Quantitative Risk Solutions Lab
Prof. Gareth W. Peters
Recent significant publications (2004 on wards) – Gareth W. Peters
Refereed journal articles – Currently working papers
Gudmundarson R. and Peters G.W.
Graph Two Sample Testing (GTST) Package
He P., Kordzakhia N., Peters G.W. and Shevchenko P.V.
Multi-Factor Polynomial Diffusion Models for Inter-Temporal Futures Dynamics
Gudmundarson R. and Peters G.W.
ASSESSING PORTFOLIO DIVERSIFICATION VIA TWO-SAMPLE GRAPH KERNEL INFERENCE.
A case study on the influence of ESG screening
Antonian E., Peters G.W. and Chantler M.
Iterative Methods for Signal Reconstruction on Product Graphs with Arbitrary Missing Data
P. He, N. Kordzakhia, G.W. Peters and P.V. Shevchenko
PDSim: a Shiny App for Polynomial Diffusion Simulation Estimation.
Murakami D., Peters G.W., Septier F. and Matsui T.
Spatial-Temporal Generalised Hyperbolic Models with Applications in Heatwave Prediction
van Jaarsveldt C., Peters G.W., Ames M. and Chantler M.
Long/Short Equity Risk Parity Portfolios via Implicit Factors in Regularized Covariance Regression
van Jaarsveldt C., Peters G.W., Ames M. and Chantler M.
Package CovRegpy: Portfolio Optimisation through Implicit Factor Extraction, Regularised Covariance Regression, Risk Premia Parity, and Long/Short Equity
Marupanthorn P., Nikitopoulos C.S., Ofosu-hene E.D., Peters G.W. and Richards K.
Mechanisms to Incentivise Fossil Fuel Divestment and Implications to Investors Risk and Returns
Marupanthorn P., Peters G.W., Ofosu-hene E.D., Nikitopoulos C.S. and Richards K.
DivFolio: A Shiny Application for Portfolio Divestment in Green Finance Wealth Management
Peters G.W., Zhu R., Tzougas G., Rabitti G., Ismaila Y.
The Role and Significance of Green Bonds in Funding Transition to a Low Carbon Economy: A case study forecasting portfolios of green bond instrument returns
He, Peilun, Kordzakhia, Nino, Peters, Gareth W., Shevchenko, Pavel
Multi-Factor Polynomial Diffusion Models for Inter-Temporal Futures Dynamics in Energy Markets
Brannelly H., Macrina A. and Peters G.W.
Stochastic Measure Distortions Induced by Quantile Processes for Risk Quantification and Valuation
van Jaarsveldt C., Peters G.W., Ames M. and Chantler M.
Tutorial on Empirical Mode Decomposition: Basis Decomposition and Frequency Adaptive Graduation in Non-Stationary Time Series
Yan H., Peters G.W., G. Bagnarosa and Chan J.
Futures Open Interest and Speculative Pressure Dynamics via Bayesian Models of Long Memory Count Processes
Brannelly H., Macrina A. and Peters G.W.
Quantile Diffusions
Antonian E., Peters G.W., Chantler M. and Yan H.
GLS Kernel Regression for Network-Structured Data
Qikun X., Neufeld A., Peters G.W, Nevat I. and Datta A.
A Bonus-Malus Framework for Cyber Risk Insurance and Optimal Cybersecurity Provisioning
Toczydlowska D., Peters G.W and Shevchenko P.
Parsimonious Feature Extraction Methods: Extending Robust Probabilistic Projections with Generalized Skew-t
K.A. Richards, W.T.M. Dunsmuir and G.W. Peters
Score Test for Marks in Hawkes Processes
Danielsson J., Panayi S., Peters G.W. and Zigrand J.P.
Liquidity Resilience
Scholarly books in Preparation
Macrina A. and Peters G.W.
"Innovations in Computational Statististics, Data Analytics and Machine Learning for Insurance and Risk Management".
CRC Press Oxford, (Contract being prepared). (500 pages) due at end of 2018.
Peters G.W., Azzaoui N. and Macrina A.
"Information-Based Approach to Generalised Momentum and Reversal"
Springer Briefs in Quantitative Finance. (120 pages) due mid 2018. Testing
Peters G.W., Zhang V., Toczydlowska D., Bagnarosa G. and Macrina A.
"Finance of Green Bonds: Quantitative and Qualitative Aspects",
Springer (250 pages) due mid 2018.
Scholarly books
202. Cruz M., Peters G.W., and Shevchenko P.V.
"Fundamental Aspects of Operational Risk Modelling and Insurance Analytics: A Handbook of Operational Risk."
Wiley New York, 2014.
(900 pages)
201. Peters G.W., and Shevchenko P.V.
"Advances in Heavy Tailed Risk Modelling: A Handbook of Operational Risk."
Wiley New York, 2014.
(700 pages) Testing
200. Dick J., Kuo F., Peters G.W., and Sloan I.H., eds.
"Monte Carlo and Quasi-Monte Carlo Methods 2012."
Springer Berlin, 2014.
199. Peters G.W. and Matsui T. eds.
"Theoretical Aspects of Spatial-Temporal Modeling."
Springer Briefs, Springer Japan, 2015.
198. Peters G.W. and Matsui T., eds.
"Modern Methodology and Applications in Spatial-Temporal Modeling."
Springer Briefs, Springer Japan, 2015.
Scholarly book chapters (peer reviewed)
197. Peters G.W., Shevchenko P.V., Cohen R. and Maurice D.
“Understanding Cyber Risk and Cyber Insurance.”
Book chapter in FinTech: Growth and Deregulation which is edited by Diane Maurice (of the Banking and Financial Services department at the US Department of the Treasury and Resident Advisor for the Tunisia Central Bank), Jack Freund (Senior Manager, Cyber Risk Framework at TIAA), and David Fairman (Chief Information Security Officer for the Royal Bank of Canada)ed.
Risk Books. (2018)
196. Peters G.W., Shevchenko P.V., Cohen R. and Maurice D.
“Machine Learning Techniques in Event Case Studies for Cyber Risk.”
Book chapter in FinTech: Growth and Deregulation which is edited by Diane Maurice (of the Banking and Financial Services department at the US Department of the Treasury and Resident Advisor for the Tunisia Central Bank), Jack Freund (Senior Manager, Cyber Risk Framework at TIAA), and David Fairman (Chief Information Security Officer for the Royal Bank of Canada)ed.
Risk Books. (2018)
195. Peters G.W. and Panayi E.
"Understanding Modern Banking Ledgers through Blockchain Technologies: Future of Transaction Processing and Smart Contracts on the Internet of Money."
Book chapter in Edited volume on Blockchain "Banking Beyond Banks and Money" Editor: Paolo Tasca, Tomaso Aste, Loriana Pelizzon and Nicolas Perony.
Springer London. (2016)
194. Peters G.W. and Vishnia G.R.
“Blockchain Architectures for Electronic Exchange Reporting Requirements: EMIR, Dodd Frank, MiFID I/II, MiFIR, REMIT, Reg NMS and T2S.”
Book chapter in Handbook of Digital Banking and Internet Finance: Alternative Finance, Financial Inclusion, Impact Investing and Decentralized Consensus Ledger, David LEE Kuo Chuen, and Robert Deng ed.
Academic Press. (2016)
193. Peters G.W. and Panayi E.
"Calibration of Financial Limit Order Book Stochastic Models via Approximate Bayesian Computation ."
Book chapter in Handbook of ABC (eds. Sisson S., Fan Y. and Beaumont M.).
Wiley New York (2015)
192. Peters G.W. and Septier F.
"An Overview of Recent Advances in Monte-Carlo Methods for Bayesian Filtering in High-dimensional Spaces."
Book chapter in Springer Briefs Japan (eds. Peters GW. and Matsui T.).
Springer Japan.(2015)
191. Azzaoui N., Clavier L., Guillin A. and Peters G.W.
"Spectral Measures of Heavy Tailed Distributions: An Overview of their Applications in Wireless Communications Channel Modelling."
Book chapter in Springer Briefs Japan (eds. Peters GW. and Matsui T.).
Springer Japan. (2015)
190. Peters G.W., Nevat I. and Matsui T.
"Statistical Modelling in Wireless Sensor Networks for Spatial Field Reconstruction."
Book chapter in Springer Briefs Japan (eds. Peters GW. and Matsui T.).
Springer Japan.(2015)
189. Peters G.W., Korotsil I. and Regan D.
"HPV Modelling Goes Bayesian: Inference via Advanced Markov chain Monte Carlo Methods."
Book chapter on Modeling and Calibration of Statistical Models in "Human Papilloma virus: Prevalence, Detection and Management"
Book Publisher, www.novapublishers.com (2013)
(76 pages)
Refereed journal articles – Accepted and Appeared
188. Campi M., Peters G.W. and Toczydlowska D. (2023)
Ataxic Speech Disorders and Parkinson's Disease Diagnostics via Stochastic Embedding of Empirical Mode Decomposition
PlosOne
187. van Jaarsveldt C., Peters G.W., Ames M. and Chantler M. (2023)
Package AdvEMDpy: Algorithmic Variations of Empirical Mode Decomposition in Python
Annals of Actuarial Science
186. Antonian E., Peters G.W. and Chantler M. (2023)
PyKronecker: A Python Library for the Efficient Manipulation of Kronecker Products and Related Structures
Journal of Open Source Software (JOSS)
185. Ames M., Bagnarossa G., Gao S., Matsui T. and Peters G.W. (2023)
A Harvested Acreage Weighted Spatio-Temporal Model for Country Crop Yields
North American Actuarial Journal
184. Peters G.W. , Malvasi M., Schevchenko P.V., Sofronov G., Trueck S. and Jang J. (2023)
Cyber Loss Model Risk Translates to Premium Mispricing and Risk Sensitivity
The Geneva Papers on Risk and Insurance - Special Issue on Cyber Risk and Insurance
183. Chudtong M., Peters G.W. and De Gaetano A. (2023)
Analysis of Option-Like Fund Performance Fees in Asset Management via Monte Carlo Actuarial Distortion Pricing
Annals of Actuarial Science
182. Chalkiadakis I., Peters G.W. and Ames M. (2023)
Hybrid ARDL-MIDAS-Transformer Time-Series Regressions for Multi-Topic Crypto Market Sentiment Driven by Price and Technology Factors
Digital Finance
181. Malvasi M., Peters G.W. , Schevchenko P.V., Trueck S., Jang J. and Sofronov G. (2023)
The Nature of Losses from Cyber-Related Events: Risk Categories and Business Sectors
Journal of Cyber Security
180. Malvasi M., Peters G.W. , Schevchenko P.V., Trueck S., Jang J. and Sofronov G. (2022)
Cyber Risk Frequency, Severity and Insurance Viability
Insurance: Mathematics and Economics (IME)
179. Peters G.W., Yan H. and Chan J. (2022)
Model Risk in Mortality Linked Contingent Claims Pricing
Special Issue in Journal of Risk Model Validation, Risk Journals.
178. Zheng C., Egan M., Clavier C., Peters G.W. and Gorce J-M. (2022)
On the Interference Arising from Random Fields of Interferers Utilizing Multiple Subcarriers
EURASIP Journal of Wireslss Communications and Networking.
177. Chalkiadakis I., Zaremba A. and Peters G.W. (2022)
On-Chain Analytics for Sentiment-Driven Statistical Causality in Crypto Currencies.
Blockchain: Research and Applications.
176. Zaremba A., Peters G.W., Aste T. (2022)
Statistical Causality for Multivariate Non-Linear Time Series via Gaussian Process Models.
Methodology and Computing in Applied Probability
175. Campi M., Peters G.W., Azzaoui N. and Matsui T. (2021)
"Machine Learning Mitigants for Speech Based Cyber Risk"
IEEE Access
174. Peters G.W., Ido Nevat, Nagarajan S.G. and Matsui T. (2021)
Spatial Field Reconstruction of Non-Gaussian Random Fields: The Tukey G-and-H Random Process
Entropy
173. Chen W.Y., Peters G.W., Gerlach R.H. and Sisson S.A. (2021)
“Dynamic Quantile Function Models.”
Quantitative Finance
172. Chalkiadakis I., Yan H., Peters G.W. and Shevchenko P.V. (2021)
"Infection Rate Models for COVID-19: Model Risk and Public Health News Sentiment Exposure Adjustment"
PLOS ONE
171. Dias F. and Peters G.W. (2021)
“Option Pricing with Polynomial Chaos Expansion and Signed Path Dependence”
Applied Mathematics and Computation
170. S. Clinet, W.T.M. Dunsmuir, G.W. Peters & K.A. Richards (2021)
"Asymptotic Distribution of the Score Test for Detecting Marks in Hawkes Processes"
Statistical Inference for Stochastic Processes.
169. P. Shevchenko, J. Jang, M. Malavasi, G.W. Peters, G. Sofronov & S. Truck (2021)
"Quantification of Cyber Risk - Risk Categories and Business Sectors."
Optus Macquarie University Cyber Security Hub. Telecommunications Industry Optus White Paper.
168. Laurent Clavier, Peters G.W., François Septier, Ido Nevat (2021)
“Impulsive Noise Modeling and Robust Receiver Design.”
EURASIP Journal on Wireless Communications and Networking.
167. Kongsak Tipakornrojanakit, Mantana Chudtong, Gareth W. Peters and Pairote Satiracoo (2021)
"Covariance Forecasting Methods For Dynamic Asset Allocation" .
International Journal of Data Science and Big Data Analytics.
166. Ju B., Divakaran D., Nevat I., Peters G.W. and Gurusamy M. (2021)
“Cost-aware Feature Selection for IoT Device Classification”
IEEE Internet of Things Journal
165. Xiang Q. Nevat I and Peters G.W. (2021)
“Bayesian Spatial Field Reconstruction with Unknown Distortions in Sensor Networks.”
IEEE Transactions on Signal Processing
164. Jiang Y., Macrina A and Peters G.W. (2021)
"Multiple barrier-crossing of an Ornstein-Uhlenbeck diffusion in consecutive periods"
Stochastic Analysis and Applications
163. Murakami D., Peters G.W., Matsui T. and Yamagata Y. (2021)
"Spatiotemporal analysis of urban heatwaves using Tukey g-and-h random field models"
IEEE Access
162. J. Fonseca, I. Nevat, G.W. Peters (2021)
"Quantifying the Uncertain Effects of Climate Change on Building Energy Consumption Across the United States"
Applied Energy
161. Dias F. and Peters G.W. (2020)
“A Non-parameteric Test and Predictive Model for Signed Path Dependence.”
Computational Economics
160. Jing Yang Koh, Peters G.W., Ido Nevat and Derek Leong (2020)
“Privacy Considerations in Participatory Data Collection via Spatial Stackelberg Incentive Mechanisms"
Methodology and Computing in Applied Probability
159. Marowka M., Peters G.W., Kantas N and Bagnarosa G. (2020)
“Bayesian Inference for Dynamic Cointegration Models with application to Soybean Crush Spread”
Journal of Royal Statistical Society Series C. JRSSC
158. Ames M., Bagnarosa G., Peters G.W., Shevchenko P.V. and Matsui T. (2020)
“Which Risk Factors Drive Oil Futures Price Curves? ”
Energy Economics
157. Jing Yang K., Peters G.W., Nevat I., Leong D. and Wong W.C. (2020)
“Probabilistic Routing in Wireless Networks with Privacy Guarantees”
Computer Communications
156. Peters G.W. and Vishnia G. (2020)
“AuditChain: A Trading Audit Platform Over Blockchain”
Frontiers in Blockchain, Financial Blockchain
155. Dias F. and Peters G.W. (2020)
“Non-parameteric Price Momentum Models for Global Equity Index and Currency Markets.”
Royal Economics Society
154. Yan K.H., Peters G.W. and Chan J. (2020)
"Multivariate long memory cohort mortality models"
ASTIN Bulletin, International Journal of the Actuarial Association.
153. Yan K.H., Peters G.W. and Chan J. (2020)
“Mortality Models Incorporating Long Memory Improve Life Table Estimations: a comprehensive analysis."
Annals of Actuarial Science
152. Dalesandro A. and Peters G.W. (2020)
“Evaluating Concordance Measures via a Tensor Approximation of Generalized Correlated Diffusions”
Methods in Computing and Applied Probability
151. Ming D., Huang C., Peters G.W. and Galasso C. (2019)
“An Advanced Estimation Algorithm for Ground-Motion Models with Spatial Correlation”
Bulletin of the Seismological Society of America
150. Peters G.W. (2019)
“General Quantile Time Series Regressions for Actuarial Applications in Mortality and Demographics”
Risks
149. Zheng C., Egan M., Clavier L., Peters G.W. and Gorce J-M. (2019)
“Copula Based Interference Models for IoT Wireless Networks”
IEEE International Conference on Communications (ICC)
148. Zheng C., Egan M., Clavier L., Peters G.W. and Gorce J-M. (2019)
“On the Validity of Isotropic Complex α-Stable Interference Models for Interference in the IoT”
IEEE International Conference on Communications (ICC)
147. Toczydlowska D, Peters GW. (2018)
"Financial big data solutions for state space panel regression in interest rate dynamics."
Econometrics. 2018 Sep;6(3):34.
146. Peters G.W., Clark G., Thirlwell J. and Kulwal M. (2018)
“Global Perspectives on Operational Risk Management and Practice.
A survey by Institute of Operational Risk (IOR) and the Center for Financial Professionals (CeFPro)"
Journal of Operational Risk
145. Fung S., Peters G.W. and Shevchenko P.V. (2018)
“Cohort Effects in Mortality Modelling: A Bayesian State-Space Approach"
Annals of Actuarial Science
144. Deyu M., Huang C., Peters G.W. and Galasso C. (2018)
“Advancing Ground Motion Characterization for Post-Event Loss Assessment”
6th European Workshop on Earthquake Engineering
143. Georgescu D. I., Higham N.J. and Peters G.W. (2018)
“Explicit Solutions to Correlation Matrix Completion Problems, with an Application to Risk Management and Insurance”
Royal Society Open Science.
142. Zhang P., Nevat I., Septier F., Peters G.W. and Osborne M. (2018)
"Spatial Field Reconstruction and Sensor Selection in Heterogeneous Sensor Networks with Stochastic Energy Harvesting"
IEEE Transactions on Signal Processing.
141. Ames M., Peters G.W., Bagnarosa G and Shevchenko P. (2018)
“Understanding the Interplay Between Covariance Forecasting Factor Models and Risk Based Portfolio Allocations in Currency Carry Trades”
Journal of Forecasting.
140. Yan S., Peters G.W., Nevat I and Malaney R. (2018)
“Location Verification Systems Based on Received Signal Strength with Unknown Transmit Powers”
IEEE Communication Letters.
139. Zhang P., Nevat I., Peters G.W., Furthwirt W., Huang Y. and Osborne M. (2017)
“Sensor Selection and Random Field Reconstruction for Robust and Cost-effective Heterogeneous Weather Sensor Networks for teh Developing World"
Neural Information Processing Workshop.
138. Furthwirt W., Zhang P., ...., Peters G.W., (2017)
“Riemannian tangent space mapping and \\elastic net regularization for cost-effective EEG markers of brain atrophy in Alzheimer's disease"
Neural Information Processing Workshop.
137. Peters G.W., Targino R. and Wuthrich M. (2017)
“Bayesian Modelling, Monte Carlo Sampling and Capital Allocation of Insurance Risks"
Risks (invited special issue "A Celebration of the Ties That Bind Us: Connections between Actuarial Science
and Mathematical Finance")
136. Marowka M., Peters G.W., Kantas N. and Bagnarosa G. (2017)
"Some Recent Developments in Markov Chain Monte Carlo for Cointegrated Time Series."
ESAIM: Proceedings and Surveys. Special issue (editors Prof. B Jourdain, Prof. E Gobet and Prof. B. Bouchard)
135. Toczydlowska D., Peters G.W., Fung M.C. and Shevchenko P.V. (2017)
“Stochastic Period and Cohort Effect State Space Mortality Models Incorporating Demographic Factors via Probabilistic Robust Principle Components.”,
Risks: Special Issue on "Aging Population Risks".
134. Panayi S., Peters G.W. and Kyriakides G. (2017)
“Sensor Network Based Precision Agriculture: Obtaining Optimal Environmental Schedules for Agaricus Bisporus Production via Variable Domain Functional Regression”
PLOS One.
133. Nevat, P. Zhang, G. Frenkel and Peters G.W. (2017)
"Parameter Estimation in Sensor Networks with Probabilistic Clipping".
IEEE Transactions on Signal Processing.
132. Fung M.C., Peters G.W. and Shevchenko P.V. (2017)
“A Unified Approach to Mortality Modelling Using State-Space Framework: Characterization, Identification, Estimation and Forecasting.”
Annals of Actuarial Science.
131. Dalesandro A. and Peters G.W. (2017)
“Tensor Approximation of Generalized Correlated Diffusions and Functional Copula Operators”
Methodology and Computing in Applied Probability (MCAP).
130. Matthew Ames, Guillaume Bagnarosa and Peters G.W. (2017)
"Reinvestigating the Uncovered Interest Rate Parity Puzzle via Analysis of Multivariate Tail Dependence in Currency Carry Trades." Journal of International Money and Finance.
129. de Freitas M., Egan M., Clavier L., Goupil A., Peters G.W., and Azzaoui N (2017)
“Capacity Bounds for Additive Symmetric alpha-Stable Noise Channels”
IEEE Transactions on Information Theory.
128. I. Nevat, P. Zhang, G. Frenkel and G.W. Peters. (2017)
"Parameter Estimation in Sensor Networks with Probabilistic Clipping".
IEEE Transactions on Signal Processing.
127. J.Y. Koh, D. Leong, Peters G.W., I. Nevat, and W.C. Wong. (2017)
"Optimal Privacy-Preserving Probabilistic Routing for Wireless Networks"
IEEE transaction on Information Forensics and Security.
126. E. Karimalis, I. Kosmidis and Peters G.W. (2017)
"Multi Yield Curve Stress-Testing Framework Incorporating Temporal and Cross Tenor Structural Dependencies."
Bank of England Working Paper Staff Working Paper No. 655. (URL)
125. Ames M., Bagnarosa G., Peters G.W. and Shevchenko P.V. (2017)
“Understanding the Interplay Between Covariance Forecasting Factor Models and Risk Based Portfolio Allocations in Currency Carry Trades.”
Journal of Forecasting.
124. Peters G.W. and Vishnia G.R (2016)
“Overview of Emerging Blockchain Architectures and Platforms for Transparency and Pre and Post Trade Reporting from Electronic Exchanges.”
White Paper for Hong Kong Monetary Authority - joint with ASTRI (HK).
123. Vishnia G.R. and Peters G.W. (2016)
“Overview of Blockchain Platforms and Big Data”.
Journal of Financial Transformation. Capco.com
122. Peters G.W., Chen W. and Gerlach R. (2016)
“Estimating Quantile Families of Loss Distributions for Non-Life Insurance Modelling via L-Moments.”
Risks (Special Issue on General Insurance).
121. Panayi E.,Peters G.W., Danielsson J. and Zigrand J.P. (2016)
“Designating Market Maker Behaviour in Limit Order Book Markets”
Econometrics and Statistics, Elseveir.
[arXiv:1508.04348]
120. M. Egan, Peters G.W., Nevat I., Shirvanimoghaddam M. and Collings I. (2016)
"A Ruin Theoretic Design Approach for Wireless Cellular Network Sharing with Facilities"
IEEE Transactions on Emerging Telecommunications Technologies.
119. Peters G.W., Shevchenko P.V., Hassani B. and Chapelle A. (2016)
“Should AMA be Replaced with SMA for Operational Risk ? ”.
Journal of Operational Risk.
118. Peters G.W., Shevchenko P.V., Hassani B. and Chapelle A. (2016)
“Standardized Measurement Approach: Pros and Cons.”
Response to Basel Committee BIS 2016 consultative call for SMA proposal. June. Basel Committee Website Publication.
117. Chapelle A, Hassani B, Peters G.W., Sekeris E and Shevchenko P. (2016)
“Removing the AMA could become a source of op risk.”
Risk Magazine.
116. Peters G.W., Targino R. and Wuthrich M.V. (2016)
“Full Bayesian Uncertainty Analysis of the Claims Development Result”.
Insurance Mathematics and Economics.
115. Ames M., Bagnarosa G., Peters G.W. and Shevchenko P.V. (2016)
"Understanding the Interplay Between Covariance Forecasting Factor Models and Risk Based Portfolio Allocations in Currency Carry Trades."
Special issue of IEEE Transactions Signal Processing ICASSP Financial Engineering.
114. Murakami D., Peters G.W., Yamagata Y. and Matsui T. (2016)
"Participatory Sensing Data “TWEETS” for Micro-Urban Real-Time Resiliency Monitoring and Risk Management".
IEEE Access journal.
113. P. Zhang, I. Nevat, L, Clavier, Peters G.W. (2016)
"Event detection in Sensor Networks with Random Censoring via Mixture Series Expansion."
IEEE Transactions on Sensors.
112. I. Nevat, Peters G.W., K. Avnit, F. Septier and L. Clavier. (2016)
"Location of Things: GeoSpatial Tagging for IoT using Time-of-Arrival."
IEEE Transactions on Information Processing over Networks.
111. S. Yan, I. Nevat, Peters G.W., R. Malaney. (2016)
"Location Verification Systems for VANETs Under Spatially Correlated Shadowing."
IEEE Transactions on Wireless Communications.
110. T. Nguyen, F. Septier, H. Rajaona, Peters G.W., I. Nevat, Y. Delignon. (2016)
"A Bayesian Perspective on Multiple Source Localization in Wireless Sensor Networks."
IEEE Transactions on Signal Processing, April.
109. Fung S.M.C., Peters G.W. and Shevchenko P.V. (2015)
"State-Space Estimation of the Lee-Carter Mortality Model and Implications for Annuity Pricing."
MODSIM Modelling and Simulation Society of Australia and New Zealand, pp. 952-958.
ISBN: 978-0-9872143-5-5. [SSRN:https://ssrn.com/abstract=2699624]
108. Richards K.A., Peters G.W. and Dunsmuir W. (2015)
"Heavy-Tailed Features and Emprical Analysis of the Limit Order Book Volume Profiles in Futures Markets."
Journal of Financial Engineering. [arXiv: 1210.7215]
107. Peters G.W., Panayi E. and Chapelle A. (2015)
"Trends in Crypto-Currencies and Blockchain Technologies: A Montary Theory and Regulation Perspective."
Invited Paper to: Journal of Financial Perspectives, Ernst and Young EY Global Financial Services Institute. [arXiv: 1330051]
106. Targino R.,Peters G.W., Sofronov G. and Shevchenko P. (2015)
"Optimal Insurance Purchase Strategies via Optimal Multiple Stopping Times."
Methodology and Computing in Applied Probability [arXiv: 1312.0424]
105. Dong, A. X.D., Chan J. and Peters G.W. (2015)
"Risk Margin Quantile Function Via Parametric and Non-Parametric Bayesian Quantile Regression."
ASTIN Bulletin [arXiv: 1402.2492].
104. Panayi E. and Peters G.W. (2015)
"Stochastic simulation framework for the Limit Order Book using liquidity-motivated agents"
International Journal of Financial Engineering [arXiv: 1501.02447 ].
103. Peters G.W. , Chapelle A. and Panayi E. (2015)
"Opening Discussion on Banking Sector Risk Exposures and Vulnerabilities from Virtual Currencies: An Operational Risk Perspective."
Journal of Banking Regulation [arXiv:1409.1451].
102. Targino R., Peters G.W. and Shevchenko P. (2015)
"Copula Constrained SMC Samplers for Rare-event Estimation in Risk Management."
Insurance: Mathematics and Economics [arXiv:1410.1101 ].
101. Peters G.W., Dong, A. and Kohn, R. (2015)
"A Copula Based Bayesian Approach for Paid-Incurred Claims Models for Non-Life Insurance Reserving"
Insurance: Mathematics and Economics [arXiv:1210.3849 ].
100. Zhang P., Nevat I., Peters G.W., Xiao G. and Pink HP. (2015)
"Event Detection in Wireless Sensor Networks in Random Spatial Sensors Deployments"
IEEE Transactions in Signal Processing .
99. Yan S., Malaney R., Nevat I. and Peters G.W. (2015)
“Location Verification Systems for VANETs in Rician Fading Channels"
IEEE Transactions on Vehicular Technology (VTC) .
98. Nevat I., Peters G.W., Septier F. and Matsui T. (2015)
"Estimation of Spatially Correlated Random Fields in Heterogeneous Wireless Sensor Networks."
IEEE Transactions on Signal Processing .
97. Ames, M, Peters G.W., Bagnarosa G. and Kosmidis I. (2015)
"Exploring the Multivariate Upside and Downside Tail Exposure Risks of Currency Carry Trades via Tail Dependence."
Risk Management Reloaded, Springer Berlin.
96. Septier F. and Peters G.W. (2015)
“Langevin and Hamiltonian based Sequential MCMC for Efficient Bayesian Filtering in High-Dimensional Spaces.”
IEEE Journal of Selected Topics in Signal Processing.
95. Nguyen T., Septier F., Peters G.W. and Delignon Y (2015)
“Efficient Sequential Monte Carlo Samplers for Bayesian Inference.”
IEEE Transactions on Signal Processing.
94. Murakami D, Peters G.W., Matsui T. and Yamagata T. (2014)
"A Spatiotemporal analysis of participatory sensing data 'tweets' and extreme climate events toward real-time urban risk management".
Computers in Urban Planning and Urban Management.
93. Panayi E., Peters G.W., and Kosmidis I. (2014)
"Liquidity Commonality does not Imply Liquidity Resilience Commonality: A Functional Characterization for Ultra-High Frequency Cross-Sectional LOB Data."
Quantitative Finance, Special Issue on Big Data Analytics.
92. Del Moral P., Peters G.W., and Verge Ch. (2014)
"An introduction to particle integration methods: with applications to risk and insurance."
to appear in Josef Dick, Frances Y. Kuo, Gareth W. Peters, and Ian H. Sloan (eds.), Monte Carlo and Quasi-Monte Carlo Methods 2012, Springer-Verlag.
91. Dean T., Singh S., Jasra A. and Peters G.W. (2014)
“Parameter estimation for Hidden Markov Models with intractable likelihood”.
Scandinavian Journal of Statistics.
90. Hossack G.R., Peters G.W., and Ludsin S.A. (2014)
“Interspecific Relationships and Environmentally Driven Catchabilities Estimated from Fisheries Data.”
Canadian Journal of Fisheries and Aquatic Sciences
89. Yan S., Malaney R., Nevat I. and Peters G.W. (2014)
"An Information Theoretic Location Verification Systems for Wireless Networks".
IEEE Transactions on Vehicular Technology (VTC).
88. I. Nevat, Peters G.W., A. Doucet, J. Yuan. (2014)
"Joint Channel and Doppler Offset Estimation in Dynamic Cooperative Relay Networks."
IEEE Transactions on Wireless Communications.
87. S. Yan, R. Malaney, I. Nevat, Peters G.W. (2014)
"Optimal Theoretic Location Verification System for Wireless Networks."
IEEE Transactions on Vehicular Technology, September 2014.
86. Nevat I., Peters G.W., and Collings I. (2014)
"Distributed Detection in Sensor Networks over Fading Channels with Multiple Antennas at the Fusion Center".
IEEE Transactions on Signal Processing.
85. Nevat I., Peters G.W. and I.B. Collings (2014)
"Random Field Reconstruction with Quantization in Wireless Sensor Networks"
IEEE Transactions on Signal Processing.
84. Korotsil I., Peters G.W. , Law M.G. and Regan D. (2013)
“Herd immunity effect of HPV vaccination program in Australia under assumption of reduced susceptibility to re-infection following recovery."
Vaccine 31(15), 1931-1936.
83. Hayes K., Hossack G.R., Barry S. and Peters G.W. (2013)
“Severe uncertainty and information-gap theory: A commentary for ecologists and environmental managers"
Methods in Ecology and Evolution. 4(7), 601-611.
82. Peters G.W., Targino R. and Shevchenko P. (2013)
"Understanding Operational Risk Capital Approximations: First and Second Orders."
Governance and Regulation, 2(3). [Invited Special Issue to coincide with 8th International conference "International Competition in Banking: Theory and Practice", Sumy, Ukraine, 2013.]
81. Shevchenko P. and Peters G.W. (2013)
"Loss Distributional Approach of Operational Risk Capital Modelling under Basel II: Combining Different Data Sources for Risk Estimation."
Governance and Regulation. 2(3). [Invited Special Issue to coincide with 8th International conference "International Competition in Banking: Theory and Practice", Sumy, Ukraine, 2013.]
80. Del Moral P., Jacob P., Lee A., Murray L. and Peters G.W. (2013)
"Feynman-Kac Particle Integration with Geometric Interacting Jumps"
Stochastic Analysis and Applications 31(5), 830-871.
79. Korotsil I., Peters G.W., Cornebise J. and Regan D. (2013)
“Adaptive Markov Chain Monte Carlo Forward Simulation for Statistical Analysis in Epidemic Modelling of Human Papilloma Virus."
Statistics in Medicine 32(11), 1917-1953.
78. Peters G.W., Briers M., Shevchenko P.V. and Doucet A., (2013)
“Calibration and filtering for multi factor commodity models with seasonality: incorporating panel data from futures contracts." Methodology and Computing in Applied Probability, 15(4), 841-874
77. I. Nevat, Peters G.W., I. Collings, (2013)
"Random Field Reconstruction with Quantization in Wireless Sensor Networks"
IEEE Transactions on Signal Processing, December 2013.
76. Hossack G.R., Peters G.W. and Hayes K., (2012)
“Estimating density dependence and latent population trajectories with unknown observation error".
Methods in Ecology and Evolution 3(6), 1028-1038.
75. Burgman M., Franklin J., Hayes, K., Hossack G.R., Peters G.W. and Sisson S.A., (2012)
“Modelling extreme risks in Ecology"
Risk Analysis, 32(11), 1956-1966.
74. Peters G.W., Fan Y. and Sisson S.A. (2012)
“On Sequential Monte Carlo, Partial Rejection Control and Approximate Bayesian Computation".
Statistics and Computing, special issue on ABC, 22, 1209-1222.
73. Peters G.W., Nevat I., Yuan J. and Collings I. (2012)
“System Identification in Wireless Relay Networks via Gaussian Process".
IEEE Transactions on Vehicular Technology, 61(9), 3969-3983
72. Peters G.W., Shevchenko P., Young M. and Yip W., (2011)
“Analytic Loss Distributional Approach Model for Operational Risk form Alpha-Stable Doubly Stochastic Compound Process and Implications for Capital Allocation".
Insurance: Mathematics and Economics, 49(3), 565-579.
71. Peters G.W., Balikrishnan K., Lasscock B., Mellon M. and Godsill S. (2011)
“Bayesian Cointegrated Vector Autoregression models incorporating alpha-stable noise for inter-day price movements via Approximate Bayesian Computation".
Bayesian Analysis, 6(4), 755-792.
70. Peters G.W., Byrnes A.D., Shevchenko P.V. (2011)
“Impact of Insurance for Operational Risk: Is it worthwhile to insure or be insured for severe losses ?".
Insurance: Mathematics and Economics, 48, 287-303.
69. Peters G.W., Sisson S.A. and Fan Y. (2010)
“Likelihood-free Bayesian inference for alpha-stable models".
Computational Statistics and Data Anlaysis, 56(11), 3743-3756.
68. Cornebise J. and Peters G.W. (2010)
“Comments on 'Particle Markov Chain Monte Carlo".
Journal of the Royal Statistical Society Series B - comments on read paper, 72(3),269342.
67. Bornn L., Cornebise J. and Peters G.W. (2010)
“Discussion of 'Riemann manifold Langevin and Hamiltonian Monte Carlo methods' "
by M. Girolami and B. Calderhead. Journal of the Royal Statistical Society Series B - comments on read paper.
66. Peters G.W. and Cornebise J. (2010)
“Comments on 'Particle Markov Chain Monte Carlo'".
Journal of the Royal Statistical Society Series B - comments on read paper, 72(3),269342.
65. Peters G.W., Balkrishnan K. and Lasscock B. (2010)
“Model selection and Adaptive Markov Chain Monte Carlo for Bayesian Cointegrated VAR Models".
Bayesian Analysis,5(3),465-492.
64. Peters G.W., Wuethrich M. and Shevchenko P. (2010)
“Chain Ladder Method: Bayesian Bootstrap versus Classical Bootstrap".
Insurance: Mathematics and Economics, 47(1), 36-51.
63. Peters G.W., Nevat I., Sisson S.A., Fan Y. and Yuan J. (2010)
“Bayesian Symbol Detection in Wireless Relay Networks via Likelihood Free Inference".
IEEE Transactions on Signal Processing, 58, 5206-5218.
62. Nevat I., Peters G.W. and Yuan J. (2010).
“Detection of Gaussian Constellations in MIMO Systems Under Imperfect CSI".
IEEE Transactions of Communications,58(4),1151-1160.
61. Fan Y., Peters G.W. and Sisson S.A (2009)
“Automating and Evaluating Reversible Jump MCMC Proposal Distributions".
Statistics and Computing, 19, 401-429
60. Peters G.W., Shevchenko P. and Wuthrich (2009).
“Dynamic Operational Risk: modelling dependence and combining different sources of information".
Journal of Operational Risk, 4(2), 69-104.
59. Peters G.W., Shevchenko P. and Wuthrich M. (2009)
”Model Uncertainty in Claims Reserving within Tweedie's Compound Poisson Models".
ASTIN Bulletin 39(1), 1-33. [arXiv:0904.1483 ]
58. Peters G.W., Nevat I. and Yuan J. (2009).
“Channel Estimation in OFDM Systems with Unknown Power Delay Profile using Trans-dimensional MCMC".
IEEE Transactions on Signal Processing, 57(9), 3545-3561
57. Peters G.W., Johansen A. M. and Doucet A. (2007)
“Simulation of the Annual Loss Distribution in Operational Risk via Panjer Recursions and Volterra Integral Equations for Value at Risk and Expected Shortfall Estimation".
Journal of Operational Risk, 2(3).
56. Pierre Del Moral, Arnaud Doucet, Peters G.W. (2006)
"Sharp Propagation of Chaos Estimates for Feynman-Kac Particle Models."
Teoriya Veroyatnosteri i ee Primeneniya, vol. 51, no. 3
55. Peters G.W. and Sisson S.A. (2006)
“Bayesian Inference, Monte Carlo Sampling and Operational Risk".
Journal of Operational Risk, 1(3).
Refereed Conference Articles – Accepted and Appeared (only occasionally updated)
54. Jingting L., Nevat I, Zhang P. and Peters .W.G. (2016)
"Multimodal Data Fusion in Sensor Networks via Copula Processes"
WCNC, 2016.
53. I. Nevat, G. Peters, F. Septier and T. Matsui (2015)
"Wind Storm Estimation using a Heterogeneous Sensor Network with High and Low Resolution Sensors"
ICC, London, UK, June 2015.
52. M. Egan, G.W. Peters, I. Nevat and I.B. Collings (2015)
"Pass Go and Collect 200: The Profitable Union of Facilities and Small-Cells"
ICC, London, UK, June 2015.
51. X. Yan, L. Clavier, G.W. Peters, N. Azzaoui, F. Septier, and I. Nevat (2015)
"Skew-t copula for dependence modelling of impulsive (alpha-stable) interference"
ICC, London, UK, June 2015.
50. Peters G.W., Nevat I., Clavier L. and Septier F. (2014)
”Distributional Upper Bound on the Interference in Spatial Wireless Multiuser Ultrawideband Communication Systems”
in Proceedings of IEEE ICASSP.
49. Nevat I., Eger O., Peters G.W. and Septier F. (2014)
”NEPS: Narrowband Efficient Positioning System for Energy Efficient GPS”
in in Proceedings of IEEE ISSNIP.
48. Peters G.W., Nevat I., Lin S. and Matsui T. (2014)
“Threshold Exceedence Levels Modelling of Spatial Stochastic Processes in Sensor Networks”
in Proceedings of IEEE ISSNIP.
47. Yan S., Malaney R., Nevat I. and Peters G.W., (2014)
“Signal Strength Based Wireless Location Verification Under Spatially Correlated Shadowing”
in Proceedings of IEEE ICC.
46. Yan S., Malaney R., Nevat I. and Peters G.W. (2014)
“Timing Information in Wireless Communications and Optimal Location Verification Frameworks”
in Proceedings of IEEE AusCTW.
45. Panayi E. and Peters G.W. (2014)
"Survival Model for the Duration of Spread Deviations."
in Proceedings of IEEE CIFEr.
44. Nevat I, Peters G.W. and Collings I. (2013)
“Localization in Mobile Wireless Sensor Networks via Sequential Global Optimization”
in Proceedings of IEEE PIMRC.
43. Nevat I., Peters G.W. and Collings I. (2013)
“Estimation of Correlated and Quantized Spatial Random Fields in Wireless Sensor Networks”
in Proceedings of IEEE ICC, Budapest, Hungary, June
42. Ding N., Nevat I., Peters G.W. and Yaun J. (2013)
“Opportunistic Network Coding for Two-way Relay Fading Channels”
in Proceedings of IEEE, Budapest, Hungary, June.
41. Komatsu T., Peters G.W., Matsui T., Takeda K., Nevat I. (2013)
"Modelling room impulse response via composites of spatial-temporal Gaussian processes."
IEEE ICA 2013
40. Nevat I., Peters G.W., Collings I.B. (2013)
"Estimation of Correlated and Quantized Spatial Random Fields in Wireless Sensor Networks."
IEEE International Conference on Communications ICC, Budapest, Hungary
39. Nevat I., Peters G.W., Collings I.B. (2013)
"Estimation of Correlated and Quantized Spatial Random Fields in Wireless Sensor Networks."
IEEE International Conference on Communications ICC, Budapest, Hungary
38. Shihao Yan, Malaney Robert, Nevat I., Peters G.W. (2012)
"An Information Theoretic Location Verification System for Wireless Networks."
in Proceedings of IEEE Globecom.
37. Gu W., Peters G.W., Clavier L., Septier F., Nevat I. (2012)
“Receiver study for Cooperative Communications in convolved additive Alpha-Stable Interference plus Gaussian Thermal Noise?”.
International Symposium on Wireless Communication Systems, France.
36. Nevat I., Peters G.W., Yuan J and Collings I. (2012)
“Location-aware Cooperative Spectrum Sensing via Gaussian Processes".
AusCTW New Zealand.
35. Nevat I., Peters G.W., Yuan J and Collings I. (2012)
“System Identification in Wireless Relay Networks via Gaussian Process Iterated Conditioning on the Modes Estimation". WCNC Paris.
34. Nevat I., Peters G.W. and Yuan J. (2012)
“Blind Spectrum Sensing in Cognitive Radio over Fading Channels and Frequency Offsets".
WCNC – Paris 2012.
33. Lasscock B., Peters G.W. and Balikrishnan K. (2011)
“Rank Estimation in Cointegrated Vector Auto-Regression Models via Automated Trans-Dimensional Markov chain Monte Carlo".
CAMSAP-Special Session.
32. Nevat I., Han C., Peters G.W. amd Yuan J. (2011)
“Spectrum Sensing in Cooperative Cognitive Networks with Partial CSI". ICASSP, Nice, France
31. Nevat I., Peters G.W., Doucet A. and YuanJ. (2011)
“Channel Tracking in Relay Systems via Particle MCMC”
VTC, Sanfrancisco.
30. Nevat I., Peters G.W. and Yuan J. (2009)
“Coherent Detection or Cooperative Networks with Arbitrary Relay Functions using 'Likelihood Free' Inference". Proceedings of NEWCOM-ACorn Workshop, Barcelona, Spain.
29. Nevat I., Peters G.W. and Yuan J. (2009)
“Channel Estimation in OFDM Systems with Unknown Power Delay Profile using Trans-dimensional MCMC via Stochastic Approximation".
in Proc. IEEE Vehicular Technology Conference, VTC09, Barcelona, Spain.
28. Peters G.W., Shevchenko P. and Wuethrich (2009)
“Dynamic Operational Risk: modelling dependence and combining different sources of information".
15th International Conference on Computing in Economics and Finance.
27. Peters G.W., Kannan B., Lasscock B. and Mellen C. (2009)
“Rank Estimation and Adaptive Markov chain Monte Carlo for Bayesian Cointegrated VAR Models".
15th International Conference on Computing in Economics and Finance.
26. Peters G.W., Shevchenko P. and Wuethrich M. (2008)
"Model Risk in Claims Reserving within Tweedie's Compound Poisson Models".
Astin Colloquium, UK.
25. Nevat I., Peters G.W. and Yuan J. (2008)
"Bayesian Inference in Linear Models With a Random Gaussian Matrix : Algorithms and Complexity".
PIMRC, France.
24. Nevat I., Peters G.W. and Yuan J. (2008)
"Maximum A-Posteriori Estimation in Linear Models With a Random Gaussian Model Matrix: a Bayesian-EM Approach".
ICASSP, Las Vegas, USA.
23. Nevat I., Peters G.W. and Yuan J. (2008)
"OFDM Channel Impulse Response Estimation with Unknown Length using Bayesian Model Order Selection and Model Averaging".
VTC, Singapore.
Technical Reports Academic
22. Azzaoui N., Guillin A. and Peters G.W.
"Spectral characterization of the family of alpha-Stable processes that generalize Gaussian process models".
21. Peters G.W., Matsui T., Septier F. and Tamamori A.
"Estimation and Calibration in Gaussian Process State Space Models: MCDC Tool".
20. Peters G.W., Hayes K., Hossack G.
"Ecological non-linear state space model selection via adaptive particle Markov chain Monte Carlo (AdPMCMC)".
19. Clavier L., Peters G.W., Septier F. and Nevat I.
"Robust and Adaptive Receiver Design in Impulsive Subexponential Noise".
18. Peters G.W., Nevat I., Septier F. and Clavier L.
"Generalized Interference Models in Doubly Stochastic Poisson Random Fields for Wideband Communications: the PNSC(a) model" .
17. W. Gu, X. X.Yan, Peters G.W., L. Clavier, F. Spetier, I. Nevat,
"Robust and Adaptive Receiver Design in Impulsive Subexponential Noise".
16. Sisson S.A., Peters G.W., Briers M. and Fan Y. (2010)
“A Note on Target Distribution Ambiguity for Likelihood-Free Samplers (ABC)".
[arXiv: 1005.5201]
15. Del Moral P., Doucet A. and Peters G.W. (2002)
“Sequential Monte Carlo Samplers". (original pdf submitted)
Original Technical report - Cambridge CUED Series.
Version 1 of the manuscript - Submitted JRSSB 2002
Revised version of the manuscript - 2004
Rejected
Final Version Appeared: (2006)
Del Moral P, Doucet A, Jasra A.
Sequential monte carlo samplers.
Journal of the Royal Statistical Society: Series B
(Statistical Methodology). 2006 Jun 1;68(3):411-36.
14. Peters G.W. and Terauds V. (2007)
“Quantifying Operational Risk".
Part of report by Sisson S.A. and Franklin J. "Low Probability Large Consequence Events,
Australian Center for Excellence in Risk Analysis, Project no. 06/02
Theses
13. Peters G.W. (2005)
“Trans-dimensional Markov Chain Monte Carlo and Likelihood Free Inference".
PhD. Dissertation (supervised by Dr. Sisson S.A., Dr. Fan Y. and Dr. Shevchenko P.V.)
University of New South Wales, Sydney, Australia.
12. Peters G.W. (2005)
“Sequential Monte Carlo Samplers".
MSc.(by research) Dissertation (supervised by Dr. Doucet A.)
Cambridge University, Cambridge, UK.
Industrial, Commercial In Confidence Technical Reports
11. Peters G.W. (2017)
“Gaussian Process Momentum Modelling".
Stratagem.
10. Peters G.W. (2016)
“Operational Risk Capital Sensitivity".
Chappelle Consulting.
9. Peters G.W. (2016)
“Data Combining and Voting Rules: boosting".
Stratagem.
8. Peters G.W. (2016)
“Empirical Mode Decomposition Methods".
Stratagem.
7. Peters G.W. (2008)
“Cointegration Modelling Dynamics and Commodities".
Boronia Captial Pty. Ltd.
6. Peters G.W. (2008)
“Vector Auto Regressions and Cointegration Modelling".
Boronia Captial Pty. Ltd.
5. Peters G.W. (2007)
“Operational Risk OpRA Combining and Aggregation Methodology".
Commonwealth Bank of Australia, Internal Report and Analysis.
4. Peters G.W. (2007)
“Operational Risk OpRA Captial Allocation and Capital Sensitivity Methodology".
Commonwealth Bank of Australia, Internal Report and Analysis.
3. Peters G.W. (2006)
“Operational Risk OpRA System Accuracy Testing".
Commonwealth Bank of Australia, Internal Report and Analysis.
2. Peters G.W. (2006)
“Operational Risk OpRA System Sensitivity Analysis Report".
Commonwealth Bank of Australia, Internal Report and Analysis.
1. Peters G.W. (2005)
“Operational Risk OpRA System Survey Design and Methodology Analysis".
Commonwealth Bank of Australia, Internal Report and Analysis.