Related papers: A dual characterization of self-generation and exp…
This paper is concerned with asymptotic behavior of a variety of functionals of increments of continuous semimartingales. Sampling times are assumed to follow a rather general discretization scheme. If an underlying semimartingale is…
We prove that for a number field $F$, the distribution of the points of a set $\Sigma \subset \mathbb{A}_F^n$ with a purely exponential parametrization, for example a set of matrices boundedly generated by semi-simple (diagonalizable)…
We introduce predictable relative forward performance processes (PRFPP) as a new framework for studying portfolio management within a competitive and incomplete market environment. Each agent trades a distinct stock following a binomial…
In dealing with high-dimensional data sets, factor models are often useful for dimension reduction. The estimation of factor models has been actively studied in various fields. In the first part of this paper, we present a new approach to…
We introduce two families of generators (functions) $\mathcal{G}$ that consist of entire and meromorphic functions enjoying a certain periodicity property and contain the classical Gaussian and hyperbolic secant generators. Sharp results…
In the conventional Takagi-Sugeno-Kang (TSK)-type fuzzy models, constant or linear functions are usually utilized as the consequent parts of the fuzzy rules, but they cannot effectively describe the behavior within local regions defined by…
We consider a utility maximization problem in a broad class of markets. Apart from traditional semimartingale markets, our class of markets includes processes with long memory, fractional Brownian motion and related processes, and, in…
Starting from the characterization of the past time evolution of market prices in terms of two fundamental indicators, price velocity and price acceleration, we construct a general classification of the possible patterns characterizing the…
Many patterns in nature exhibit self-similarity: they can be compactly described via self-referential transformations. Said patterns commonly appear in natural and artificial objects, such as molecules, shorelines, galaxies and even images.…
In this paper we establish a link between fuzzy and preferential semantics for description logics and Self-Organising Maps, which have been proposed as possible candidates to explain the psychological mechanisms underlying category…
We give a stochastic microscopic modelling of stock markets driven by continuous double auction. If we take into account the mimetic behavior of traders, when they place limit order, our virtual markets shows the power-law tail of the…
We derive a unified stochastic picture for the duality of a resampling-selection model with a branching-coalescing particle process (cf. http://www.ams.org/mathscinet-getitem?mr=MR2123250) and for the self-duality of Feller's branching…
We explore a decomposition in which returns on a large class of portfolios relative to the market depend on a smooth non-negative drift and changes in the asset price distribution. This decomposition is obtained using general continuous…
This paper considers the problem of constructing finite-dimensional state space realizations for stochastic processes that can be represented as the outputs of a certain type of a causal system driven by a continuous semimartingale input…
Strong semantic representations improve the convergence and generation quality of diffusion and flow models. Existing approaches largely rely on external models, which require separate training, operate on misaligned objectives, and exhibit…
We study contingent claims in a discrete-time market model where trading costs are given by convex functions and portfolios are constrained by convex sets. In addition to classical frictionless markets and markets with transaction costs or…
We compute analytic expressions for the non-linearity parameters characterizing the bi- and tri-spectrum of primordial curvature perturbations generated during an inflationary epoch of the early universe driven by an arbitrary number of…
Performativity of predictions refers to the phenomenon where prediction-informed decisions influence the very targets they aim to predict -- a dynamic commonly observed in policy-making, social sciences, and economics. In this paper, we…
The financial domain has proven to be a fertile source of challenging machine learning problems across a variety of tasks including prediction, clustering, and classification. Researchers can access an abundance of time-series data and even…
In this paper, we study the herding phenomena in financial markets arising from the combined effect of (1) non-coordinated collective interactions between the market players and (2) concurrent reactions of market players to dynamic market…