Related papers: Energy, entropy, and arbitrage
The global energy transition toward net-zero emissions by 2050 is expected to increase the share of variable renewable energy sources (VRES) in the energy mix. As a result, industrial actors will encounter more complex market conditions,…
The available enthalpy is an early form of the modern thermodynamic concept of exergy, which is the generic name for the amount of work obtainable when some matter is brought to a state of equilibrium with its surroundings by means of…
We consider an optimal investment-consumption problem for a utility-maximizing investor who has access to assets with different liquidity and whose consumption rate as well as terminal wealth are subject to lower-bound constraints. Assuming…
With the advent of Web 2.0, various types of data are being produced every day. This has led to the revolution of big data. Huge amount of structured and unstructured data are produced in financial markets. Processing these data could help…
The effectiveness of utility-maximization techniques for portfolio management relies on our ability to estimate correctly the parameters of the dynamics of the underlying financial assets. In the setting of complete or incomplete financial…
Multiscale thermodynamics is a theory of relations among levels of description. Energy and entropy are its two main ingredients. Their roles in the time evolution describing approach of a level (starting level) to another level involving…
In this work, we develop a new compatible finite element formulation of the thermal shallow water equations that conserves energy and mathematical entropies given by buoyancy-related quadratic tracer variances. Our approach relies on…
In this work, with the help of fractional calculus, it is shown a time dependence of entropy more general than the well known Pesin relation is derived. Here the equiprobability postulate is not assumed, the system dynamic in the phase…
The stock market offers a platform where people buy and sell shares of publicly listed companies. Generally, stock prices are quite volatile; hence predicting them is a daunting task. There is still much research going to develop more…
The relation between time series irreversibility and entropy production has been recently investigated in thermodynamic systems operating away from equilibrium. In this work we explore this concept in the context of financial time series.…
This paper presents a conceptual model describing the medium and long-term co-evolution of natural and socio-economic subsystems of Earth. An economy is viewed as an out-of-equilibrium dissipative structure that can only be maintained with…
This paper describes an entropy equation, but one that should be used for measuring energy and not information. In relation to the human brain therefore, both of these quantities can be used to represent the stored information. The human…
We study a benchmarked risk-sensitive portfolio problem in a factor-based setting to bring together three strands of the literature: benchmarked risk-sensitive investment management, the Kuroda-Nagai change-of-measure method, and the free…
This paper considers mean-variance optimization under uncertainty, specifically when one desires a sparsified set of optimal portfolio weights. From the standpoint of a Bayesian investor, our approach produces a small portfolio from many…
We consider the estimation of the multi-period optimal portfolio obtained by maximizing an exponential utility. Employing Jeffreys' non-informative prior and the conjugate informative prior, we derive stochastic representations for the…
This paper analyses the turbulent energy cascade from the perspective of statistical mechanics, and relates inter-scale energy fluxes to statistical irreversibility and information-entropy production. The microscopical reversibility of the…
The extension of thermodynamic principles to active matter remains a challenge due to the non-equilibrium nature inherent to active systems. In this study, we introduce a framework to assess entropy in our minimal macroscopic experiment…
This paper investigates the problem of ensembling multiple strategies for sequential portfolios to outperform individual strategies in terms of long-term wealth. Due to the uncertainty of strategies' performances in the future market, which…
In this letter we propose the use of physics techniques for entropy determination on constrained parameter optimization problems. The main feature of such techniques, the construction of an unbiased walk on energy space, suggests their use…
In the world of modern financial theory, portfolio construction has traditionally operated under at least one of two central assumptions: the constraints are derived from a utility function and/or the multivariate probability distribution…