Related papers: Computational LPPL Fit to Financial Bubbles
Consider Least Squares Monte Carlo (LSM) algorithm, which is proposed by Longstaff and Schwartz (2001) for pricing American style securities. This algorithm is based on the projection of the value of continuation onto a certain set of basis…
Adopting a zonal structure of electricity market requires specification of zones' borders. One of the approaches to identify zones is based on clustering of Locational Marginal Prices (LMP). The purpose of the paper is twofold: (i) we…
Practical applications of fragment embedding and closely related local correlation methods critically depend on a judicious choice of a low-level theory to define the local embedding subspace and to capture long-range electrostatic and…
In this paper, a least-squares finite element method for scalar nonlinear hyperbolic balance laws is proposed and studied. The approach is based on a formulation that utilizes an appropriate Helmholtz decomposition of the flux vector and is…
Matrix product states (MPS) are a standard tensor-network representation for ground states of one-dimensional quantum many-body systems, and they underpin widely used simulation tools such as DMRG. However, while quantum model checking has…
We consider pure-jump transaction-level models for asset prices in continuous time, driven by point processes. In a bivariate model that admits cointegration, we allow for time deformations to account for such effects as intraday seasonal…
Accurate price predictions are essential for market participants in order to optimize their operational schedules and bidding strategies, especially in the current context where electricity prices become more volatile and less predictable…
A number of optimal decision problems with uncertainty can be formulated into a stochastic optimal control framework. The Least-Squares Monte Carlo (LSMC) algorithm is a popular numerical method to approach solutions of such stochastic…
Copula is a powerful tool to model multivariate data. We propose the modelling of intraday financial returns of multiple assets through copula. The problem originates due to the asynchronous nature of intraday financial data. We propose a…
The Lagrangian Particles (LP) module of the PLUTO code offers a powerful simulation tool to predict the non-thermal emission produced by shock accelerated particles in large-scale relativistic magnetized astrophysics flows. The LPs…
The phase space flow of a dynamical system leading to the solution of Linear Programming (LP) problems is explored as an example of complexity analysis in an analog computation framework. An ensemble of LP problems with $n$ variables and…
We present a perturbative approach for studying inflation models with soft departures from scale free spectra of the power law model. In the perturbed power law (PPL) approach one obtains at the leading order both the scalar and tensor…
The law of one price (LOP) broadly asserts that identical financial flows should command the same price. We show that, when properly formulated, LOP is the minimal condition for a well-defined mean-variance portfolio selection framework…
Ensemble-averaged polydisperse bubbly flow models require statistical moments of the evolving bubble size distribution. Under step forcing, these moments reach statistical equilibrium in finite time. However, the transitional phase before…
The numerical simulation of multiphase flows involving dispersed components with large scale disparities, such as the collisions between millimeter-sized bubbles and micron-sized mineral particles in flotation, poses a significant…
We consider situations where the applicability of sequential Monte Carlo particle filters is compromised due to the expensive evaluation of the particle weights. To alleviate this problem, we propose a new particle filter algorithm based on…
Recurrence Plot (RP) and Recurrence Quantification Analysis (RQA) are signal numerical analysis methodologies able to work with non linear dynamical systems and non stationarity. Moreover they well evidence changes in the states of a…
In this work, an integer linear programming (ILP) based model is proposed for the computation of a minimal cost addition sequence for a given set of integers. Since exponents are additive under multiplication, the minimal length addition…
The non-abelian Landau-Pomeranschuk-Migdal (LPM) effect arises from the quantum interference between spatially separated, inelastic radiation processes in matter. A consistent probabilistic implementation of this LPM effect is a…
In this paper, a few dual least-squares finite element methods and their application to scalar linear hyperbolic problems are studied. The purpose is to obtain $L^2$-norm approximations on finite element spaces of the exact solutions to…