Related papers: Analysis of market weights under volatility-stabil…
This paper introduces a novel robust trading paradigm, called \textit{multi-double linear policies}, situated within a \textit{generalized} lattice market. Distinctively, our framework departs from most existing robust trading strategies,…
Recent studies have revealed a number of striking dependence patterns in high frequency stock price dynamics characterizing probabilistic interrelation between two consequent price increments x (push) and y (response) as described by the…
We develop a new stock market index that captures the chaos existing in the market by measuring the mutual changes of asset prices. This new index relies on a tensor-based embedding of the stock market information, which in turn frees it…
We study a size-structured model proposed in [1] C. Barril, \`A. Calsina, O. Diekmann, J. Z. Farkas, On competition through growth reduction, e-print arXiv:2303.02981, to describe the dynamics of trees growth in the forest. Our approach to…
Distributed quantized weight-balancing and average consensus over fixed digraphs are considered. A digraph with non-negative weights associated to its edges is weight-balanced if, for each node, the sum of the weights of its out-going edges…
A weighted $d-$complex is a simplicial complex of dimension $d$ in which each face is assigned a real-valued weight. We derive three key results here concerning persistence diagrams and minimal spanning acycles (MSAs) of such complexes.…
We study an extension of Duncan Watts' 2002 model of information cascades in social networks where edge weights are taken to be random, an innovation motivated by recent applications of cascade analysis to systemic risk in financial…
We investigate a generalized stochastic model with the property known as mean reversion, that is, the tendency to relax towards a historical reference level. Besides this property, the dynamics is driven by multiplicative and additive…
In this paper we introduce kinetic equations for the evolution of the probability distribution of two goods among a huge population of agents. The leading idea is to describe the trading of these goods by means of some fundamental rules in…
The increasing availability of population-level allele frequency data across one or more related populations necessitates the development of methods that can efficiently estimate population genetics parameters, such as the strength of…
We introduce solvable stochastic dealer models, which can reproduce basic empirical laws of financial markets such as the power law of price change. Starting from the simplest model that is almost equivalent to a Poisson random noise…
Arguably the most important problem in quantitative finance is to understand the nature of stochastic processes that underlie market dynamics. One aspect of the solution to this problem involves determining characteristics of the…
This paper concerns a local volatility model in which volatility takes two possible values, and the specific value depends on whether the underlying price is above or below a given threshold value. The model is known, and a number of…
In this paper we present an interacting-agent model of stock markets. We describe a stock market through an Ising-like model in order to formulate the tendency of traders getting to be influenced by the other traders' investment attitudes…
We present a general model for the growth of weighted networks in which the structural growth is coupled with the edges' weight dynamical evolution. The model is based on a simple weight-driven dynamics and a weights' reinforcement…
Model merging, particularly through weight averaging, has shown surprising effectiveness in saving computations and improving model performance without any additional training. However, the interpretability of why and how this technique…
An exact solution is presented to a model that mimics the crowding effect in financial markets which arises when groups of agents share information. We show that the size distribution of groups of agents has a power law tail with an…
We develop a theoretical foundation for robust model comparison in a class of non-ergodic continuous volatility regression models contaminated by finite-activity jumps. Using the density-power weighting and the H\"{o}lder(-inequality)-based…
We investigate spatial evolutionary games with death-birth updating in large finite populations. Within growing spatial structures subject to appropriate conditions, the density processes of a fixed type are proven to converge to the…
The robust statistical description of dynamical systems under perturbations is a central problem in ergodic theory. In this paper, we investigate the statistical properties of skew-product maps driven by a subshift of finite type with…