Related papers: Measuring switching processes in financial markets…
We propose a general methodology to measure labour market dynamics, inspired by the search and matching framework, based on the estimate of the transition rates between labour market states. We show how to estimate instantaneous transition…
We use a random pinning procedure to investigate stable glassy states associated with large deviations of the activity in a model glass-former. We pin particles both from active (equilibrium) configurations and from stable (inactive) glassy…
Assuming a well-behaving quantum-to-classical transition, measuring large quantum systems should be highly informative with low measurement-induced disturbance, while the coupling between system and measurement apparatus is "fairly simple"…
In a recent article [Phys. Rev. Lett. 97 (2006), 107206], we have presented a class of states which is suitable as a variational set to find ground states in spin systems of arbitrary spatial dimension and with long-range entanglement.…
Numerical studies in random systems are plagued with strong finite-size effects and boundary effects. We introduce a window-measurement method as a practical solution to these difficulties. We observe physical quantities only within a…
We consider a mean-reverting stochastic volatility model which satisfies some relevant stylized facts of financial markets. We introduce an algorithm for the detection of peaks in the volatility profile, that we apply to the time series of…
We reformulate the Cont-Bouchaud model of financial markets in terms of classical "super-spins" where the spin value is a measure of the number of individual traders represented by a portfolio manager of an investment agency. We then extend…
This study emphasizes how crucial it is to visualize machine learning models, especially for the banking industry, in order to improve interpretability and support predictions in high stakes financial settings. Visual tools enable…
Value at Risk (VaR) and stress testing are two of the most widely used approaches in portfolio risk management to estimate potential market value losses under adverse market moves. VaR quantifies potential loss in value over a specified…
Empirical diagnosis of stability has received considerable attention, mostly focused on variance metrics for early warning signals of abrupt system change. Despite this, the theoretical foundation and application has been limited to…
Mean-field models of 2-spin Ising spin glasses with interaction matrices taken from ensembles which are invariant under O(N) transformations are studied. A general study shows that the nature of the spin glass transition can be deduced from…
Motivated by applications arising in networked systems, this work examines controlled regime-switching systems that stem from a mean-variance formulation. A main point is that the switching process is a hidden Markov chain. An additional…
We create a time series model for annual returns of three asset classes: the USA Standard & Poor (S&P) stock index, the international stock index, and the USA Bank of America investment-grade corporate bond index. Using this, we made an…
Most of parameters used to describe states and dynamics of financial market depend on proportions of the appropriate variables rather than on their actual values. Therefore, projective geometry seems to be the correct language to describe…
In this talk I review some recent developments which shed light on the main connections between structural glasses and mean-field spin glass models with a discontinuous transition. I also discuss the role of quantum fluctuations on the…
In this paper we calculate the mean number of metastable states for spin glasses on so called random thin graphs with couplings taken from a symmetric binary distribution $\pm J$. Thin graphs are graphs where the local connectivity of each…
We study the Edwards-Anderson model on a simple cubic lattice with a finite constant external field. We employ an indicator composed of a ratio of susceptibilities at finite wavenumbers, which was recently proposed to avoid the difficulties…
Regime detection is vital for the effective operation of trading and investment strategies. However, the most popular means of doing this, the two-state Markov-switching regression model (MSR), is not an optimal solution, as two volatility…
We use standard perturbation techniques originally formulated in quantum (statistical) mechanics in the analysis of a toy model of a stock market which is given in terms of bosonic operators. In particular we discuss the probability of…
The state space representation of active resident space objects can be posed in the form of a stochastic hybrid system. Satellite maneuvers may be accounted for according to control cost or heuristical considerations, yet it is possible to…