20022020

Research output per year

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Research Output

2020

Factor-augmented Bayesian cointegration models: a case-study on the soybean crush spread

Marowka, M., Peters, G. W., Kantas, N. & Bagnarosa, G., Apr 2020, In : Journal of the Royal Statistical Society. Series C: Applied Statistics. 69, 2, p. 483-500 18 p.

Research output: Contribution to journalArticle

Open Access
File

Probabilistic routing in wireless networks with privacy guarantees

Koh, J. Y., Peters, G. W., Nevat, I. & Leong, D., 1 Feb 2020, In : Computer Communications. 151, p. 228-237 10 p.

Research output: Contribution to journalArticle

Which risk factors drive oil futures price curves?

Ames, M., Bagnarosa, G., Matsui, T., Peters, G. W. & Shevchenko, P. V., Mar 2020, In : Energy Economics. 87, 104676.

Research output: Contribution to journalArticle

2019

An Advanced Estimation Algorithm for Ground-Motion Models with Spatial Correlation

Deyu, M., Huang, C., Peters, G. W. & Galasso, C., 1 Apr 2019, In : Bulletin of the Seismological Society of America. 109, 2, p. 541-566 26 p.

Research output: Contribution to journalArticle

Open Access
File
10 Downloads (Pure)

A Non-parametric Test and Predictive Model for Signed Path Dependence

Dias, F. S. & Peters, G. W., 22 Oct 2019, In : Computational Economics. p. 1-38 38 p.

Research output: Contribution to journalArticle

Open Access
File
11 Downloads (Pure)

Bayesian Cointegration with Linear State Space Models: a case study on the Soybean Crush Spread

Marowka, M., Peters, G. W., Kantas, N. & Bagnarossa, G., 21 Nov 2019, (Accepted/In press) In : Journal of the Royal Statistical Society Series C: Applied Statistics. 22 p.

Research output: Contribution to journalArticle

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

Fung, M. C., Peters, G. W. & Shevchenko, P. V., Mar 2019, In : Annals of Actuarial Science. 13, 1, p. 109-144 36 p.

Research output: Contribution to journalArticle

Open Access
File
34 Downloads (Pure)

Copula-Based Interference Models for IoT Wireless Networks

Zheng, C., Egan, M., Clavier, L., Peters, G. W. & Gorce, J-M., 15 Jul 2019, 2019 IEEE International Conference on Communications (ICC). IEEE, 8761783. (IEEE International Conference on Communications (ICC)).

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Open Access
File
25 Downloads (Pure)
Open Access
File

Multimodal Data Fusion of Non-Gaussian Spatial Fields in Sensor Networks

Zhang, P., Peters, G. W. & Nevat, I., 3 Feb 2019, (Accepted/In press) 2019 IEEE International Conference on Communications (ICC): Ad Hoc and Sensor Networks Symposium. IEEE

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Multivariate Long-Memory Cohort Mortality Models

Yan, H., Peters, G. W. & Chan, J. S. K., 23 Dec 2019, In : ASTIN Bulletin.

Research output: Contribution to journalArticle

2018

Advancing Ground Motion Characterization for Post-Event Loss Assessment

Peters, G., Ming, D., Galasso, C. & Huang, C., Jun 2018.

Research output: Contribution to conferencePaper

A feature-ranking framework for IoT device classification

Desai, B. A., Divakaran, D. M., Nevat, I., Peters, G. W. & Gurusamy, M., 8 Nov 2018, (Accepted/In press) 11th International Conference on COMmunication Systems & NETworkS (COMSNETS 2019). IEEE

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Designating market maker behaviour in limit order book markets

Panayi, E., Peters, G. W., Danielsson, J. & Zigrand, J-P., Jan 2018, In : Econometrics and Statistics. 5, p. 20-44

Research output: Contribution to journalArticle

Open Access
File
27 Downloads (Pure)

Explicit solutions to correlation matrix completion problems, with an application to risk management and insurance

Georgescu, D. I., Higham, N. J. & Peters, G. W., 14 Mar 2018, In : Royal Society Open Science. 5, 3, 172348.

Research output: Contribution to journalArticle

Open Access
File
26 Downloads (Pure)

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

Toczydlowska, D. & Peters, G. W., 18 Jul 2018, In : Econometrics. 6, 3, 34.

Research output: Contribution to journalArticle

Open Access
File
28 Downloads (Pure)

General Quantile Time Series Regressions for Applications in Population Demographics

Peters, G., 2018, In : Risks. 6, 3, 97.

Research output: Contribution to journalArticle

Open Access
File
10 Downloads (Pure)
Open Access
File
10 Downloads (Pure)

Joint localization and clock offset estimation via time-of-arrival with ranging offset

Nevat, I., Septier, F., Avnit, K., Peters, G. W. & Clavier, L., 3 Dec 2018, 2018 26th European Signal Processing Conference (EUSIPCO). IEEE, p. 672-676 5 p. (European Signal Processing Conference).

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Location Verification Systems Based on Received Signal Strength With Unknown Transmit Power

Yan, S., Peters, G. W., Nevat, I. & Malaney, R., Mar 2018, In : IEEE Communications Letters. 22, 3, p. 650-653

Research output: Contribution to journalArticle

Market Resilience

Danielsson, J., Panayi, E., Peters, G. & Zigrand, J-P., 11 May 2018, SSRN, 51 p.

Research output: Working paper

Multivariate Long Memory Cohort Mortality Models

Yan, H., Peters, G. & Chan, J., 23 Apr 2018, SSRN, 25 p.

Research output: Working paper

Sequential Monte Carlo-ABC Methods for Estimation of Stochastic Simulation Models of the Limit Order Book

Peters, G., Panayi, E. & Septier, F., 7 Dec 2018, Handbook of Approximate Bayesian Computation. Sisson, S. A., Fan, Y. & Beaumont, M. (eds.). Chapman & Hall, (Handbooks of Modern Statistical Methods).

Research output: Chapter in Book/Report/Conference proceedingChapter (peer-reviewed)

Spatial Field Reconstruction and Sensor Selection in Heterogeneous Sensor Networks With Stochastic Energy Harvesting

Zhang, P., Nevat, I., Peters, G., Septier, F. & Osborne, M. A., 1 May 2018, In : IEEE Transactions on Signal Processing. 66, 9, p. 2245-2257

Research output: Contribution to journalArticle

Open Access
File
88 Downloads (Pure)

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

Nagarajan, S. G., Peters, G. & Nevat, I., 27 Apr 2018, SSRN, 37 p.

Research output: Working paper

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

Peters, G., Shevchenko, P. V., Cohen, R. D. & Maurice, D., 19 Feb 2018, Fintech: Growth and Deregulation. Maurice, D., Freund, J. & Fairman, D. (eds.). Risk Books

Research output: Chapter in Book/Report/Conference proceedingChapter (peer-reviewed)

Tensor Approximation of Generalized Correlated Diffusions and Functional Copula Operators

Dalessandro, A. & Peters, G. W., Mar 2018, In : Methodology and Computing in Applied Probability. 20, 1, p. 237-271

Research output: Contribution to journalArticle

Open Access
File
9 Downloads (Pure)

Understanding Cyber-Risk and Cyber-Insurance

Peters, G., Shevchenko, P. V. & Cohen, R. D., 19 Feb 2018, Fintech: Growth and Deregulation. Maurice, D., Freund, J. & Fairman, D. (eds.). Risk Books

Research output: Chapter in Book/Report/Conference proceedingChapter (peer-reviewed)

Understanding the interplay between covariance forecasting factor models and risk-based portfolio allocations in currency carry trades

Ames, M., Bagnarosa, G., Peters, G. W. & Shevchenko, P. V., 25 Feb 2018, In : Journal of Forecasting. p. 1-27 27 p.

Research output: Contribution to journalArticle

Open Access
File
7 Downloads (Pure)
2017

A ruin theoretic design approach for wireless cellular network sharing with facilities

Egan, M., Peters, G. W., Nevat, I., Shirvanimoghaddam, M. & Collings, I. B., Jul 2017, In : Transactions on Emerging Telecommunications Technologies. 28, 7, e3141.

Research output: Contribution to journalArticle

A unified approach to mortality modelling using state-space framework: characterisation, identification, estimation and forecasting

Fung, M. C., Peters, G. W. & Shevchenko, P. V., 1 Sep 2017, In : Annals of Actuarial Science. 11, 2, p. 343-389

Research output: Contribution to journalArticle

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

Marówka, M., Peters, G., Kantas, N. & Bagnarosa, G., 1 May 2017, SSRN.

Research output: Working paper

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

Peters, G., Targino, R. & Wüthrich, M., 20 Dec 2017, In : Risks. 5, 4, p. 53

Research output: Contribution to journalArticle

Open Access

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

Peters, G. & Vishnia, G., 2017, Handbook of Blockchain, Digital Finance, and Inclusion: Cryptocurrency, FinTech, InsurTech, Regulation, ChinaTech, Mobile Security, and Distributed Ledger. Elsevier Science, Vol. 2. p. 271-329

Research output: Chapter in Book/Report/Conference proceedingChapter (peer-reviewed)

Capacity Bounds for Additive Symmetric α -Stable Noise Channels

De Freitas, M. L., Egan, M., Clavier, L., Goupil, A., Peters, G. W. & Azzaoui, N., Aug 2017, In : IEEE Transactions on Information Theory. 63, 8, p. 5115-5123 9 p.

Research output: Contribution to journalArticle

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

Marówka, M., Peters, G., Kantas, N. & Bagnarosa, G., 16 Feb 2017, SSRN, 28 p.

Research output: Working paper

Forecasting covariance for optimal carry trade portfolio allocations

Ames, M., Bagnarosa, G., Peters, G. W., Shevchenko, P. & Matsui, T., 19 Jun 2017, 2017 IEEE International Conference on Acoustics, Speech and Signal Processing (ICASSP). IEEE, p. 5910-5914 5 p. (IEEE International Conference on Acoustics, Speech and Signal Processing).

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Full Bayesian analysis of claims reserving uncertainty

Peters, G. W., Targino, R. S. & Wüthrich, M. V., 1 Mar 2017, In : Insurance: Mathematics and Economics. 73, p. 41-53 13 p.

Research output: Contribution to journalArticle

Multimodal Data Fusion in Sensor Networks via Copula Processes

Liu, J., Nevat, I., Zhang, P. & Peters, G. W., 11 May 2017, 2017 IEEE Wireless Communications and Networking Conference (WCNC). IEEE, 7925557. (IEEE Wireless Communications and Networking Conference).

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Multi yield curve stress-testing framework incorporating temporal and cross tenor structural dependencies

Peters, G., Karimalis, E. & Kosmidis, I., 10 Apr 2017, Bank of England: Bank of England.

Research output: Working paper

Open Access

Optimal Exercise Strategies for Operational Risk Insurance via Multiple Stopping Times

Targino, R. S., Peters, G. W., Sofronov, G. & Shevchenko, P. V., Jun 2017, In : Methodology and Computing in Applied Probability. 19, 2, p. 487-518 32 p.

Research output: Contribution to journalArticle

Open Access
File
9 Downloads (Pure)

Optimal Privacy-Preserving Probabilistic Routing for Wireless Networks

Koh, J. Y., Leong, D., Peters, G. W., Nevat, I. & Wong, W-C., 1 Sep 2017, In : IEEE Transactions on Information Forensics and Security. 12, 9, p. 2105-2114

Research output: Contribution to journalArticle

Parameter Estimation in Sensor Networks Under Probabilistic Censoring

Nevat, I., Zhang, P., Frenkel, G. & Peters, G. W., 1 Aug 2017, In : IEEE Transactions on Signal Processing. 65, 15, p. 4047-4058 12 p.

Research output: Contribution to journalArticle

Privacy-aware incentive mechanism for mobile crowd sensing

Koh, J. Y., Peters, G. W., Leong, D., Nevat, I. & Wong, W-C., 22 May 2017, 2017 IEEE International Conference on Communications (ICC). p. 1-6 (IEEE International Conference on Communications (ICC)).

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Riemannian tangent space mapping and elastic net regularization for cost-effective EEG markers of brain atrophy in Alzheimer's disease

Fruehwirt, W., Gerstgrasser, M., Zhang, P., Weydemann, L., Waser, M., Schmidt, R., Benke, T., Dal-Bianco, P., Ransmayr, G., Grossegger, D., Garn, H., Peters, G. W., Roberts, S. & Dorffner, G., 8 Dec 2017.

Research output: Contribution to conferencePaper

Open Access

Sensor Selection and Random Field Reconstruction for Robust and Cost-effective Heterogeneous Weather Sensor Networks for the Developing World

Zhang, P., Nevat, I., Peters, G. W., Fruehwirt, W., Huang, Y., Anders, I. & Osborne, M., 12 Nov 2017.

Research output: Contribution to conferencePaper

Some recent developments in Markov Chain Monte Carlo for cointegrated time series

Marowka, M., Peters, G. W., Kantas, N. & Bagnarosa, G., 8 Nov 2017, In : ESAIM: Proceedings and Surveys. 59, p. 76-103 28 p.

Research output: Contribution to journalArticle

Open Access
File
42 Downloads (Pure)