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

We propose a novel group of Gaussian Process based algorithms for fast approximate optimal stopping of time series with specific applications to financial markets. We show that structural properties commonly exhibited by financial time…

We describe a simple model for speculative trading based on adaptive behavior of economic agents.The adaptive behavior is expressed through a feedback mechanism for changing agents' stock-to-bond ratios, depending on the past performance of…

We construct a continuous time model for price-mediated contagion precipitated by a common exogenous stress to the banking book of all firms in the financial system. In this setting, firms are constrained so as to satisfy a risk-weight…

Characteristic formulae give a complete logical description of the behaviour of processes modulo some chosen notion of behavioural semantics. They allow one to reduce equivalence or preorder checking to model checking, and are exactly the…

The past few years have seen intensive research efforts carried out in some apparently unrelated areas of dynamic systems -- delay-tolerant networks, opportunistic-mobility networks, social networks -- obtaining closely related insights.…

Transformer networks are effective at modeling long-range contextual information and have recently demonstrated exemplary performance in the natural language processing domain. Conventionally, the temporal action proposal generation (TAPG)…

This paper deals with the probabilistic behaviours of distributed systems described by a process calculus considering both probabilistic internal choices and nondeterministic external choices. For this calculus we define and study a typing…

We develop a framework for price-mediated contagion in financial systems where banks are forced to liquidate assets to satisfy a risk-weight based capital adequacy requirement. In constructing this modeling framework, we introduce a…

Stochastic clocks represent a class of time change methods for incorporating trading activity into continuous-time financial models, with the ability to deal with typical asymmetrical and tail risks in financial returns. In this paper we…

We discuss how minimal financial market models can be constructed by bridging the gap between two existing, but incomplete, market models: a model in which a population of virtual traders make decisions based on common global information…

Quantum theory is used to model secondary financial markets. Contrary to stochastic descriptions, the formalism emphasizes the importance of trading in determining the value of a security. All possible realizations of investors holding…

There is a large body of work, built on tools developed in mathematics and physics, demonstrating that financial market prices exhibit self-similarity at different scales. In this paper, we explore the use of analytical topology to…

We propose here a multiplex network approach to investigate simultaneously different types of dependency in complex data sets. In particular, we consider multiplex networks made of four layers corresponding respectively to linear,…

Multivariate volatility modeling and forecasting are crucial in financial economics. This paper develops a copula-based approach to model and forecast realized volatility matrices. The proposed copula-based time series models can capture…

In this paper we present a continuous time dynamical model of heterogeneous agents interacting in a financial market where transactions are cleared by a market maker. The market is composed of fundamentalist, trend following and contrarian…

The efficiency of a modern economy depends on what we call the Value-Tracking Hypothesis: that market prices of key assets broadly track some underlying value. This can be expected if a sufficient weight of market participants are…

We measure the influence of different time-scales on the dynamics of financial market data. This is obtained by decomposing financial time series into simple oscillations associated with distinct time-scales. We propose two new time-varying…

A number of researchers have introduced topological structures on the set of laws of stochastic processes. A unifying goal of these authors is to strengthen the usual weak topology in order to adequately capture the temporal structure of…

Interpreting time series models is uniquely challenging because it requires identifying both the location of time series signals that drive model predictions and their matching to an interpretable temporal pattern. While explainers from…

The following working document summarizes our work on the clustering of financial time series. It was written for a workshop on information geometry and its application for image and signal processing. This workshop brought several experts…