 2015 Last Revised: 04 Sep 2019
Antonio Dalessandro, Antonio Dalessandro, Gareth Peters and Gareth Peters
University College LondonUBS AG and University College London - Department of Statistical ScienceUniversity of California Santa Barbara
Downloads 88 (362,182)
Citation 2

Abstract:

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Martingale Representation; Semimartingales Decomposition; Copula Infinitesimal Generators

56.

Chain Ladder Method: Bayesian Bootstrap Versus Classical Bootstrap

Number of pages: 37 Posted: 05 Jun 2017
Gareth Peters, Gareth Peters, Mario V. Wuthrich and Pavel V. Shevchenko
University College London - Department of Statistical ScienceUniversity of California Santa Barbara, RiskLab, ETH Zurich and Macquarie University - Department of Actuarial Studies and Business Analytics
Downloads 87 (364,686)
Citation 1

Abstract:

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claims reserving, distribution-free chain ladder, mean square error of prediction, Bayesian chain ladder, approximate Bayesian computation, Markov chain Monte Carlo, adaption, annealing, bootstrap

57.

Estimating Quantile Families of Loss Distributions for Non-Life Insurance Modelling via L-Moments

Number of pages: 41 Posted: 29 Feb 2016
Gareth Peters, Gareth Peters, Wilson Chen and Richard H. Gerlach
University College London - Department of Statistical ScienceUniversity of California Santa Barbara, University of Sydney Business School and University of Sydney
Downloads 87 (364,686)
Citation 6

Abstract:

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Non-life Insurance, Claims Modelling, Quantile Models, g-and-h, g-and-k, g-and-j, loss modelling

58.

Spatial Stackelberg Incentive Mechanism for Privacy-Aware Mobile Crowd Sensing

Journal of Machine Learning Research 1 (2000) 1-48
Number of pages: 31 Posted: 09 May 2018
Jing Yang Koh, Gareth Peters, Gareth Peters, Ido Nevat and Derek Leong
National University of Singapore (NUS) - Department of Information Systems and Analytics, University College London - Department of Statistical ScienceUniversity of California Santa Barbara, Heriot-Watt University - Department of Actuarial Mathematics and Statistics and Agency for Science, Technology and Research (A*STAR) - Institute for Infocomm Research
Downloads 84 (372,625)

Abstract:

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59.

Estimation of Cointegrated Spaces: A Numerical Case Study on Efficiency, Accuracy and Influence of the Model Noise

Number of pages: 28 Posted: 16 Feb 2017
Maciej Marówka, Gareth Peters, Gareth Peters, Nikolas Kantas and Guillaume Bagnarosa
Imperial College London - Department of Mathematics, University College London - Department of Statistical ScienceUniversity of California Santa Barbara, Imperial College London and ESC Rennes School of Business
Downloads 84 (372,625)
Citation 1

Abstract:

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Cointegration, Bayesian, Hamiltonian Monte Carlo

60.

Optimal Insurance Purchase Strategies via Optimal Multiple Stopping Times

Number of pages: 26 Posted: 07 Oct 2014 Last Revised: 18 Feb 2015
Rodrigo Targino, Gareth Peters, Gareth Peters, Georgy Sofronov and Pavel V. Shevchenko
Getulio Vargas Foundation (FGV) - EMAp - School of Applied Mathematics, University College London - Department of Statistical ScienceUniversity of California Santa Barbara, Macquarie University - Department of Mathematics and Statistics and Macquarie University - Department of Actuarial Studies and Business Analytics
Downloads 83 (375,265)

Abstract:

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Multiple stopping rules, Operational risk, Insurance

61.

Quantification of Cyber Risk – Risk Categories and Business Sectors

Number of pages: 23 Posted: 11 Jun 2021 Last Revised: 29 Jun 2021
Macquarie University - Department of Actuarial Studies and Business Analytics, Macquarie University, Macquarie Business School, Macquarie University - Department of Applied Finance and Actuarial Studies, University College London - Department of Statistical ScienceUniversity of California Santa Barbara, Macquarie University - Department of Mathematics and Statistics and Macquarie University Sydney - Department of Applied Finance and Actuarial Studies
Downloads 82 (377,947)

Abstract:

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62.

Spectral Characterization of the Non-Independent Increment Family of Alpha-Stable Processes that Generalize Gaussian Process Models.

Number of pages: 37 Posted: 04 Jan 2017
Nourddine Azzaoui, Gareth Peters, Gareth Peters, Arnaud Guillin and Malcolm Egan
Mathematics Department, Université Blaise Pascal, University College London - Department of Statistical ScienceUniversity of California Santa Barbara, Mathematics Department, Université Blaise Pascal and Université Blaise Pascal (Clermont-Ferrand II)
Downloads 81 (380,739)
Citation 1

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63.

Tensor Approximation of Generalized Correlated Diffusions for Decomposing Copulas: Part A

Number of pages: 34 Posted: 22 Jul 2016 Last Revised: 05 Jul 2020
Antonio Dalessandro, Antonio Dalessandro, Gareth Peters and Gareth Peters
University College LondonUBS AG and University College London - Department of Statistical ScienceUniversity of California Santa Barbara
Downloads 81 (380,739)
Citation 1

Abstract:

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Copula Functions, Copula Infinitesimal Generators, Martingale Problem, Multidimensional Semimartingales Decomposition Approximations, Semimartingales Decomposition, Tensor algebra

64.

Risk Margin Quantile Function via Parametric and Non-Parametric Bayesian Quantile Regression

Number of pages: 33 Posted: 12 Feb 2014
Alice Dong, Jennifer Chan, Gareth Peters and Gareth Peters
The University of Sydney - School of Mathematics and Statistics, The University of Sydney - School of Mathematics and Statistics and University College London - Department of Statistical ScienceUniversity of California Santa Barbara
Downloads 77 (392,038)
Citation 1

Abstract:

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Asymmetric Laplace distribution, Bayesian inference, Markov chain Monte Carlo methods, Quantile regression, loss reserve, risk margin, central estimate

65.

Evidence for Persistence and Long Memory Features in Mortality Data

Number of pages: 18 Posted: 30 Jan 2019
Hongxuan Yan, Gareth Peters, Gareth Peters and Jennifer Chan
The University of Sydney - School of Mathematics and Statistics, University College London - Department of Statistical ScienceUniversity of California Santa Barbara and The University of Sydney - School of Mathematics and Statistics
Downloads 76 (394,911)

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66.

Impact of Insurance for Operational Risk: Is It Worthwhile to Insure or Be Insured for Severe Losses?

Number of pages: 64 Posted: 05 Jun 2017
Gareth Peters, Gareth Peters, Aaron Byrnes and Pavel V. Shevchenko
University College London - Department of Statistical ScienceUniversity of California Santa Barbara, University of New South Wales (UNSW) and Macquarie University - Department of Actuarial Studies and Business Analytics
Downloads 69 (416,466)
Citation 4

Abstract:

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Operational Risk, Loss Distributional Approach, Insurance Mitigation, Capital Reduction, α-Stable, Basel II, Solvency II

67.

Multiple Barrier-Crossings of an Ornstein-Uhlenbeck Diffusion in Consecutive Periods

Number of pages: 39 Posted: 06 Mar 2019 Last Revised: 16 Oct 2020
Yupeng Jiang, Andrea Macrina, Gareth Peters and Gareth Peters
University College London, University College London and University College London - Department of Statistical ScienceUniversity of California Santa Barbara
Downloads 67 (423,008)

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Ornstein-Uhlenbeck Process, First-Passage-Time, Multiple Barrier-Crossings and Joint Survival Function, Time-Dependent Barriers, Markov Process, Infinite Series Approximation and Tail Convergence, Quadrature and Monte Carlo Schemes, Numerical Efficiency

68.

An Online Appendix to: 'Violations of Uncovered Interest Rate Parity and International Exchange Rate Dependences'

Number of pages: 13 Posted: 04 Aug 2015
Matthew Ames, Matthew Ames, Guillaume Bagnarosa, Gareth Peters and Gareth Peters
The Institute of Statistical MathematicsResilientML, ESC Rennes School of Business and University College London - Department of Statistical ScienceUniversity of California Santa Barbara
Downloads 65 (429,704)

Abstract:

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Forward Premium Puzzle, Speculative Trading Volumes, Multivariate Tail Dependence, Mixture Copula Models, Currency Carry Trade, Covariance Regressions

69.

A Weighted Spatio-Temporal Model for County Yields

Number of pages: 51 Posted: 07 Sep 2019
The Institute of Statistical MathematicsResilientML, ESC Rennes School of Business, ESC Rennes School of Business, The Institute of Statistical Mathematics and University College London - Department of Statistical ScienceUniversity of California Santa Barbara
Downloads 63 (436,645)

Abstract:

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Crop yields, crop insurance pricing, SARIMA, Gaussian process

70.

Tutorial on Empirical Mode Decomposition: Basis Decomposition and Frequency Adaptive Graduation in Non-Stationary Time Series

Number of pages: 40 Posted: 07 Sep 2021
Cole van Jaarsveldt, Gareth Peters, Gareth Peters, Matthew Ames, Matthew Ames and Mike J. Chantler
Heriot-Watt University - Department of Actuarial Mathematics and Statistics, University College London - Department of Statistical ScienceUniversity of California Santa Barbara, The Institute of Statistical MathematicsResilientML and Heriot-Watt University - Department of Computer Science
Downloads 62 (440,165)

Abstract:

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Time Series Analysis, Empirical Mode Decomposition, Fourier Analysis, Wavelet Analysis, Independent Component Analysis, X11, Non-Stationary, Graduation, Signal Decomposition

71.

On Sequential Monte Carlo, Partial Rejection Control and Approximate Bayesian Computation

Probability Surveys, ISSN: 1549-5787 (2008)
Number of pages: 24 Posted: 05 Jun 2017
Gareth Peters, Gareth Peters, Y. Fan and Scott Sisson
University College London - Department of Statistical ScienceUniversity of California Santa Barbara, University of New South Wales (UNSW) - School of Mathematics and Statistics and University of New South Wales (UNSW) - School of Mathematics and Statistics
Downloads 61 (443,604)

Abstract:

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Asymptotic analysis, Convergence, Interacting particle systems, Sequential Monte Carlo samplers

72.

A Bonus-Malus Framework for Cyber Risk Insurance and Optimal Cybersecurity Provisioning

Number of pages: 29 Posted: 19 Mar 2021
Qikun Xiang, Ariel Neufeld, Gareth Peters, Gareth Peters, Ido Nevat and Anwitaman Datta
Nanyang Technological University (NTU), Nanyang Technological University (NTU), University College London - Department of Statistical ScienceUniversity of California Santa Barbara, Heriot-Watt University - Department of Actuarial Mathematics and Statistics and affiliation not provided to SSRN
Downloads 59 (450,861)

Abstract:

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Cyber risk insurance, Cybersecurity, Bonus-Malus, Stochastic optimal control, Dynamic programming

73.

Sequential Monte Carlo Samplers CUED Technical Report

Number of pages: 24 Posted: 11 May 2021
Pierre Del Moral, Arnaud Doucet, Gareth Peters and Gareth Peters
Centre de Recherche Inria Bordeaux, University of Cambridge - Department of Engineering and University College London - Department of Statistical ScienceUniversity of California Santa Barbara
Downloads 58 (454,560)
Citation 3

Abstract:

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Monte Carlo, Sequential Monte Carlo

74.

Infection Rate Models for COVID-19: Model Risk and Public Health News Sentiment Exposure Adjustments.

Number of pages: 34 Posted: 14 Apr 2021
Ioannis Chalkiadakis, Hongxuan Yan, Gareth Peters, Gareth Peters and Pavel V. Shevchenko
Heriot-Watt University - Department of Computer Science, The University of Sydney - School of Mathematics and Statistics, University College London - Department of Statistical ScienceUniversity of California Santa Barbara and Macquarie University - Department of Actuarial Studies and Business Analytics
Downloads 58 (454,560)

Abstract:

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COVID-19, GLARMA, growth models, model risk, natural language processing, sentiment analysis

75.

Statistical Causality for Multivariate Non-Linear Time Series via Gaussian Processes

Number of pages: 36 Posted: 18 Jun 2020
Anna Zaremba, Gareth Peters and Gareth Peters
affiliation not provided to SSRN and University College London - Department of Statistical ScienceUniversity of California Santa Barbara
Downloads 54 (469,644)
Citation 1

Abstract:

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statistical causality, Granger causality, Generalised Likelihood Ratio Test, nested models, ARD kernel

76.

Hybrid ARDL-MIDAS-Transformer Time-Series Regressions for Multi-Topic Crypto Market Sentiment Driven by Price and Technology Factors

Number of pages: 57 Posted: 21 Aug 2021 Last Revised: 03 Sep 2021
Ioannis Chalkiadakis, Gareth Peters, Gareth Peters, Matthew Ames and Matthew Ames
Heriot-Watt University - Department of Computer Science, University College London - Department of Statistical ScienceUniversity of California Santa Barbara and The Institute of Statistical MathematicsResilientML
Downloads 53 (473,571)

Abstract:

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MIDAS; Transformer; multi-scale resolution data; sentiment modelling; natural language processing; Gegenbauer long memory

77.

Some Recent Developments in Markov Chain Monte Carlo for Cointegrated Time Series

Number of pages: 25 Posted: 02 Aug 2017
Maciej Marówka, Gareth Peters, Gareth Peters, Nikolas Kantas and Guillaume Bagnarosa
Imperial College London - Department of Mathematics, University College London - Department of Statistical ScienceUniversity of California Santa Barbara, Imperial College London and ESC Rennes School of Business
Downloads 53 (473,571)

Abstract:

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Time Series, Cointegration, Bayesian, Markov Chain Monte Carlo, Hamiltonian Monte Carlo, Geodesic Monte Carlo, Manifold Learning

78.

Option Pricing with Polynomial Chaos Expansion Stochastic Bridge Interpolators and Signed Path Dependence

Number of pages: 45 Posted: 28 May 2020
Fabio Dias, Gareth Peters and Gareth Peters
University College London - Department of Statistical Science and University College London - Department of Statistical ScienceUniversity of California Santa Barbara
Downloads 52 (477,590)

Abstract:

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option pricing, time series momentum, mixture models, polynomial chaos expansion, signed path dependence

79.

Liquidity Commonality Does Not Imply Liquidity Resilience Commonality: A Functional Characterisation for Ultra-High Frequency Cross-Sectional LOB Data

Number of pages: 37 Posted: 05 Jun 2017
Efstathios Panayi, Gareth Peters, Gareth Peters and Ioannis Kosmidis
University College London - Financial Computing and Analytics Group, Department of Computer Science, University College London - Department of Statistical ScienceUniversity of California Santa Barbara and Department of Statistical Science, University College London
Downloads 47 (498,622)

Abstract:

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Limit Order Book, Liquidity, High Frequency Finance

80.

An Introduction to Stochastic Particle Integration Methods: With Applications to Risk and Insurance

Number of pages: 42 Posted: 05 Jun 2017
Pierre Del Moral, Gareth Peters, Gareth Peters and Christelle Verge
INRIA Bordeaux-Sud Ouest, University College London - Department of Statistical ScienceUniversity of California Santa Barbara and Independent
Downloads 47 (498,622)
Citation 6

Abstract:

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insurance, particle filtering, sequential monte carlo, accept-reject, Feynmann-Kac Interacting Particles

81.

A Copula Based Bayesian Approach for Paid–Incurred Claims Models for Non-Life Insurance Reserving

Number of pages: 40 Posted: 05 Jun 2017
Gareth Peters, Gareth Peters, Alice Dong and Robert Kohn
University College London - Department of Statistical ScienceUniversity of California Santa Barbara, The University of Sydney - School of Mathematics and Statistics and University of New South Wales - School of Economics and School of Banking and Finance
Downloads 41 (525,810)

Abstract:

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Chain Ladder Models, Claims Reserving, Data Augmentation, Adaptive Markov Chain Monte Carlo

82.

Analytic Loss Distributional Approach Models for Operational Risk from the Α-Stable Doubly Stochastic Compound Processes and Implications for Capital Allocation

Number of pages: 29 Posted: 05 Jun 2017
Gareth Peters, Gareth Peters, Pavel V. Shevchenko, Mark Young and Wendy Yip
University College London - Department of Statistical ScienceUniversity of California Santa Barbara, Macquarie University - Department of Actuarial Studies and Business Analytics, affiliation not provided to SSRN and affiliation not provided to SSRN
Downloads 37 (545,640)

Abstract:

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Operational Risk, Loss Distributional Approach, Doubly stochastic Poisson Process, α-Stable, Basel II, Solvency II

83.

Likelihood-Free Bayesian Inference for α-Stable Models

Number of pages: 33 Posted: 10 Jun 2017
Gareth Peters, Gareth Peters, Scott Sisson and Y. Fan
University College London - Department of Statistical ScienceUniversity of California Santa Barbara, University of New South Wales (UNSW) - School of Mathematics and Statistics and University of New South Wales (UNSW) - School of Mathematics and Statistics
Downloads 35 (556,086)
Citation 3

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α-stable distributions; Approximate Bayesian computation; Bayesian inference; Likelihood-free inference; Multivariate models

84.

Bayesian Cointegrated Vector Autoregression Models Incorporating α-Stable Noise for Inter-Day Price Movements Via Approximate Bayesian Computation

Number of pages: 39 Posted: 05 Jun 2017
Gareth Peters, Gareth Peters, Balakrishnan Kannan, Ben Lasscock, Chris Mellen and Simon Godsill
University College London - Department of Statistical ScienceUniversity of California Santa Barbara, Cochin University of Science and Technology (CUSAT), affiliation not provided to SSRN, affiliation not provided to SSRN and University of Cambridge - Department of Engineering
Downloads 35 (556,086)
Citation 8

Abstract:

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Cointegrated Vector Autoregression, α-stable, Approximate Bayesian Computation

85.

A Spatiotemporal Analysis of Participatory Sensing Data 'Tweets' and Extreme Climate Events Toward Real-Time Urban Risk Management

This manuscript was presented in the 14th International Conference on Computers in Urban Planning and Urban Management (CUPUM 2015).
Number of pages: 34 Posted: 05 Jun 2017
Yoshiki Yamagata, Daisuke Murakami, Gareth Peters, Gareth Peters and Tomoko Matsui
University of Tsukuba, University of Tsukuba - Graduate School of Systems and Information Engineering, University College London - Department of Statistical ScienceUniversity of California Santa Barbara and The Institute of Statistical Mathematics
Downloads 34 (561,443)
Citation 1

Abstract:

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heat wave, twitter

86.

Package AdvEMDpy: Algorithmic Variations of Empirical Mode Decomposition in Python

Number of pages: 50 Posted: 25 Oct 2021
Cole van Jaarsveldt, Matthew Ames, Matthew Ames, Gareth Peters, Gareth Peters and Mike J. Chantler
Heriot-Watt University - Department of Actuarial Mathematics and Statistics, The Institute of Statistical MathematicsResilientML, University College London - Department of Statistical ScienceUniversity of California Santa Barbara and Heriot-Watt University - Department of Computer Science
Downloads 33 (566,917)

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Empirical Mode Decomposition (EMD), Statistical EMD (SEMD), Enhanced EMD (EEMD), Ensemble EMD, Hilbert transform, time series analysis, filtering, graduation, Winsorization, downsampling, splines, knot optimisation, Python, R, MATLAB

87.

GLS Kernel Regression for Network-Structured Data

Number of pages: 33 Posted: 30 Aug 2021
Edward Antonian, Gareth Peters, Gareth Peters, Mike J. Chantler and Hongxuan Yan
Heriot-Watt University, University College London - Department of Statistical ScienceUniversity of California Santa Barbara, Heriot-Watt University - Department of Computer Science and Chinese Academy of Sciences (CAS)
Downloads 33 (566,917)

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Graph Signal Processing, Regression, Kernel

88.

Supplement to: 'Spectral Characterization of the Family α-Stable Processes that Generalize Gaussian Process Models.'

Number of pages: 42 Posted: 12 Jan 2017
Nourddine Azzaoui, Gareth Peters, Gareth Peters, Arnaud Guillin and Malcolm Egan
Mathematics Department, Université Blaise Pascal, University College London - Department of Statistical ScienceUniversity of California Santa Barbara, Mathematics Department, Université Blaise Pascal and Université Blaise Pascal (Clermont-Ferrand II)
Downloads 33 (566,917)

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89.

Supplementary Material: Which Risk Factors Drive Oil Futures Price Curves?

Number of pages: 18 Posted: 16 Jan 2019
The Institute of Statistical MathematicsResilientML, ESC Rennes School of Business, The Institute of Statistical Mathematics, University College London - Department of Statistical ScienceUniversity of California Santa Barbara and Macquarie University - Department of Actuarial Studies and Business Analytics
Downloads 32 (572,389)

Abstract:

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Crude oil, Short-term factor, Long-term factor, Hybrid Multi-Factor model, Macroeconomical factors, Term structure

90.

Langevin and Hamiltonian Based Sequential MCMC for Efficient Bayesian Filtering in High-Dimensional Spaces

IEEE Journal of Selected Topics in Signal Processing, Special issue on Stochastic Simulation and Optimisation in Signal Processing (2015)
Number of pages: 32 Posted: 06 Jun 2017
Francois Septier, Gareth Peters and Gareth Peters
Institut Mines-Télécom Business School and University College London - Department of Statistical ScienceUniversity of California Santa Barbara
Downloads 32 (572,389)
Citation 1

Abstract:

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Bayesian inference, filtering, Sequential Monte Carlo, Markov Chain Monte Carlo, state-space model, high-dimensional

91.

Model Selection and Adaptive Markov Chain Monte Carlo for Bayesian Cointegrated VAR Model

Number of pages: 24 Posted: 05 Jun 2017
Gareth Peters, Gareth Peters, Balakrishnan Kannan, Ben Lasscock and Chris Mellen
University College London - Department of Statistical ScienceUniversity of California Santa Barbara, Cochin University of Science and Technology (CUSAT), affiliation not provided to SSRN and affiliation not provided to SSRN
Downloads 31 (577,992)
Citation 2

Abstract:

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Cointegrated Vector Auto Regression, Adaptive Markov chain Monte Carlo, Bayesian Inference, Bayes Factors, Savage-Dickey

92.

Cyber Risk Frequency, Severity and Insurance Viability

Number of pages: 42 Posted: 05 Nov 2021
Macquarie University - Department of Applied Finance and Actuarial Studies, University College London - Department of Statistical ScienceUniversity of California Santa Barbara, Macquarie University - Department of Actuarial Studies and Business Analytics, Macquarie University Sydney - Department of Applied Finance and Actuarial Studies, Macquarie University, Macquarie Business School and Macquarie University - Department of Mathematics and Statistics
Downloads 29 (589,763)

Abstract:

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cyber risk, GAMLSS, cyber risk insurance, ordinal regression

93.

Spatiotemporal Analysis of Urban Heatwaves Using Tukey G-and-H Random Field Models

Number of pages: 41 Posted: 08 May 2020
Daisuke Murakami, Gareth Peters, Gareth Peters and Tomoko Matsui
University of Tsukuba - Graduate School of Systems and Information Engineering, University College London - Department of Statistical ScienceUniversity of California Santa Barbara and The Institute of Statistical Mathematics
Downloads 23 (629,064)

Abstract:

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94.

Quantifying the Uncertain Effects of Climate Change on Building Energy Consumption Across the United States

Number of pages: 31 Posted: 26 Aug 2020
Jimeno Fonseca, Ido Nevat, Gareth Peters and Gareth Peters
ETH, Heriot-Watt University - Department of Actuarial Mathematics and Statistics and University College London - Department of Statistical ScienceUniversity of California Santa Barbara
Downloads 22 (636,128)

Abstract:

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Climate Change, Energy Consumption, Climate Model, Uncertainty Quantification

95.

Parsimonious Feature Extraction Methods: Extending Robust Probabilistic Projections with Generalized Skew-t

Number of pages: 39 Posted: 12 Nov 2020
Dorota Toczydlowska, Gareth Peters, Gareth Peters and Pavel V. Shevchenko
School of Mathematical and Physical Sciences, University of Technology Sydney, University College London - Department of Statistical ScienceUniversity of California Santa Barbara and Macquarie University - Department of Actuarial Studies and Business Analytics
Downloads 21 (643,191)

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Probabilistic PCA; Feature Extraction; EM Algorithm; Robust Orthogonal Projections; Asymmetric T-Copulas; Skew T-Copula; Grouped T-Copula; Missing Data; Tail Dependence; Dependence Modelling; Cryptocurrencies

96.

Asymptotic Distribution of the Score Test for Detecting Marks in Hawkes Processes

Number of pages: 34 Posted: 13 May 2019
Kepler Cheuvreux, University of New South Wales, University College London - Department of Statistical ScienceUniversity of California Santa Barbara and University of New South Wales (UNSW) - School of Mathematics and StatisticsUniversity of Technology Sydney (UTS) - UTS Business School
Downloads 20 (650,263)
Citation 1

Abstract:

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Marked Hawkes point process, Ergodicity, Quasi likelihood, Score test, Inferential statistics, Local power

97.

Advances in Approximate Bayesian Computation and Trans-Dimensional Sampling Methodology

Number of pages: 499 Posted: 23 Mar 2021
Gareth Peters and Gareth Peters
University College London - Department of Statistical ScienceUniversity of California Santa Barbara
Downloads 18 (664,596)

Abstract:

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Sequential Monte Carlo Samplers, Approximate Bayesian Computation

98.

Bayesian Spatial Field Reconstruction with Unknown Distortions in Sensor Networks

Number of pages: 44 Posted: 25 Aug 2020
Qikun Xiang, Ido Nevat, Gareth Peters and Gareth Peters
Nanyang Technological University (NTU), Heriot-Watt University - Department of Actuarial Mathematics and Statistics and University College London - Department of Statistical ScienceUniversity of California Santa Barbara
Downloads 15 (686,745)

Abstract:

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Sensor Networks, Gaussian Process, Spatial Linear Unbiased Estimator (SBLUE), Empirical Bayes, Cross Entropy method (CEM), Iterated Conditional Modes (ICM)

99.

On-chain analytics for sentiment-driven statistical causality in cryptocurrencies: Supplementary appendix

Number of pages: 183 Posted: 06 Apr 2021 Last Revised: 24 Nov 2021
Ioannis Chalkiadakis, Anna Zaremba, Gareth Peters, Gareth Peters and Mike J. Chantler
Heriot-Watt University - Department of Computer Science, affiliation not provided to SSRN, University College London - Department of Statistical ScienceUniversity of California Santa Barbara and Heriot-Watt University - Department of Computer Science
Downloads 13 (702,281)

Abstract:

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Multiple-Output Gaussian Process, Granger causality, sentiment index, sentiment analysis, text mining, multimodal systems, heterogeneous data, cryptocurrencies, cryptocoin markets, natural language processing

100.

Analysis of Option-Like Fund Performance Fees in Asset Management via Monte Carlo Actuarial Distortion Pricing

Number of pages: 41 Posted: 25 Oct 2021
Mantana Chudtong, Gareth Peters, Gareth Peters and Andrea De Gaetano
Mahidol University, University College London - Department of Statistical ScienceUniversity of California Santa Barbara and National Research Council of Italy
Downloads 8 (741,756)

Abstract:

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Performance-fee pricing; Mutual fund; Distortion Pricing; Monte Carlo, Retirement Savings Costs

101.

On-chain Analytics for Sentiment-driven Statistical Causality in Cryptocurrencies

Posted: 11 Feb 2021 Last Revised: 22 Nov 2021
Ioannis Chalkiadakis, Anna Zaremba, Gareth Peters, Gareth Peters and Mike J. Chantler
Heriot-Watt University - Department of Computer Science, affiliation not provided to SSRN, University College London - Department of Statistical ScienceUniversity of California Santa Barbara and Heriot-Watt University - Department of Computer Science

Abstract:

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Multiple-Output Gaussian Process, Granger causality, sentiment index, sentiment analysis, text mining, multimodal systems, heterogeneous data, cryptocurrencies, cryptocoin markets, natural language processing

102.

A Statistical Analysis of Text: Embeddings, Properties and Time-Series Modeling

Posted: 11 Feb 2021
Ioannis Chalkiadakis, Gareth Peters, Gareth Peters, Mike J. Chantler and Ioannis Konstas
Heriot-Watt University - Department of Computer Science, University College London - Department of Statistical ScienceUniversity of California Santa Barbara, Heriot-Watt University - Department of Computer Science and Heriot-Watt University - Department of Computer Science

Abstract:

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natural language, text processing, long memory, persistence, multifractal time-series, Brownian bridge, Multiple-Output Gaussian Processes, item-response models, contingency tables

103.

Global Perspectives on Operational Risk Management and Practice: A Survey by the Institute of Operational Risk (IOR) and the Center for Financial Professionals (CeFPro)

Journal of Operational Risk, Vol. 13, No. 4, 2018
Number of pages: 42 Posted: 10 Dec 2018
Gareth Peters, Gareth Peters, George Clark, John Thirlwell and Manoj Kulwal
University College London - Department of Statistical ScienceUniversity of California Santa Barbara, The Institute of Operational Risk, The Institute of Operational Risk and The Institute of Operational Risk
Downloads 0 (819,276)
Citation 1
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operational risk, risk management, machine learning, clustering, artificial intelligence, regulatory technology

104.

Efficient and Accurate Evaluation Methods for Concordance Measures via Functional Tensor Characterizations of Copulas

Dalessandro, A., Peters, G.W. Efficient and Accurate Evaluation Methods for Concordance Measures via Functional Tensor Characterizations of Copulas. Methodol Comput Appl Probab (2019). https://doi.org/10.1007/s11009-019-09752-2
Posted: 03 Oct 2016 Last Revised: 16 Jul 2020
Antonio Dalessandro, Antonio Dalessandro, Gareth Peters and Gareth Peters
University College LondonUBS AG and University College London - Department of Statistical ScienceUniversity of California Santa Barbara

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Concordance Measures, Copula Functions, Copula Infinitesimal Generators, Martingale Problem, Multidimensional Semimartingales Decomposition Approximations, Semimartingales Decomposition, Tensor Algebra

105.

Advances in Heavy Tailed Risk Modeling: A Handbook of Operational Risk

Advances in Heavy Tailed Risk Modeling: A Handbook of Operational Risk, Hoboken, Wiley (2015), 627 pages. ISBN: 978-1-118-90953-9
Posted: 29 Jul 2015
Gareth Peters, Gareth Peters and Pavel V. Shevchenko
University College London - Department of Statistical ScienceUniversity of California Santa Barbara and Macquarie University - Department of Actuarial Studies and Business Analytics

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operational risk, insurance, heavy tailed risk modelling

106.

Fundamental Aspects of Operational Risk and Insurance Analytics: A Handbook of Operational Risk

Fundamental Aspects of Operational Risk and Insurance Analytics: A Handbook of Operational Risk, Hoboken, Wiley (2015), 899 pages.
Posted: 29 Jul 2015
Marcelo Cruz, Gareth Peters, Gareth Peters and Pavel V. Shevchenko
New York University (NYU) - Leonard N. Stern School of Business, University College London - Department of Statistical ScienceUniversity of California Santa Barbara and Macquarie University - Department of Actuarial Studies and Business Analytics

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operational risk, insurance, risk modelling

107.

Calibration and Filtering for Multi Factor Commodity Models with Seasonality: Incorporating Panel Data from Futures Contracts

Methodology and Computing in Applied Probability 15(4), pp. 841-874, December 2013, DOI 10.1007/s11009-012-9286-7
Posted: 29 Nov 2014
Gareth Peters, Gareth Peters, Mark Briers, Pavel V. Shevchenko and Arnaud Doucet
University College London - Department of Statistical ScienceUniversity of California Santa Barbara, QinetiQ Ltd, Macquarie University - Department of Actuarial Studies and Business Analytics and University of Cambridge - Department of Engineering

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Multi-factor, Commodity, spot price, Stochastic volatility, Milstein, Adaptive Markov chain Monte Carlo, Particle filter, Rao-Blackwellization

108.

Model Uncertainty in Claims Reserving within Tweedie's Compound Poisson Models

ASTIN Bulletin 39(1), pp.1-33, 2009
Posted: 23 Nov 2014
Gareth Peters, Gareth Peters, Pavel V. Shevchenko and Mario V. Wuthrich
University College London - Department of Statistical ScienceUniversity of California Santa Barbara, Macquarie University - Department of Actuarial Studies and Business Analytics and RiskLab, ETH Zurich

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Claims reserving, model uncertainty, Tweedie's compound Poisson model, Bayesian analysis, model selection, model averaging, Markov chain Monte Carlo