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This paper proposes a unified theoretical model to identify and test a comprehensive set of probabilistic updating biases within a single framework. The model achieves separate identification by focusing on the updating of belief…
A standard practice in statistical hypothesis testing is to mention the p-value alongside the accept/reject decision. We show the advantages of mentioning an e-value instead. With p-values, it is not clear how to use an extreme observation…
Missing data is a common problem in finance and often requires methods to fill in the gaps, or in other words, imputation. In this work, we focused on the imputation of missing implied volatilities for FX options. Prior work has used…
A mathematical framework for Continuous Time Finance based on operator algebraic methods offers a new direct and entirely constructive perspective on the field and leads to new numerical analysis techniques. This is partly a review paper as…
An Entropic Dynamics of exchange rates is laid down to model the dynamics of foreign exchange rates, FX, and European Options on FX. The main objective is to represent an alternative framework to model dynamics. Entropic inference is an…
State of the art language models return a natural language text continuation from any piece of input text. This ability to generate coherent text extensions implies significant sophistication, including a knowledge of grammar and semantics.…
While there have been many attempts, going back to BAN logic, to base reasoning about security protocols on epistemic notions, they have not been all that successful. Arguably, this has been due to the particular logics chosen. We present a…
In this short paper, we study the simulation of a large system of stochastic processes subject to a common driving noise and fast mean-reverting stochastic volatilities. This model may be used to describe the firm values of a large pool of…
Autoepistemic logic extends propositional logic by the modal operator L. A formula that is preceded by an L is said to be "believed". The logic was introduced by Moore 1985 for modeling an ideally rational agent's behavior and reasoning…
The stochastic leverage effect, defined as the standardized covariation between the returns and their related volatility, is analyzed in a stochastic volatility model set-up. A novel estimator of the effect is defined using a pre-estimation…
ProbLog is a popular probabilistic logic programming language/tool, widely used for applications requiring to deal with inherent uncertainties in structured domains. In this paper we study connections between ProbLog and a variant of…
Stochastic volatility models describe asset prices $S_t$ as driven by an unobserved process capturing the random dynamics of volatility $\sigma_t$. Here, we quantify how much information about $\sigma_t$ can be inferred from asset prices…
LLMs have demonstrated significant potential in quantitative finance by processing vast unstructured data to emulate human-like analytical workflows. However, current LLM-based methods primarily follow either an Asset-Centric paradigm…
Traditional statistical estimation, or statistical inference in general, is static, in the sense that the estimate of the quantity of interest does not change the future evolution of the quantity. In some sequential estimation problems…
Symbolic trajectory evaluation (STE) is a model checking technique that has been successfully used to verify industrial designs. Existing implementations of STE, however, reason at the level of bits, allowing signals to take values in {0,…
We present a computational model for Parsing Expression Grammars (PEGs). The predecessor of PEGs top-down parsing languages (TDPLs) were discovered by A. Birman and J. Ullman in the 1960-s, B. Ford showed in 2004 that both formalisms…
Recent advances in computing power and the potential to make more realistic assumptions due to increased flexibility have led to the increased prevalence of simulation models in economics. While models of this class, and particularly…
Volatility, as a primary indicator of financial risk, forms the foundation of classical frameworks such as Markowitz's Portfolio Theory and the Efficient Market Hypothesis (EMH). However, its conventional use rests on assumptions-most…
In previous work [Lewitzka, Log. J. IGPL 2017], we presented a hierarchy of classical modal systems, along with algebraic semantics, for the reasoning about intuitionistic truth, belief and knowledge. Deviating from G\"odel's interpretation…
We introduce a new open information extraction (OIE) benchmark for pre-trained language models (LM). Recent studies have demonstrated that pre-trained LMs, such as BERT and GPT, may store linguistic and relational knowledge. In particular,…