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Technical and fundamental analysis are traditional tools used to analyze individual stocks; however, the finance literature has shown that the price movement of each individual stock correlates heavily with other stocks, especially those…
In this paper, we introduce a novel, non-recursive, maximal matching algorithm for double auctions, which aims to maximize the amount of commodities to be traded. It differs from the usual equilibrium matching, which clears a market at the…
As a model of market price, we introduce a new type of random walk in a moving potential which is approximated by a quadratic function with its center given by the moving average of its own trace. The properties of resulting random walks…
In this article we introduce a portfolio optimisation framework, in which the use of rough path signatures (Lyons, 1998) provides a novel method of incorporating path-dependencies in the joint signal-asset dynamics, naturally extending…
This work is devoted to modelling and identification of the dynamics of the inter-sectoral balance of a macroeconomic system. An approach to the problem of specification and identification of a weakly formalized dynamical system is…
For classification of the high frequency trading quantities, waiting times, price increments within and between sessions are referred to as the a-, b-, and c-increments. Statistics of the a-b-c-increments are computed for the Time & Sales…
We consider a recently introduced framework in which fairness is measured by worst-case outcomes across groups, rather than by the more standard differences between group outcomes. In this framework we provide provably convergent…
Identifying market abuse activity from data on investors' trading activity is very challenging both for the data volume and for the low signal to noise ratio. Here we propose two complementary unsupervised machine learning methods to…
Anchoring is a term used in psychology to describe the common human tendency to rely too heavily (anchor) on one piece of information when making decisions. A trading algorithm inspired by biological motors, introduced by L. Gil\cite{Gil},…
Option contracts are a type of financial derivative that allow investors to hedge risk and speculate on the variation of an asset's future market price. In short, an option has a particular payout that is based on the market price for an…
Permutation approach is suggested as a method to investigate financial time series in micro scales. The method is used to see how high frequency trading in recent years has affected the micro patterns which may be seen in financial time…
A new simple model of financial market is proposed, based on the sequential and inter-temporal nature of trader-trader interaction, and on a new simple trading strategy space. In this pattern-based speculation model, the traders open and…
A paradigm of statistical mechanics of financial markets (SMFM) is fit to multivariate financial markets using Adaptive Simulated Annealing (ASA), a global optimization algorithm, to perform maximum likelihood fits of Lagrangians defined by…
Transformers are designed for discrete tokens, yet many real-world signals are continuous processes observed through noisy sampling. Discrete tokenizations (raw values, patches, finite differences) can be brittle in low signal-to-noise…
We present a set of models of the main stylized facts of market price fluctuations. These models comprise dynamical evolution with threshold dynamics and Langevin price equation with multiplicative noise, percolation models to describe the…
When dealing with control systems, it is useful and even necessary to assess the performance of underlying transfer functions. The functions may or may not be linear, may or may not be even monotonic. In addition, they may have structural…
Fixpoints are ubiquitous in computer science as they play a central role in providing a meaning to recursive and cyclic definitions. Bisimilarity, behavioural metrics, termination probabilities for Markov chains and stochastic games are…
Inertial motion analysis is having a growing interest during the last decades due to its advantages over classical optical systems. The technological solution based on inertial measurement units allows the measurement of movements in daily…
The aim of this short note is to establish a limit theorem for the optimal trading strategies in the setup of the utility maximization problem with proportional transaction costs. This limit theorem resolves the open question from [4]. The…
Market instability has been extensively studied using mathematical approaches to characterize complex trading dynamics and detect structural change points. This study explores the potential for early warning of market instability by…