Related papers: Can Turnover Go to Zero?
A classical scenario for tipping is that a dynamical system experiences a slow parameter drift across a fold tipping point, caused by a run-away positive feedback loop. We study what happens if one turns around after one has crossed the…
For an $H>0$ rotationally symmetric embedded torus $N_{0} \subset \mathbb{R}^{3}$, evolved by Inverse Mean Curvature Flow, we show that the total curvature $|A|$ remains bounded up to the singular time $T_{\max}$. We then show convergence…
In this paper we derive the continuum limit of a multiple-species, interacting particle system by proving a $\Gamma$-convergence result on the interaction energy as the number of particles tends to infinity. As the leading application, we…
Despite the availability of very detailed data on financial market, agent-based modeling is hindered by the lack of information about real trader behavior. This makes it impossible to validate agent-based models, which are thus…
This paper investigates a continuous-time portfolio optimization problem with the following features: (i) a no-short selling constraint; (ii) a leverage constraint, that is, an upper limit for the sum of portfolio weights; and (iii) a…
A UHF flow is an infinite tensor product type action of the reals on a UHF algebra $A$ and the flip automorphism is an automorphism of $A\otimes A$ sending $x\otimes y$ into $y\otimes x$. If $\alpha$ is an inner perturbation of a UHF flow…
An investor with constant relative risk aversion and an infinite planning horizon trades a risky and a safe asset with constant investment opportunities, in the presence of small transaction costs and a binding exogenous portfolio…
This paper considers the question of the rate of convergence to ${\alpha}$- stable laws, using arguments based on the Zolotarev distance to prove bounds. We provide a rate of convergence to ${\alpha}$-stable random variable where 1 <…
How should one construct a portfolio from multiple mean-reverting assets? Should one add an asset to portfolio even if the asset has zero mean reversion? We consider a position management problem for an agent trading multiple mean-reverting…
Turnpike theorems state that if an investor's utility is asymptotically equivalent to a power utility, then the optimal investment strategy converges to the CRRA strategy as the investment horizon tends to infinity. This paper aims to…
In this paper we examine the topology of inverse limit spaces generated by maps of finite graphs. In particular we explore the way in which the structure of the orbits of the turning points affects the inverse limit. We show that if $f$ has…
When trading incurs proportional costs, leverage can scale an asset's return only up to a maximum multiple, which is sensitive to its volatility and liquidity. In a model with one safe and one risky asset, with constant investment…
We address the problem of portfolio optimization under the simplest coherent risk measure, i.e. the expected shortfall. As it is well known, one can map this problem into a linear programming setting. For some values of the external…
The product power throttling number of a graph is defined to study product throttling for power domination. The domination number of a graph is an upper bound for its product power throttling number. It is established that the two…
Complex systems consist of many interacting elements which participate in some dynamical process. The activity of various elements is often different and the fluctuation in the activity of an element grows monotonically with the average…
We study a two-species bidirectional exclusion process, and a single species variant, which is motivated by the motion of organelles and vesicles along microtubules. Specifically, we are interested in the clustering of the particles and…
The maximum achievable capacity from source to destination in a network is limited by the min-cut max-flow bound; this serves as a converse limit. In practice, link capacities often fluctuate due to dynamic network conditions. In this work,…
We consider the problem of the statistical uncertainty of the correlation matrix in the optimization of a financial portfolio. We show that the use of clustering algorithms can improve the reliability of the portfolio in terms of the ratio…
In a balancing network each processor has an initial collection of unit-size jobs (tokens) and in each round, pairs of processors connected by balancers split their load as evenly as possible. An excess token (if any) is placed according to…
We give an explicit algorithm and source code for computing optimal weights for combining a large number N of alphas. This algorithm does not cost O(N^3) or even O(N^2) operations but is much cheaper, in fact, the number of required…