Related papers: Liquidity commonality does not imply liquidity res…
Runtime verification enables checking temporal logic specifications over individual execution traces and offers a scalable alternative to exhaustive formal verification. In practice, systems must satisfy dozens to hundreds of temporal…
We propose lacunarity as a novel recurrence quantification measure and illustrate its efficacy to detect dynamical regime transitions which are exhibited by many complex real-world systems. We carry out a recurrence plot based analysis for…
The relationship between overparameterization, stability, and generalization remains incompletely understood in the setting of discontinuous classifiers. We address this gap by establishing a generalization bound for finite function classes…
Complex systems are usually non-stationary and their dynamics is often dominated by collective effects. Collectivity, defined as coherent motion of the whole system or of some of its parts, manifests itself in the time-dependent structures…
In this paper, we propose a price staleness factor model that accounts for pervasive market friction across assets and incorporates relevant covariates. Using large-panel high-frequency data, we derive the maximum likelihood estimators of…
We investigate the statistical evidence for the use of `rough' fractional processes with Hurst exponent $H< 0.5$ for the modeling of volatility of financial assets, using a model-free approach. We introduce a non-parametric method for…
Scale invariance, collective behaviours and structural reorganization are crucial for portfolio management (portfolio composition, hedging, alternative definition of risk, etc.). This lack of any characteristic scale and such elaborated…
Income- and price-elasticity of demand quantify the responsiveness of markets to changes in income, and in prices, respectively. Under the assumptions of utility maximization and preference-independence (additive preferences), mathematical…
The fidelity-based smooth min-relative entropy is a distinguishability measure that has appeared in a variety of contexts in prior work on quantum information, including resource theories like thermodynamics and coherence. Here we provide a…
Norms of Persistent Homology introduced in topological data analysis are seen as indicators of system instability, analogous to the changing predictability that is captured in financial market uncertainty indexes. This paper demonstrates…
Maintainability analysis is a cornerstone of reliability engineering. While the Markov approach is the classical analytical foundation, its reliance on the exponential distribution for failure and repair times is a major and often…
Robust state estimation in coupled dynamical systems depends critically not only on sensor quality but on the structural alignment between observation channels and the system's intrinsic dynamics. This paper develops a rigorous framework…
Flexible loads are a resource for the Balancing Authority (BA) of the future to aid in the balance of power supply and demand. In order to be used as a resource, the BA must know the capacity of the flexible loads to vary their power demand…
We postulates, and then show experimentally, that liquidity deficit is the driving force of the markets. In the first part of the paper a kinematic of liquidity deficit is developed. The calculus-like approach, which is based on…
Despite their outstanding performance, large language models (LLMs) suffer notorious flaws related to their preference for simple, surface-level textual relations over full semantic complexity of the problem. This proposal investigates a…
Characterization of real-world complex systems increasingly involves the study of their topological structure using graph theory. Among global network properties, small-world property, consisting in existence of relatively short paths…
We analyze intermittence and roughening of an elastic interface or domain wall pinned in a periodic potential, in the presence of random-bond disorder in (1+1) and (2+1) dimensions. Though the ensemble average behavior is smooth, the…
We develop a robust Bayesian functional principal component analysis (RB-FPCA) method that utilizes the skew elliptical class of distributions to model functional data, which are observed over a continuous domain. This approach effectively…
Jumps and market microstructure noise are stylized features of high-frequency financial data. It is well known that they introduce bias in the estimation of volatility (including integrated and spot volatilities) of assets, and many methods…
In the current density functional theory of linear and nonlinear time-dependent phenomena, the treatment of exchange and correlation beyond the level of the adiabatic local density approximation is shown to lead to the appearance of…