Related papers: Deriving Derivatives
Like with most large-scale systems, the evaluation of quantitative properties of collective adaptive systems is an important issue that crosscuts all its development stages, from design (in the case of engineered systems) to runtime…
Quantum computers are expected to surpass the computational capabilities of classical computers and have a transformative impact on numerous industry sectors. We present a comprehensive summary of the state of the art of quantum computing…
In the literature, the definition of product in a Software Product Line (SPL) is based upon the notion of consistency of the constraints, imposed by variability and traceability relations on the elements of the SPL. In this paper, we…
In both finance and economics, quantitative models are usually studied as isolated mathematical objects --- most often defined by very strong simplifying assumptions concerning rationality, efficiency and the existence of disequilibrium…
Stylized facts can be regarded as constraints for any modeling attempt of price dynamics on a financial market, in that an empirically reasonable model has to reproduce these stylized facts at least qualitatively. The dynamics of market…
Conformal prediction (CP), a distribution-free uncertainty quantification (UQ) framework, reliably provides valid predictive inference for black-box models. CP constructs prediction sets that contain the true output with a specified…
Recently, we have proposed a new diffusive representation for fractional derivatives and, based on this representation, suggested an algorithm for their numerical computation. From the construction of the algorithm, it is immediately…
Introduction: Computational modeling has rapidly advanced over the last decades, especially to predict molecular properties for chemistry, material science and drug design. Recently, machine learning techniques have emerged as a powerful…
Classic market design theory is rooted in static models where all participants trade simultaneously. In contrast, modern platform-mediated digital markets are fundamentally dynamic, defined by the asynchronous and stochastic arrival of…
This is an informal and sketchy review of six topical, somewhat unrelated subjects in quantitative finance: rough volatility models; random covariance matrix theory; copulas; crowded trades; high-frequency trading & market stability; and…
This paper focuses on the developing of high-dimensional risk models to construct portfolios of securities in the US stock exchange. Investors seek to gain the highest profits and lowest risk in capital markets. We have developed various…
The goal of this paper is to debunk and dispel the magic behind the black-box quantitative strategies. It aims to build a solid foundation on how and why the techniques work. This manuscript crystallizes this knowledge by deriving from…
Covariational reasoning--considering how changes in one quantity affect another, related quantity--is a foundation of quantitative modeling in physics. Understanding quantitative models is a learning objective of introductory physics…
In the design of software and cyber-physical systems, security is often perceived as a qualitative need, but can only be attained quantitatively. Especially when distributed components are involved, it is hard to predict and confront all…
Classical planning asks for a sequence of operators reaching a given goal. While the most common case is to compute a plan, many scenarios require more than that. However, quantitative reasoning on the plan space remains mostly unexplored.…
The best empirical research in political science clearly defines substantive parameters of interest, presents a set of assumptions that guarantee its identification, and uses an appropriate estimator. We argue for the importance of…
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…
Conceptual modeling is an important part of information systems development and use that involves identifying and representing relevant aspects of reality. Although the past decades have experienced continuous digitalization of services and…
Financial models do not merely analyse markets, but actively shape them. This effect, known as performativity, describes how financial theories and the subsequent actions based on them influence market processes, by creating self-fulfilling…
Quantitative information flow (QIF) is traditionally defined as the expected value of information leakage over all feasible program runs and it fails to identify vulnerable programs where only limited number of runs leak large amount of…