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Mounting empirical evidence suggests that the observed extreme prices within a trading period can provide valuable information about the volatility of the process within that period. In this paper we define a class of stochastic volatility…
Tool condition monitoring (TCM) systems can improve productivity and ensure workpiece quality, yet, there is a lack of reliable TCM solutions for small-batch or one-off manufacturing of industrial parts. TCM methods which include the…
Given a family of systems, identifying stabilizing switching signals in terms of infinite walks constructed by concatenating cycles on the underlying directed graph of a switched system that satisfy certain conditions, is a well-known…
Predicting stock price movements is a pivotal element of investment strategy, providing insights into potential trends and market volatility. This study specifically examines the predictive capacity of historical stock prices and technical…
We introduce a stochastic price model where, together with a random component, a moving average of logarithmic prices contributes to the price formation. Our model is tested against financial datasets, showing an extremely good agreement…
Signaling is an important topic in the study of asymmetric information in economic settings. In particular, the transparency of information available to a seller in an auction setting is a question of major interest. We introduce the study…
A soft-max function has two main efficiency measures: (1) approximation - which corresponds to how well it approximates the maximum function, (2) smoothness - which shows how sensitive it is to changes of its input. Our goal is to identify…
This paper proposes a novel adaptive algorithm for the automated short-term trading of financial instrument. The algorithm adopts a semantic sentiment analysis technique to inspect the Twitter posts and to use them to predict the behaviour…
New theoretical approaches about forecasting stock markets are proposed. A mathematization of the stock market in terms of arithmetical relations is given, where some simple (non-differential, non-fractal) expressions are also suggested as…
We propose a new approach for trading VIX futures. We assume that the term structure of VIX futures follows a Markov model. Our trading strategy selects a position in VIX futures by maximizing the expected utility for a day-ahead horizon…
The min-max optimization problem, also known as the saddle point problem, is a classical optimization problem which is also studied in the context of zero-sum games. Given a class of objective functions, the goal is to find a value for the…
This short note illustrates the theoretical solution to a trader determining how to optimally swap her wealth into a target asset through on-chain operations. It offers the framework to solve optimal slippage parameters and optimal trade…
This paper is concerned with a pairs trading rule. The idea is to monitor two historically correlated securities. When divergence is underway, i.e., one stock moves up while the other moves down, a pairs trade is entered which consists of a…
Price dynamics is analyzed in terms of a model which includes the possibility of effective forces due to trend followers or trend adverse strategies. The method is tested on the data of a minority-majority model and indeed it is capable of…
This paper proposes non-dominated sorting genetic algorithm-II (NSGA-II ) in the context of technical indicator-based stock trading, by finding optimal combinations of technical indicators to generate buy and sell strategies such that the…
We introduce a new general framework for constructing the best trading strategy for a given historical indicator. We construct the unique trading strategy with the highest expected return. This optimal strategy may be implemented directly,…
Pair trading is a market-neutral quantitative trading strategy that exploits price anomalies between two correlated assets. By taking simultaneous long and short positions, it generates profits based on relative price movements, independent…
The scaling properties of the time series of asset prices and trading volumes of stock markets are analysed. It is shown that similarly to the asset prices, the trading volume data obey multi-scaling length-distribution of low-variability…
This paper reviews some of the phenomenological models which have been introduced to incorporate the scaling properties of financial data. It also illustrates a microscopic model, based on heterogeneous interacting agents, which provides a…
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…