Starting from a robust, nonparametric definition of large returns (“excursions”), we study the
statistics of their occurrences, focusing on the recurrence process. The empirical waiting …

This paper studies time durations between extreme returns with the aim of testing whether
they follow power-law behaviour. Using the Hill estimator to identify extreme returns and …

It is widely recognized that human vision relies on contextual information, typically arising
from each of many levels of analysis. Local gradient information, otherwise ambiguous, is …

Volatility is a measure of uncertainty or risk embedded within a stock's dynamics. Such risk
has been received huge amounts of attention from diverse financial researchers. By …

We proposed a data-driven approach to dissect multivariate time series in order to discover
multiple phases underlying dynamics of complex systems. This computing approach is …

條件機率建模技術近來被廣泛使用在高維度建模中, 生成式模型在影像分析可分成兩個元件:
影像解讀分佈與影像資料條件分佈. 兩者皆可利用條件機率建模技術與比例差調技巧來建構 …

In this dissertation, I computationally analyze the dynamic pattern for time series belonging
to two distinct settings: rhythmic and arrhythmic, and resolving a Machine Learning topic …

High-frequency return, trading volume and transaction number are digitally coded via a
nonparametric computing algorithm, called hierarchical factor segmentation (HFS), and then …