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Recommender Systems have proliferated as general-purpose approaches to model a wide variety of consumer interaction data. Specific instances make use of signals ranging from user feedback, item relationships, geographic locality, social…
Eigenvalue analysis is a well-established tool for stability analysis of dynamical systems. However, there are situations where eigenvalues miss some important features of physical models. For example, in models of incompressible fluid…
We introduce a novel signature approach for pricing and hedging path-dependent options with instantaneous and permanent market impact under a mean-quadratic variation criterion. Leveraging the expressive power of signatures, we recast an…
A growing part of the behavioral finance literature has addressed some of the stylized facts of financial time series as macroscopic patterns emerging from herding interactions among groups of agents with heterogeneous trading strategies…
We introduce a stochastic price model where, together with a random component, a moving average of logarithmic prices contributes to the price formation. Our model is tested against financial datasets, showing an extremely good agreement…
In this paper we study the pricing of exchange options when underlying assets have stochastic volatility and stochastic correlation. An approximation using a closed-form approximation based on a Taylor expansion of the conditional price is…
Opportunities for stochastic arbitrage in an options market arise when it is possible to construct a portfolio of options which provides a positive option premium and which, when combined with a direct investment in the underlying asset,…
Understanding how prices evolve over time often requires peeling back the layers of market noise to identify clear, structural behavior. Many of the tools commonly used for this purpose technical indicators, chart heuristics, or even…
We focus on the influence of external sources of information upon financial markets. In particular, we develop a stochastic agent-based market model characterized by a certain herding behavior as well as allowing traders to be influenced by…
A recent trend in probabilistic inference emphasizes the codification of models in a formal syntax, with suitable high-level features such as individuals, relations, and connectives, enabling descriptive clarity, succinctness and…
Financial markets are integral to a country's economic success, yet their complex nature raises challenging issues for predicting their behaviors. There is a growing demand for an integrated system that explores the vast and diverse data in…
We explore a stochastic model that enables capturing external influences in two specific ways. The model allows for the expression of uncertainty in the parametrisation of the stochastic dynamics and incorporates patterns to account for…
This paper considers the problem of steering the aggregative behavior of a population of noncooperative price-taking agents towards a desired behavior. Different from conventional pricing schemes where the price is fully available for…
In this paper new analytical and numerical approaches to valuating path-dependent options of European type have been developed. The model of stochastic volatility as a basic model has been chosen. For European options we could improve the…
Stochastic differential equation (SDE) models are the foundation for pricing and hedging financial derivatives. The drift and volatility functions in SDE models are typically chosen to be algebraic functions with a small number (less than…
The aim of this work is to build financial crisis indicators based on spectral properties of the dynamics of market data. After choosing an optimal size for a rolling window, the historical market data in this window is seen every trading…
Model predictive control strategies require to solve in an sequential manner, many, possibly non-convex, optimization problems. In this work, we propose an interacting stochastic agent system to solve those problems. The agents evolve in…
We propose the use of statistical emulators for the purpose of valuing mortality-linked contracts in stochastic mortality models. Such models typically require (nested) evaluation of expected values of nonlinear functionals of…
This paper develops a mathematical framework for the analysis of continuous-time trading strategies which, in contrast to the classical setting of continuous-time mathematical finance, does not rely on stochastic integrals or other…
Financial forecasting plays an important role in making informed decisions for financial stakeholders, specifically in the stock exchange market. In a traditional setting, investors commonly rely on the equity research department for…