Gareth W. Peters

Research Output

Research Output per year

2002 2020

• 86 Article
• 41 Conference contribution
• 18 Working paper
• 9 Chapter (peer-reviewed)
• 15 More
  • 5 Book
  • 4 Paper
  • 2 Chapter
  • 1 Commissioned report
  • 1 Conference article
  • 1 Doctoral Thesis
  • 1 Master's Thesis

Research Output per year

Research Output per year

Search results

• 2018

  Market Resilience

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

  Research output: Working paper

  • Drought

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

  Yan, H., Peters, G. & Chan, J., 31 Mar 2018, SSRN, 122 p.

  Research output: Working paper

  • mortality
  • life expectancy
  • pension
  • age group
  • death

• Multivariate Long Memory Cohort Mortality Models

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

  Research output: Working paper

  • mortality
  • death
  • insurance company
  • pension
  • life expectancy

• 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

  • Random processes
  • Monitoring
• 2017

  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 Inference
  • Soybean
  • Markov Chain Monte Carlo
  • Cointegration
  • Refinery

• 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

  • Cointegration
  • Influence
  • Multivariate Time Series
  • Model
  • Range of data

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

  Yan, H., Chan, J. & Peters, G., 4 May 2017, SSRN, 36 p.

  Research output: Working paper

  • Long Memory Models
  • Trading Behavior
  • Financial Time Series
  • Long Memory
  • Futures Trading

• 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

  • Liquidity
  • Stress Testing
  • Yield Curve
  • Term Structure of Interest Rates
  • Dependence Structure

• Statistical Machine Learning and Data Analytic Methods for Risk and Insurance

  Peters, G., 2017, SSRN, 309 p.

  Research output: Working paper

  • insurance
  • learning
  • Agricultural insurance
  • life insurance
  • telematics

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

  Toczydlowska, D., Peters, G., Fung, S. M. C. & Shevchenko, P. V., 1 Jun 2017, SSRN, 92 p.

  Research output: Working paper

  • demographic factors
  • mortality
  • time
  • projection
  • performance

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

  Azzaoui, N., Peters, G., Guillin, A. & Egan, M., 12 Jan 2017, SSRN, 42 p.

  Research output: Working paper

  • Gaussian Model
  • Stable Process
  • Process Model
  • Increment
  • Gaussian Process

• Tutorial on General Quantile Time Series Constructions

  Peters, G., 21 Oct 2017, SSRN, 33 p.

  Research output: Working paper

  • Quantile
  • Time series
  • Model
  • Time Series Modelling
  • Framework
• 2016

  Overview of Emerging Blockchain Architectures and Platforms for Electronic Trading Exchanges

  Peters, G. & Vishnia, G., 31 Aug 2016, SSRN.

  Research output: Working paper

  • Electronic trading
  • Blockchain
  • Transparency
  • Positive ions

• Part B: Evaluating Concordance Measures via a Tensor Approximation of Generalized Correlated Diffusions

  Dalessandro, A. & Peters, G., 3 Oct 2016, SSRN, 29 p.

  Research output: Working paper

  • Concordance
  • Negative Dependence
  • Positive Dependence
  • Tensor
  • Tail Dependence

• Standardized Measurement Approach for Operational Risk: Pros and Cons

  Peters, G., Shevchenko, P. V., Hassani, B. & Chapelle, A., 4 Jun 2016, SSRN, 18 p.

  Research output: Working paper

  • Standardization
  • Industry

• Which Risk Factors Drive Oil Futures Price Curves? Speculation and Hedging in the Short and Long-Term

  Ames, M., Bagnarosa, G., Peters, G., Shevchenko, P. V. & Matsui, T., 20 Sep 2016, SSRN, 29 p.

  Research output: Working paper

  • Spot Price
  • Speculation
  • Futures Prices
  • Risk Factors
  • Hedging
• 2010

  A Note on Target Distribution Ambiguity for Likelihood-Free Samplers (ABC)

  Sisson, S., Peters, G., Briers, M. & Fan, Y., 28 May 2010, arXiv.

  Research output: Working paper

  • sampler
  • distribution
  • Markov chain
  • simulation
  • method
• 2002

  Sequential Monte Carlo Samplers

  Peters, G., Doucet, A. & Del Moral, P., 1 Jan 2002, University of Cambridge Geotechnical and Environmental Research Group.

  Research output: Working paper