Related papers: Second order stochastic differential models for fi…
A market model in Stochastic Portfolio Theory is a finite system of strictly positive stochastic processes. Each process represents the capitalization of a certain stock. If at any time no stock dominates almost the entire market, which…
We present here two examples of stochastic modelings of social phenomena. The first topic is pedestrian counter flow. Two groups of model pedestrians move in opposite directions and create congestions. It will be shown that this congestion…
This paper considers a non-Markov control problem arising in a financial market where asset returns depend on hidden factors. The problem is non-Markov because nonlinear filtering is required to make inference on these factors, and hence…
Periodic recurrence is a prominent behavioural of many biological phenomena, including cell cycle and circadian rhythms. Although deterministic models are commonly used to represent the dynamics of periodic phenomena, it is known that they…
Based on the analog between the stochastic dynamics and quantum harmonic oscillator, we propose a market force driving model to generalize the Black-Scholes model in finance market. We give new schemes of option pricing, in which we can…
Efficiently accommodating uncertain renewable resources in wholesale electricity markets is among the foremost priorities of market regulators in the US, UK and EU nations. However, existing deterministic market designs fail to internalize…
The second-largest order statistic is of special importance in reliability theory since it represents the time to failure of a $2$-out-of-$n$ system. Consider two $2$-out-of-$n$ systems with heterogeneous random lifetimes. The lifetimes are…
In this paper we investigate the implications of having a varying second slow-roll index on the canonical scalar field inflationary dynamics. We shall be interested in cases that the second slow-roll can take small values and…
Existence of stochastic financial equilibria giving rise to semimartingale asset prices is established under a general class of assumptions. These equilibria are expressed in real terms and span complete markets or markets with withdrawal…
Non-uniform sampling arises when an experimenter does not have full control over the sampling characteristics of the process under investigation. Moreover, it is introduced intentionally in algorithms such as Bayesian optimization and…
We further study the stochastic model discussed in Ref.[2] in which positive and negative particles diffuse in an asymmetric, CP invariant way on a ring. The positive particles hop clockwise, the negative counter-clockwise and…
We analyse a second-order SPDE model in multiple space dimensions and develop estimators for the parameters of this model based on discrete observations of a solution in time and space on a bounded domain. While parameter estimation for one…
We start with the idea that open quantum systems can be used to represent financial markets by modelling events from the external environment and their impact on the market price. We show how to characterize distinct orbits of the time…
We introduce a simple model for addressing the controversy in the study of financial systems, sometimes taken as brownian-like processes and other as critical systems with fluctuations of arbitrary magnitude. The model considers a…
We investigate an energy-based formulation of the two-field poroelasticity model and the related multiple-network model as they appear in geosciences or medical applications. We propose a port-Hamiltonian formulation of the system…
In economics, construction of perfect models in a way that would be comparable to the standards customary in physical sciences is generally not feasible. In particular, the observed value for an economic equilibrium may deviate…
We provide simple models for the utility function (or psychology) of an actor trading a multitude of goods for money. In this framework, money has no intrinsic consumption value, but is required as a medium of exchange. A collection of such…
In the present work we introduce a novel multi-agent model with the aim to reproduce the dynamics of a double auction market at microscopic time scale through a faithful simulation of the matching mechanics in the limit order book. The…
An innovative extension of Geometric Brownian Motion model is developed by incorporating a weighting factor and a stochastic function modelled as a mixture of power and trigonometric functions. Simulations based on this Modified Brownian…
This article is the second one in a series on the use of scaling invariance in finance. In the first article (cond-mat/9906048), we introduced a new formalism for the pricing of derivative securities, which focusses on tradable objects…