Related papers: Modulated Information Flows in Financial Markets
Causal inference seeks to identify cause-and-effect interactions in coupled systems. A recently proposed method by Liang detects causal relations by quantifying the direction and magnitude of information flow between time series. The…
We consider a pair of traders in a market where the information available to the second trader is a strict subset of the information available to the first trader. The traders make prices based on the information available concerning a…
Since its introduction, some sixty years ago, the Montroll-Weiss continuous time random walk has found numerous applications due its ease of use and ability to describe both regular and anomalous diffusion. Yet, despite its broad…
We present a Markovian market model driven by a hidden Brownian efficient price. In particular, we extend the queue-reactive model, making its dynamics dependent on the efficient price. Our study focuses on two sub-models: a signal-driven…
Financial markets convert the incremental arrival of information into asset price changes. In a sandpile model grains of sand represent bits of data, and the size of an avalanche, governed by a scaling law, is linked to price volatility.…
We discuss the role of information entropy on the behaviour of random processes, and how this might take effect in the dynamics of financial market prices. We then go on to show how the Open Quantum Systems approach can be used as a more…
This paper provides sufficient conditions for the time of bankruptcy (of a company or a state) for being a totally inaccessible stopping time and provides the explicit computation of its compensator in a framework where the flow of market…
A Markovian modulation captures the trend in the market and influences the market coefficients accordingly. The different scenarios presented by the market are modeled as the distinct states of a discrete-time Markov chain. In our paper, we…
In this article we consider an optimization problem of expected utility maximization of continuous-time trading in a financial market. This trading is constrained by a benchmark for a utility-based shortfall risk measure. The market…
A well-interpretable measure of information has been recently proposed based on a partition obtained by intersecting a random sequence with its moving average. The partition yields disjoint sets of the sequence, which are then ranked…
In this paper we consider a jump-diffusion dynamic whose parameters are driven by a continuous time and stationary Markov Chain on a finite state space as a model for the underlying of European contingent claims. For this class of processes…
A market with asymmetric information can be viewed as a repeated exchange game between the informed sector and the uninformed one. In a market with risk-neutral agents, De Meyer [2010] proves that the price process should be a particular…
We consider a viable market model. Suppose that new information arrives at the market. We are interested in modeling the market reaction facing to the change of information. In particular we seek for the limit on the intensity of…
Fluctuations in biochemical networks, e.g., in a living cell, have a complex origin that precludes a description of such systems in terms of bipartite or multipartite processes, as is usually done in the framework of stochastic and/or…
We introduce a new residual-bridge proposal for approximately simulating conditioned diffusions. This proposal is formed by applying the modified diffusion bridge approximation of Durham and Gallant (2002) to the difference between the true…
Information flow between components of a system takes many forms and is key to understanding the organization and functioning of large-scale, complex systems. We demonstrate three modalities of information flow from time series X to time…
In this paper we provide a comprehensive analysis of a structural model for the dynamics of prices of assets traded in a market originally proposed in [1]. The model takes the form of an interacting generalization of the geometric Brownian…
We study a continuous time economy where throughout time, insiders receive private signals regarding the risky assets' terminal payoff. We prove existence of a partial communication equilibrium where, at each private signal time, the public…
We present a model of financial markets originally proposed for a turbulent flow, as a dynamic basis of its intermittent behavior. Time evolution of the price change is assumed to be described by Brownian motion in a power-law potential,…
In this paper, a network-based stochastic information propagation model is developed. The information flow is modeled by a probabilistic differential equation system. The numerical solution of these equations leads to the expected number of…