Related papers: Timed tuplix calculus and the Wesseling and van de…

We study the application of Tuplix Calculus in modular financial budget design. We formalize organizational structure using financial transfer networks. We consider the notion of flux of money over a network, and a way to enforce the…

We develop theory and applications of forward characteristic processes in discrete time following a seminal paper of Jan Kallsen and Paul Kr\"uhner. Particular emphasis is placed on the dynamics of volatility surfaces which can be easily…

We develop a framework especially suited to the autocorrelation properties observed in financial times series, by borrowing from the physical picture of turbulence. The success of our approach as applied to high frequency foreign exchange…

We go into the need for, and the requirements on, a formal theory of budgets. We present a simple algebraic theory of rational budgets, i.e., budgets in which amounts of money are specified by functions on the rational numbers. This theory…

We model financial transactions as random walks on activity-driven temporal networks. By enforcing fund conservation, our framework analytically derives heavy-tailed distributions for the stationary balances and transaction sizes.…

The estimation of dependencies between multiple variables is a central problem in the analysis of financial time series. A common approach is to express these dependencies in terms of a copula function. Typically the copula function is…

We present in this paper an empirical framework motivated by the practitioner point of view on stability. The goal is to both assess clustering validity and yield market insights by providing through the data perturbations we propose a…

Probabilistic programs are a powerful and convenient approach to formalise distributions over system executions. A classical verification problem for probabilistic programs is temporal inference: to compute the likelihood that the execution…

Big data and the use of advanced technologies are relevant topics in the financial market. In this context, complex networks became extremely useful in describing the structure of complex financial systems. In particular, the time evolution…

Our computational economic analysis investigates the relationship between inequality, mobility and the financial accumulation process. Extending the baseline model by Levy et al., we characterise the economic process through stylised return…

Timed transition systems are behavioural models that include an explicit treatment of time flow and are used to formalise the semantics of several foundational process calculi and automata. Despite their relevance, a general mathematical…

We describe a simple and accurate framework for modeling the statistical behavior of both fully developed turbulence and short-term dynamics of financial markets based on the formalism of Tsallis' generalized non-extensive thermostatistics.…

A general framework is suggested to describe human decision making in a certain class of experiments performed in a trading laboratory. We are in particular interested in discerning between two different moods, or states of the investors,…

Financial transactions constitute connections between entities and through these connections a large scale heterogeneous weighted graph is formulated. In this labyrinth of interactions that are continuously updated, there exists a variety…

We introduce a new algebraic framework to describe gravitational scrambling, including the semiclassical limit of any out-of-time-order correlation function that is built out of operator insertions separated by approximately the scrambling…

The thesis is composed of three parts. Part I introduces the mathematical and statistical tools that are relevant for the study of dependences, as well as statistical tests of Goodness-of-fit for empirical probability distributions. I…

Using a family of modified Weibull distributions, encompassing both sub-exponentials and super-exponentials, to parameterize the marginal distributions of asset returns and their natural multivariate generalizations, we give exact formulas…

We introduce a calculus for tuplices, which are expressions that generalize matrices and vectors. Tuplices have an underlying data type for quantities that are taken from a zero-totalized field. We start with the core tuplix calculus CTC…

We present a model of financial markets originally proposed for a turbulent flow, as a dynamic basis of its intermittent behavior. Time evolution of the price change is assumed to be described by Brownian motion in a power-law potential,…

Compared with static knowledge graphs, temporal knowledge graphs (tKG), which can capture the evolution and change of information over time, are more realistic and general. However, due to the complexity that the notion of time introduces…