Related papers: Time reversal invariance in finance

We develop a non-parametric multivariate time series model that remains agnostic on the precise relationship between a (possibly) large set of macroeconomic time series and their lagged values. The main building block of our model is a…

The relation between time series irreversibility and entropy production has been recently investigated in thermodynamic systems operating away from equilibrium. In this work we explore this concept in the context of financial time series.…

We study the role of time-reversal symmetry on the dynamical response of nonlinear optical systems that behave as unidirectional ("one-way") devices. It is shown that lossless nonlinear materials, despite being nonreciprocal, are typically…

This paper considers a general class of nonparametric time series regression models where the regression function can be time-dependent. We establish an asymptotic theory for estimates of the time-varying regression functions. For this…

In stochastic models for queues and their networks, random events evolve in time. A process for their backward evolution is referred to as a time reversed process. It is often greatly helpful to view a stochastic model from two different…

Financial data are as a rule asymmetric, although most econometric models are symmetric. This applies also to continuous-time models for high-frequency and irregularly spaced data. We discuss some asymmetric versions of the continuous-time…

Recent theoretical results establish that time-consistent valuations (i.e. pricing operators) can be created by backward iteration of one-period valuations. In this paper we investigate the continuous-time limits of well-known actuarial…

Analogies between the price dynamics in the foreign exchange market and 3-dimensional fully developed turbulence were recently presented in Nature vol. 381, 767-769 (1996). Independently, we have carried out a study comparing the parallel…

While entropy changes are the usual subject of fluctuation theorems, we seek fluctuation relations involving time-symmetric quantities, namely observables that do not change sign if the trajectories are observed backward in time. We find…

Multivariate probability density functions of returns are constructed in order to model the empirical behavior of returns in a financial time series. They describe the well-established deviations from the Gaussian random walk, such as an…

Inverse statistics in economics is considered. We argue that the natural candidate for such statistics is the investment horizons distribution. This distribution of waiting times needed to achieve a predefined level of return is obtained…

We present and discuss a stochastic model of financial assets dynamics based on the idea of an inverse renormalization group strategy. With this strategy we construct the multivariate distributions of elementary returns based on the scaling…

This note continues investigation of randomness-type properties emerging in idealized financial markets with continuous price processes. It is shown, without making any probabilistic assumptions, that the strong variation exponent of…

Many studies have shown that there are good reasons to claim very low predictability of currency nevertheless, the deviations from true randomness exist which have potential predictive and prognostic power [J.James, Quantitative finance 3…

The time reversal and irreversibility in conventional quantum mechanics are compared with those of the rigged Hilbert space quantum mechanics. We discuss the time evolution of Gamow and Gamow-Jordan vectors and show that the rigged Hilbert…

Fundamental variables in financial market are not only price and return but a very important role is also played by trading volumes. Here we propose a new multivariate model that takes into account price returns, logarithmic variation of…

It is common for long financial time series to exhibit gradual change in the unconditional volatility. We propose a new model that captures this type of nonstationarity in a parsimonious way. The model augments the volatility equation of a…

We consider a two dimensional reflecting random walk on the nonnegative integer quadrant. It is assumed that this reflecting random walk has skip free transitions. We are concerned with its time reversed process assuming that the stationary…

Financial markets across all asset classes are known to exhibit trends. These trends have been exploited by traders for decades. Here, we empirically measure when trends revert, based on 30 years of daily futures prices for equity indices,…

The volatility of financial instruments is rarely constant, and usually varies over time. This creates a phenomenon called volatility clustering, where large price movements on one day are followed by similarly large movements on successive…