Related papers: Energy, entropy, and arbitrage
The rising share of volatile renewable generation increases the demand for flexibility in the electricity grid. Flexible capacity can be offered by industrial energy systems through participation on either the continuous intraday,…
Entropy is a measure of heterogeneity widely used in applied sciences, often when data are collected over space. Recently, a number of approaches has been proposed to include spatial information in entropy. The aim of entropy is to…
In the Entropic Dynamics framework the dynamics is driven by maximizing entropy subject to appropriate constraints. In this work we bring Entropic Dynamics one step closer to full equivalence with quantum theory by identifying constraints…
The purpose of this article is to introduce, analyze and compare two performance participation methods based on a portfolio consisting of two risky assets: Option-Based Performance Participation (OBPP) and Constant Proportion Performance…
Entropy is one of the key thermodynamic variables reflecting changes in the state of matter. Unlike other thermodynamic variables, it is well-defined also for nonequilibrium steady states through its relation to information. Applying this…
During a financial crisis, the capital markets network frequently exhibits a high correlation between returns. We developed a network analysis framework based on daily returns from 42 countries to determine systemic stability. Our network…
It has been widely observed that capitalization-weighted indexes can be beaten by surprisingly simple, systematic investment strategies. Indeed, in the U.S. stock market, equal-weighted portfolios, random-weighted portfolios, and other…
It is argued that a typical many body energy eigenstate has a well defined thermodynamic entropy and that individual eigenstates possess thermodynamic characteristics analogous to those of generic isolated systems. We examine large systems…
The entanglement entropy of a subsystem of a quantum system is expressed, in the replica approach, through analytic continuation with respect to n of the trace of the n-th power of the reduced density matrix. This trace can be thought of as…
We study the governing equations for the motion of the fluid particles near air-water interface from an energetic point of view. Since evaporation and condensation phenomena occur at the interface, we have to consider phase transition. This…
In this paper we attempt to introduce an econophysics approach to evaluate some aspects of the risks in financial markets. For this purpose, the thermodynamical methods and statistical physics results about entropy and equilibrium states in…
In the framework of stochastic portfolio theory we introduce rank volatility stabilized models for large equity markets over long time horizons. These models are rank-based extensions of the volatility stabilized models introduced by…
This paper focuses on the problem of energy imbalance management in amicrogrid. The problem is investigated from the power market perspective. Unlike the traditional power grid, a microgrid can obtain extra energy froma renewable energy…
The Total Portfolio Approach and Strategic Asset Allocation are widely viewed as competing frameworks for institutional portfolio management. We argue they differ in a single governance parameter: the tracking error constraint. Using U.S.…
Grasping the historical volatility of stock market indices and accurately estimating are two of the major focuses of those involved in the financial securities industry and derivative instruments pricing. This paper presents the results of…
Portfolio management is an essential component of investment strategy that aims to maximize returns while minimizing risk. This paper explores several portfolio management strategies, including asset allocation, diversification, active…
We use the $f-divergence$ also called relative entropy as a measure of diversity between probability densities and review its basic properties. In the sequence we define a few objects which capture relevant information from the sample of a…
Power grids exhibit patterns of reaction to outages similar to complex networks. Blackout sequences follow power laws, as complex systems operating near a critical point. Here, the tolerance of electric power grids to both accidental and…
Financial markets, being spectacular examples of complex systems, display rich correlation structures among price returns of different assets. The correlation structures change drastically, akin to phase transitions in physical phenomena,…
In principle, all of the dynamical complexities of many-body systems are encapsulated in the potential energy landscapes on which the atoms move - an observation that suggests that the essentials of the dynamics ought to be determined by…