arXiv subjects

Yuchen Han

Publications and source records attributed to Yuchen Han.

22 records · Page 2Linked to original sources

arXiv2022

Estimation of Tempered Stable Lévy Models of Infinite Variation

We propose a new method for the estimation of a semiparametric tempered stable Lévy model. The estimation procedure combines iteratively an approximate semiparametric method of moment estimator, Truncated Realized Quadratic Variations (TRQV), and a newly found small-time high-order approximation for the optimal threshold of the TRQV of tempered stable processes. The method is tested via simulations to estimate the volatility and the Blumenthal-Getoor index of the generalized CGMY model as well as the integrated volatility of a Heston-type model with CGMY jumps. The method outperforms other efficient alternatives proposed in the literature when working with a Lévy process (i.e., the volatility is constant), or when the index of jump intensity $Y$ is larger than $3/2$ in the presence of stochastic volatility.

econ.EM↗

arXiv2022

Efficient Volatility Estimation for Lévy Processes with Jumps of Unbounded Variation

Statistical inference for stochastic processes based on high-frequency observations has been an active research area for more than a decade. One of the most well-known and widely studied problems is that of estimation of the quadratic variation of the continuous component of an Itô semimartingale with jumps. Several rate- and variance-efficient estimators have been proposed in the literature when the jump component is of bounded variation. However, to date, very few methods can deal with jumps of unbounded variation. By developing new high-order expansions of the truncated moments of a Lévy process, we construct a new rate- and variance-efficient estimator for a class of Lévy processes of unbounded variation, whose small jumps behave like those of a stable Lévy process with Blumenthal-Getoor index less than $8/5$. The proposed method is based on a two-step debiasing procedure for the truncated realized quadratic variation of the process. Our Monte Carlo experiments indicate that the method outperforms other efficient alternatives in the literature in the setting covered by our theoretical framework.

econ.EM↗

arXiv2019

Photonic emulation of two-dimensional materials with antiferromagnetic order

We introduce an electromagnetic metamaterial - a spin-valley photonic topological insulator (SV-PTI) - that emulates a wide class of theoretically predicted gapped two-dimensional materials with antiferromagnetic order coupled to the valley degree of freedom. First-principles electromagnetic simulations and an analytic model reveal that a single parameter controls the propagation properties of the chiral states at the domain wall between two SV-PTIs: their group velocity, polarization, and the existence/absence of topological protection. The latter is determined by the geometry of the line of the least frequency separation between the bandgap-forming propagation bands. Topologically-protected compression of electromagnetic energy via group velocity control is enabled by SV-PTIs.

cond-mat.mes-hall↗

arXiv2017

Sorting and Routing Topologically Protected Edge States by their Valleys

We experimentally demonstrate and characterize a photonic platform containing heterogeneous topological phases. This platform is shown to support valley-spin locked edge states that can be routed based on their spin and valley degrees of freedom. The routing is accomplished by changing the topology of the valley photonic crystal embedded inside a spin-Hall photonic crystal.

physics.app-ph↗