Rough volatility is a well-established statistical stylized fact of financial assets. This property has led to the design and analysis of various new rough stochastic volatility models. However, most of these developments have been carried out in the mono-asset case. In this work, we show that some specific multivariate rough volatility models arise naturally from microstructural properties of the joint dynamics of asset prices. To do so, we use Hawkes processes to build microscopic models that accurately reproduce high-frequency cross-asset interactions and investigate their long-term scaling limits. We emphasize the relevance of our approach by providing insights on the role of microscopic features such as momentum and mean-reversion in the multidimensional price formation process. In particular, we recover classical properties of high-dimensional stock correlation matrices.

We provide upper and lower bounds for the mean $\mathscr{M}(H)$ of $\sup_{t\geq 0} \{B_H(t) - t\}$, with $B_H(\!\cdot\!)$ a zero-mean, variance-normalized version of fractional Brownian motion with Hurst parameter $H\in(0,1)$. We find bounds in (semi-) closed form, distinguishing between $H\in(0,\frac{1}{2}]$ and $H\in[\frac{1}{2},1)$, where in the former regime a numerical procedure is presented that drastically reduces the upper bound. For $H\in(0,\frac{1}{2}]$, the ratio between the upper and lower bound is bounded, whereas for $H\in[\frac{1}{2},1)$ the derived upper and lower bound have a strongly similar shape. We also derive a new upper bound for the mean of $\sup_{t\in[0,1]} B_H(t)$, $H\in(0,\frac{1}{2}]$, which is tight around $H=\frac{1}{2}$.

Recent work has demonstrated the use of sparse sensors in combination with the proper orthogonal decomposition (POD) to produce data-driven reconstructions of the full velocity fields in a variety of flows. The present work investigates the fidelity of such techniques applied to a stalled NACA 0012 aerofoil at $ {Re}_c=75,000 $ at an angle of attack $ \alpha ={12}^{\circ } $ as measured experimentally using planar time-resolved particle image velocimetry. In contrast to many previous studies, the flow is absent of any dominant shedding frequency and exhibits a broad range of singular values due to the turbulence in the separated region. Several reconstruction methodologies for linear state estimation based on classical compressed sensing and extended POD methodologies are presented as well as nonlinear refinement through the use of a shallow neural network (SNN). It is found that the linear reconstructions inspired by the extended POD are inferior to the compressed sensing approach provided that the sparse sensors avoid regions of the flow with small variance across the global POD basis. Regardless of the linear method used, the nonlinear SNN gives strikingly similar performance in its refinement of the reconstructions. The capability of sparse sensors to reconstruct separated turbulent flow measurements is further discussed and directions for future work suggested.

We apply the power-of-two-choices paradigm to a random walk on a graph: rather than moving to a uniform random neighbour at each step, a controller is allowed to choose from two independent uniform random neighbours. We prove that this allows the controller to significantly accelerate the hitting and cover times in several natural graph classes. In particular, we show that the cover time becomes linear in the number n of vertices on discrete tori and bounded degree trees, of order $${\mathcal O}(n\log \log n)$$ on bounded degree expanders, and of order $${\mathcal O}(n{(\log \log n)^2})$$ on the Erdős–Rényi random graph in a certain sparsely connected regime. We also consider the algorithmic question of computing an optimal strategy and prove a dichotomy in efficiency between computing strategies for hitting and cover times.

The inverse of a noncentral Wishart matrix occurs in a variety of contexts in multivariate statistical work, including instrumental variable (IV) regression, but there has been very little work on its properties. In this paper, we first provide an expression for the expectation of the inverse of a noncentral Wishart matrix, and then go on to do the same for a number of scalar-valued functions of the inverse. The main result is obtained by exploiting simple but powerful group-equivariance properties of the expectation map involved. Subsequent results exploit the consequences of other invariance properties.

This paper estimates threshold regression models with an endogenous threshold variable using a nonparametric control function approach. Assuming diminishing threshold effects, we derive the consistency and limiting distribution of our proposed estimator constructed from the series approximation method for weakly dependent data. In addition, we propose a test for the endogeneity of the threshold variable, which is valid regardless of whether the threshold effects exist. We assess the performance of our methods using Monte Carlo simulations.