Related papers: Modulated Information Flows in Financial Markets
Accurate and efficient fluid flow models are essential for applications relating to many physical phenomena including geophysical, aerodynamic, and biological systems. While these flows may exhibit rich and multiscale dynamics, in many…
This paper motivates the use of random-bridges -- stochastic processes conditioned to take target distributions at fixed timepoints -- in the realm of generative modelling. Herein, random-bridges can act as stochastic transports between two…
Internet platforms' traffic defines important characteristics of platforms, such as pricing of services, advertisements, speed of operations. One can estimate the traffic with the traditional time series models like ARIMA, Holt-Winters,…
Systems where resource availability approaches a critical threshold are common to many engineering and scientific applications and often necessitate the estimation of first passage time statistics of a Brownian motion (Bm) driven by…
What does the informational complexity of dynamical networked systems tell us about intrinsic mechanisms and functions of these complex systems? Recent complexity measures such as integrated information have sought to operationalize this…
The model consists of a signal process $X$ which is a general Brownian diffusion process and an observation process $Y$, also a diffusion process, which is supposed to be correlated to the signal process. We suppose that the process $Y$ is…
We explore the dynamics of information systems. We show that the driving force for information dynamics is determined by both the information landscape and information flux which determines the equilibrium time reversible and the…
While information processing in complex systems can be described in abstract, general terms, there are cases in which the relation between these computations and the physical substrate of the underlying system is itself of interest.…
We propose and study a simple stochastic model for the dynamics of a limit order book, in which arrivals of market order, limit orders and order cancellations are described in terms of a Markovian queueing system. Through its analytical…
A modular fluid-flow model for network congestion analysis and control is proposed. The model is derived from an information conservation law stating that the information is either in transit, lost or received. Mathematical models of…
Information diffusion in online social networks is affected by the underlying network topology, but it also has the power to change it. Online users are constantly creating new links when exposed to new information sources, and in turn…
Survival analysis, or time-to-event modelling, is a classical statistical problem that has garnered a lot of interest for its practical use in epidemiology, demographics or actuarial sciences. Recent advances on the subject from the point…
Given a Markovian Brownian martingale $Z$, we build a process $X$ which is a martingale in its own filtration and satisfies $X_1 = Z_1$. We call $X$ a dynamic bridge, because its terminal value $Z_1$ is not known in advance. We compute…
We model financial transactions as random walks on activity-driven temporal networks. By enforcing fund conservation, our framework analytically derives heavy-tailed distributions for the stationary balances and transaction sizes.…
Estimating Mutual Information (MI), a key measure of dependence of random quantities without specific modelling assumptions, is a challenging problem in high dimensions. We propose a novel mutual information estimator based on parametrizing…
Financial returns are known to exhibit heavy tails, volatility clustering and abrupt jumps that are poorly captured by classical diffusion models. Advances in machine learning have enabled highly flexible functional forms for conditional…
In the regime switching extension of Black-Scholes-Merton model of asset price dynamics, one assumes that the volatility coefficient evolves as a hidden pure jump process. Under the assumption of Markov regime switching, we have considered…
The principle of absence of arbitrage opportunities allows obtaining the distribution of stock price fluctuations by maximizing its information entropy. This leads to a physical description of the underlying dynamics as a random walk…
Signals consisting of a sequence of pulses show that inherent origin of the 1/f noise is a Brownian fluctuation of the average interevent time between subsequent pulses of the pulse sequence. In this paper we generalize the model of…
Pairwise interactions between individuals are taken as fundamental drivers of collective behavior responsible for group cohesion and decision-making. While an individual directly influences only a few neighbors, over time indirect…