Related papers: Survival Models for the Duration of Bid-Ask Spread…
This paper presents an algorithm for approximating certain types of dynamical systems given by a system of ordinary delay differential equations by a Boolean network model. Often Boolean models are much simpler to understand than complex…
We review the evidence that the erratic dynamics of markets is to a large extent of endogenous origin, i.e. determined by the trading activity itself and not due to the rational processing of exogenous news. In order to understand why and…
In this paper, we consider a distributionally robust resource planning model inspired by a real-world service industry problem. In this problem, there is a mixture of known demand and uncertain future demand. Prior to having full knowledge…
The availability of data on economic uncertainty sparked a lot of interest in models that can timely quantify episodes of international spillovers of uncertainty. This challenging task involves trading off estimation accuracy for more…
Mobility-on-demand (MoD) systems represent a rapidly developing mode of transportation wherein travel requests are dynamically handled by a coordinated fleet of vehicles. Crucially, the efficiency of an MoD system highly depends on how well…
Physical risks, such as droughts, floods, rising temperatures, earthquakes, infrastructure failures, and geopolitical conflicts, can ripple through global supply chains, raising costs, and constraining production across industries.…
Models for predicting the time of a future event are crucial for risk assessment, across a diverse range of applications. Existing time-to-event (survival) models have focused primarily on preserving pairwise ordering of estimated event…
We consider the problem of preparing for a disaster season by determining where to open warehouses and how much relief item inventory to preposition in each. Then, after each disaster, prepositioned items are distributed to demand nodes…
The estimation of marginal loan write-off probabilities is a non-trivial task when modelling the loss given default (LGD) risk parameter in credit risk. We explore two types of survival models in estimating the overall write-off probability…
Equity auctions display several distinctive characteristics in contrast to continuous trading. As the auction time approaches, the rate of events accelerates causing a substantial liquidity buildup around the indicative price. This, in…
In this study we examine the evolution of price, volume, and the bid-ask spread after extreme 15 minute intraday price changes on the NYSE and the NASDAQ. We find that due to strong behavioral trading there is an overreaction. Furthermore…
The growing prevalence of drift and shocks in modern decision environments exposes a gap between classical optimization theory and real-world practice. Standard models assume fixed objectives, yet organizations from hospitals to power grids…
Survival extropy, which quantifies the uncertainty associated with the remaining lifetime distribution, provides an information-theoretic perspective on survival behavior. We consider a divergence measure based on survival extropy and…
Anomalous diffusions arise as scaling limits of continuous-time random walks (CTRWs) whose innovation times are distributed according to a power law. The impact of a non-exponential waiting time does not vanish with time and leads to…
Bid-ask spread is taken as an important measure of the financial market liquidity. In this article, we study the dynamics of the spread return and the spread volatility of four liquid stocks in the Chinese stock market, including the memory…
We propose a unified mean-field framework that bridges the dynamics of informal financial markets and formal markets governed by Limit Order Books (LOBs). Both settings are modeled as interacting particle systems on a 1D price lattice, with…
The statistics of persistent events, recently introduced in the context of phase ordering dynamics, is investigated in the case of the 1D lattice random walk in discrete time. We determine the survival probability of the random walker in…
We introduce an online mathematical framework for survival analysis, allowing real time adaptation to dynamic environments and censored data. This framework enables the estimation of event time distributions through an optimal second order…
Survival prediction often involves estimating the time-to-event distribution from censored datasets. Previous approaches have focused on enhancing discrimination and marginal calibration. In this paper, we highlight the significance of…
In many real-world sequential decision-making problems, an action does not immediately reflect on the feedback and spreads its effects over a long time frame. For instance, in online advertising, investing in a platform produces an…