Related papers: Activity spectrum from waiting-time distribution
Universal features in stock markets and their derivative markets are studied by means of probability distributions in internal rates of return on buy and sell transaction pairs. Unlike the stylized facts in log normalized returns, the…
By computing the Dirac operator spectrum by means of Numerical Stochastic Perturbation Theory, we aim at throwing some light on the widely accepted picture for the mechanism which is behind the Bank-Casher relation. The latter relates the…
We use standard perturbation techniques originally formulated in quantum (statistical) mechanics in the analysis of a toy model of a stock market which is given in terms of bosonic operators. In particular we discuss the probability of…
A new theory for pricing options of a stock is presented. It is based on the assumption that while successive variations in return are uncorrelated, the frequency with which a stock is traded depends on the value of the return. The solution…
High-frequency trading (HFT) represents a pivotal and intensely competitive domain within the financial markets. The velocity and accuracy of data processing exert a direct influence on profitability, underscoring the significance of this…
The problem of inverse statistics (statistics of distances for which the signal fluctuations are larger than a certain threshold) in differentiable signals with power law spectrum, $E(k) \sim k^{-\alpha}$, $3 \le \alpha < 5$, is discussed.…
Anomalous diffusions arise as scaling limits of continuous-time random walks (CTRWs) whose innovation times are distributed according to a power law. The impact of a non-exponential waiting time does not vanish with time and leads to…
Time-varying networks describe a wide array of systems whose constituents and interactions evolve over time. They are defined by an ordered stream of interactions between nodes, yet they are often represented in terms of a sequence of…
Exploiting a precise reproduction of a stock exchange, the robustness of the Continuous Double Auction (CDA) mechanism, evaluated by means of the waiting time distributions, has been proved versus 36 different set ups made by varying both…
Motivated by recent advances in the spectral theory of auto-covariance matrices, we are led to revisit a reformulation of Markowitz' mean-variance portfolio optimization approach in the time domain. In its simplest incarnation it applies to…
We consider the problem of dynamic buying and selling of shares from a collection of $N$ stocks with random price fluctuations. To limit investment risk, we place an upper bound on the total number of shares kept at any time. Assuming that…
We investigate the spectral properties of chaotic quantum graphs. We demonstrate that the `energy'--average over the spectrum of individual graphs can be traded for the functional average over a supersymmetric non--linear $\sigma$--model…
In many stochastic models, the observables of interest are naturally encoded in double transforms (e.g., Laplace transforms) that couple spatial and temporal variables. Notably, the double transform often provides the only analytically…
The spectrum of Hamiltonian (Markov matrix) of a multi-species asymmetric simple exclusion process on a ring is studied. The dynamical exponent concerning the relaxation time is found to coincide with the one-species case. It implies that…
The stochastic knapsack has been used as a model in wide ranging applications from dynamic resource allocation to admission control in telecommunication. In recent years, a variation of the model has become a basic tool in studying problems…
Alpha signals for statistical arbitrage strategies are often driven by latent factors. This paper analyses how to optimally trade with latent factors that cause prices to jump and diffuse. Moreover, we account for the effect of the trader's…
Time-frequency representations such as the spectrogram are commonly used to analyze signals having a time-varying distribution of spectral energy, but the spectrogram is constrained by an unfortunate tradeoff between resolution in time and…
This paper explores the effectiveness of high-frequency options trading strategies enhanced by advanced portfolio optimization techniques, investigating their ability to consistently generate positive returns compared to traditional long or…
Trading frictions are stochastic. They are, moreover, in many instances fast-mean reverting. Here, we study how to optimally trade in a market with stochastic price impact and study approximations to the resulting optimal control problem…
We argue that in a large class of disordered quantum many-body systems, the late time dynamics of time-dependent correlation functions is captured by random matrix theory, specifically the energy eigenvalue statistics of the corresponding…