Related papers: Time reversal invariance in finance
Recent empirical studies suggest that the volatility of an underlying price process may have correlations that decay slowly under certain market conditions. In this paper, the volatility is modeled as a stationary process with long-range…
The majority of stylized facts of financial time series and several Value-at-Risk measures are modeled via univariate or multivariate GARCH processes. It is not rare that advanced GARCH models fail to converge for computational reasons, and…
What return should you expect when you take on a given amount of risk? How should that return depend upon other people's behavior? What principles can you use to answer these questions? In this paper, we approach these topics by exploring…
In this article, we analyze three classes of time-reversal of a Markov process with Gaussian noise on a manifold. We first unveil a commutativity constraint for the most general of these time-reversals to be well defined. Then we give a…
The "backward simulation" of a stochastic process is defined as the stochastic dynamics that trace a time-reversed path from the target region to the initial configuration. If the probabilities calculated by the original simulation are…
We propose a general scheme to create time sequences that fulfill given constraints but are random otherwise. Significance levels for nonlinearity tests are as usually obtained by Monte Carlo resampling. In a new scheme, constraints…
Sparse and irregularly sampled multivariate time series are common in clinical, climate, financial and many other domains. Most recent approaches focus on classification, regression or forecasting tasks on such data. In forecasting, it is…
In this paper we consider the problem of a measure that allows us to describe the spatial and temporal dependence structure of multivariate time series with innovations having infinite variance. By using recent results obtained in the…
In this research the technology of complex Markov chains is applied to predict financial time series. The main distinction of complex or high-order Markov Chains and simple first-order ones is the existing of aftereffect or memory. The…
In this work, we identify the most general measure of arbitrage for any market model governed by It\^o processes. We show that our arbitrage measure is invariant under changes of num\'{e}raire and equivalent probability. Moreover, such…
It is brought forward that viable theories of the physical world that have no variable at all that can play the role of time, do not exist; some notion of time is one of the very first ingredients a candidate theory should possess. Almost…
A novel method to solve inverse problems for the wave equation is introduced. The method is a combination of the boundary control method and an iterative time reversal scheme, leading to adaptive imaging of coefficient functions of the wave…
We study dynamical reversibility in stationary stochastic processes from an information theoretic perspective. Extending earlier work on the reversibility of Markov chains, we focus on finitary processes with arbitrarily long conditional…
Rate-distortion formulation is the information-theoretic approach to the study of signal encoding systems. Since a more general approach to model the nonstationarity exhibited by real-world signals is to use appropriately fitted time…
This paper concerns with the time-reversal characteristics of intrinsic normal diffusion in quantum systems. Time-reversible properties are quantified by the time-reversal test; the system evolved in the forward direction for a certain…
There is a relation between the irreversibility of thermodynamic processes as expressed by the breaking of time-reversal symmetry, and the entropy production in such processes. We explain on an elementary mathematical level the relations…
The inversion formula for conservative multifractal measures was unveiled mathematically a decade ago, which is however not well tested in real complex systems. In this Letter, we propose to verify the inversion formula using high-frequency…
ARCH and GARCH models assume either i.i.d. or (what economists lable as) white noise as is usual in regression analysis while assuming memory in a conditional mean square fluctuation with stationary increments. We will show that ARCH/GARCH…
Time-reversal symmetry is a prevalent feature of microscopic physics, including operational quantum theory and classical general relativity. Previous works have studied indefinite causal structure using the language of operational quantum…
The applicability of time-reversal symmetry to nonlinear optics is discussed, both from macroscopic (Maxwell equations) and microscopic (quantum theoretical) point of view. We find that only spatial operations can be applied for the…