Related papers: Can Turnover Go to Zero?
We consider N single server infinite buffer queues with service rate beta. Customers arrive at rate N times alpha,choose L queues uniformly, and join the shortest one. The stability condition is alpha strictly less than beta. We study in…
In this paper we consider the problem of minimising drawdown in a portfolio of financial assets. Here drawdown represents the relative opportunity cost of the single best missed trading opportunity over a specified time period. We formulate…
This paper deals with the distributed and boundary controllability of the so called Leray-$\alpha$ model. This is a regularized variant of the Navier-Stokes system ($\alpha$ is a small positive parameter) that can also be viewed as a model…
Several infinite products are studied that satisfy the transformation relation of the type $f(\alpha)=f(1/\alpha)$. For certain values of the parameters these infinite products reduce to modular forms. Finite counterparts of these infinite…
In the context of understanding the nature of the risk transformation process of the financial system we propose an iterative risk-trading game between several agents who build their trading strategies based on a general utility setting.…
Given a sequence of numbers $\{p_n\}$ in $[0,1]$, consider the following experiment. First, we flip a fair coin and then, at step $n$, we turn the coin over to the other side with probability $p_n$, $n\ge 2$. What can we say about the…
Turbulent flows are out-of-equilibrium because the energy supply at large scales and its dissipation by viscosity at small scales create a net transfer of energy among all scales. Here, the energy cascade is approximated by a combined…
If the inter-arrival time distribution of a renewal process is regularly varying with index $\alpha\in\left( 0,1\right) $ (i.e. the inter-arrival times have infinite mean) and if $A\left( t\right) $ is the associated age process at time…
Significant improvements have been achieved in motion control systems with the availability of high speed power switches and microcomputers on the market. Even though motor drivers are able to provide high torque control bandwidth under…
The average length and average relaxation time of attractors in sequence processing neural networks are investigated. The simulation results show that a critical point of $\alpha $, the loading ratio, is found. Below the turning point, the…
The aim of this short note is to establish a limit theorem for the optimal trading strategies in the setup of the utility maximization problem with proportional transaction costs. This limit theorem resolves the open question from [4]. The…
How do you bring your assets as close as possible to your target allocation by only investing a fixed amount of additional funds, and not selling any assets? We look at two versions of this problem which have simple, closed form solutions…
The only input to attain the portfolio weights of global minimum variance portfolio (GMVP) is the covariance matrix of returns of assets being considered for investment. Since the population covariance matrix is not known, investors use…
Discrete time hedging in a complete diffusion market is considered. The hedge portfolio is rebalanced when the absolute difference between delta of the hedge portfolio and the derivative contract reaches a threshold level. The rate of…
We propose a model of random diffusion to investigate flow fluctuations in complex networks. We derive an analytical law showing that the dependence of fluctuations with the mean traffic in a network is ruled by the delicate interplay of…
We construct a zero-entropy weakly mixing finite-valued process with the exponential limit law for return resp. hitting times. This limit law is obtained in almost every point, taking the limit along the full sequence of cylinders around…
Yes, but only at short lags. In this paper we investigate the relationship between factor momentum and stock momentum. Using a sample of 72 factors documented in the literature, we first replicate earlier findings that factor momentum…
We study clustering properties of networks of single integrator nodes over a directed graph, in which the nodes converge to steady-state values. These values define clustering groups of nodes, which depend on interaction topology, edge…
We show that wealth processes in the block-shaped order book model of Obizhaeva/Wang converge to their counterparts in the reduced-form model proposed by Almgren/Chriss, as the resilience of the order book tends to infinity. As an…
Fluctuations may govern the fate of an interacting particle system even on the mean-field level. This is demonstrated via a three species cyclic trapping reaction with a large, yet finite number of particles, where the final number of…