Related papers: Analysis of market weights under volatility-stabil…
We consider the discretized version of a (continuous-time) two-factor model introduced by Benth and coauthors for the electricity markets. For this model, the underlying is the exponent of a sum of independent random variables. We provide…
This article partakes of the PEGASE project the goal of which is a better understanding of the mechanisms explaining the behaviour of species living in a network of forest patches linked by ecological corridors (hedges for instance).…
This paper investigates the dependence of functional portfolio generation, introduced by Fernholz (1999), on an extra finite variation process. The framework of Karatzas and Ruf (2017) is used to formulate conditions on trading strategies…
We study here numerically the behavior of an ideal gas like model of markets having only one non-consumable commodity. We investigate the behavior of the steady-state distributions of money, commodity and total wealth, as the dynamics of…
Evolutionary models for populations of constant size are frequently studied using the Moran model, the Wright-Fisher model, or their diffusion limits. When evolution is neutral, a random genealogy given through Kingman's coalescent is used…
In this paper a randomized version of the Beverton-Holt type discrete model is proposed. Its solution stochastic process and the random steady state are determined. Its first probability density function and second probability density…
This paper develops a flexible and computationally efficient multivariate volatility model, which allows for dynamic conditional correlations and volatility spillover effects among financial assets. The new model has desirable properties…
A new multivariate distribution possessing arbitrarily parametrized and positively dependent univariate Pareto margins is introduced. Unlike the probability law of Asimit et al. (2010) [Asimit, V., Furman, E. and Vernic, R. (2010) On a…
We introduce a modified Consensus-Based Optimization model that admits a fully unified and rigorous analysis of its finite-particle dynamics, the associated McKean--Vlasov equation, and their optimization behavior under a single set of…
Persistence diagrams are efficient descriptors of the topology of a point cloud. As they do not naturally belong to a Hilbert space, standard statistical methods cannot be directly applied to them. Instead, feature maps (or representations)…
Wright-Fisher diffusions and their dual ancestral graphs occupy a central role in the study of allele frequency change and genealogical structure, and they provide expressions, explicit in some special cases but generally implicit, for the…
In this paper we present some basic uniqueness results for evolutive equations under density constraints. First, we develop a rigorous proof of a well-known result (among specialists) in the case where the spontaneous velocity field…
The concepts of scale invariance, self-similarity and scaling have been fruitfully applied to the study of price fluctuations in financial markets. After a brief review of the properties of stable Levy distributions and their applications…
We introduce and discuss optimal control strategies for kinetic models for wealth distribution in a simple market economy, acting to minimize the variance of the wealth density among the population. Our analysis is based on a finite time…
We construct a constant size population model allowing for general selective interactions and extreme reproductive events. It generalizes the idea of (Krone and Neuhauser 1997) who represented the selection by allowing individuals to sample…
Finite mixtures of regressions with fixed covariates are a commonly used model-based clustering methodology to deal with regression data. However, they assume assignment independence, i.e. the allocation of data points to the clusters is…
A theory which describes the share price evolution at financial markets as a continuous-time random walk has been generalized in order to take into account the dependence of waiting times t on price returns x. A joint probability density…
This paper builds a model of high-frequency equity returns by separately modeling the dynamics of trade-time returns and trade arrivals. Our main contributions are threefold. First, we characterize the distributional behavior of…
In this paper we study the possible microscopic origin of heavy-tailed probability density distributions for the price variation of financial instruments. We extend the standard log-normal process to include another random component in the…
We consider weighted random balls in $\real^d$ distributed according to a random Poisson measure with heavy-tailed intensity and study the asymptotic behaviour of the total weight of some configurations in $\real^d$. This procedure amounts…