Related papers: Can Turnover Go to Zero?
We present a generator of random networks where both the degree-dependent clustering coefficient and the degree distribution are tunable. Following the same philosophy as in the configuration model, the degree distribution and the…
In this paper we investigate a new class of growth rate maximization problems based on impulse control strategies such that the average number of trades per time unit does not exceed a fixed level. Moreover, we include proportional…
Collapse, or a gravitational-like phase transition is studied in a microcanonical ensemble of particles with an attractive $1/r^{\alpha}$ potential. A mean field continuous integral equation is used to determine a saddle-point density…
We study convergence to stationarity for random walks on dynamic random digraphs with given degree sequences. The digraphs undergo full regeneration at independent geometrically distributed random time intervals with parameter $\alpha$.…
Although there is a wide use of technical trading rules in stock markets, the profitability of them still remains controversial. This paper first presents and proves the upper bound of cumulative return, and then introduces many of…
We consider the economic problem of optimal consumption and investment with power utility. We study the optimal strategy as the relative risk aversion tends to infinity or to one. The convergence of the optimal consumption is obtained for…
In financial markets, the order flow, defined as the process assuming value one for buy market orders and minus one for sell market orders, displays a very slowly decaying autocorrelation function. Since orders impact prices, reconciling…
This paper is concerned with a pairs trading rule. The idea is to monitor two historically correlated securities. When divergence is underway, i.e., one stock moves up while the other moves down, a pairs trade is entered which consists of a…
By proving a local limit theorem for higher-order transitions, we determine the time required for necklace chains to be close to stationarity. Because necklace chains, built by arranging identical smaller chains around a directed cycle, are…
We investigate the random permutation matrices induced by the Chinese restaurant processes with $(\alpha,\theta)$-seating. When $\alpha=0,\theta>0$, the permutations are those following Ewens measures on symmetric groups, and have been…
We consider point clouds obtained as random samples of a measure on a Euclidean domain. A graph representing the point cloud is obtained by assigning weights to edges based on the distance between the points they connect. Our goal is to…
The quantum max-flow min-cut conjecture relates the rank of a tensor network to the minimum cut in the case that all tensors in the network are identical\cite{mfmc1}. This conjecture was shown to be false in Ref. \onlinecite{mfmc2} by an…
The aim of this article is to show that the Monge-Kantorovich problem is the limit of a sequence of entropy minimization problems when a fluctuation parameter tends down to zero. We prove the convergence of the entropic values to the…
Fluctuation scaling is observed phenomenon from complex networks through finance to ecology. It means that the variance and the mean of a specific quantity are related as $\ev{\sigma^2|n}\propto \ev{n|A}^{2\alpha}$ with $1/2\geq \alpha \geq…
Define the non-overlapping return time of a random process to be the number of blocks that we wait before a particular block reappears. We prove a Central Limit Theorem based on these return times. This result has applications to entropy…
This article deals with the problem of optimal allocation of capital to corporate bonds in fixed income portfolios when there is the possibility of correlated defaults. Under fairly general assumptions for the distribution of the total net…
The future power grid may rely on distributed optimization to determine the set-points for huge numbers of distributed energy resources. There has been significant work on applying distributed algorithms to optimal power flow (OPF)…
Control of drawdown, that is, the control of the drops in wealth over time from peaks to subsequent lows, is of great concern from a risk management perspective. With this motivation in mind, the focal point of this paper is to address the…
The paper is concerned with a scalar balance law, where the source term depends on a control function $\alpha(t)$. Given a control $\alpha\in \mathbf{L}^\infty\bigl([0,T]\bigr)$, it is proved that, for generic initial data $\bar u \in…
For years limited Monte Carlo simulations have led to the suspicion that the time to failure of hierarchically organized load-transfer models of fracture is non-zero for sets of infinite size. This fact could have a profound significance in…