Related papers: Modulated Information Flows in Financial Markets
An efficient conditioning technique, the so-called Brownian Bridge simulation, has previously been applied to eliminate pricing bias that arises in applications of the standard discrete-time Monte Carlo method to evaluate options written on…
The paper discusses multivariate self- and cross-exciting processes. We define a class of multivariate point processes via their corresponding stochastic intensity processes that are driven by stochastic jumps. Essentially, there is a jump…
In an incomplete market underpinned by the trinomial model, we consider two investors : an ordinary agent whose decisions are driven by public information and an insider who possesses from the beginning a surplus of information encoded…
We present results on simulations of a stock market with heterogeneous, cumulative information setup. We find a non-monotonic behaviour of traders' returns as a function of their information level. Particularly, the average informed agents…
A decision-maker periodically acquires information about a changing state, controlling both the timing and content of updates. I characterize optimal policies using a decomposition of the dynamic problem into optimal stopping and static…
Diffusion of information, spread of rumors and infectious diseases are all instances of stochastic processes that occur over the edges of an underlying network. Many times networks over which contagions spread are unobserved, and such…
It is widely accepted that there is strong persistence in the volatility of financial time series. The origin of the observed persistence, or long-range memory, is still an open problem as the observed phenomenon could be a spurious effect.…
Stock price change in financial market occurs through transactions in analogy with diffusion in stochastic physical systems. The analysis of price changes in real markets shows that long-range correlations of price fluctuations largely…
Dynamics of information flow in adaptively interacting stochastic processes is studied. We give an extended form of game dynamics for Markovian processes and study its behavior to observe information flow through the system. Examples of the…
High frequency data in finance have led to a deeper understanding on probability distributions of market prices. Several facts seem to be well stablished by empirical evidence. Specifically, probability distributions have the following…
We take a new look at the problem of disentangling the volatility and jumps processes of daily stock returns. We first provide a computational framework for the univariate stochastic volatility model with Poisson-driven jumps that offers a…
This article analyzes the behavior of a Brownian fluctuation process under a mixed strategic game setup. A variant of a compound Brownian motion has been newly proposed, which is called the Shifted Brownian Fluctuation Process to predict…
Trust is the invisible glue that holds together the fabric of societies, economic systems, and political institutions. Yet, its dynamics-especially in real-world settings remain unpredictable and difficult to control. While classical trust…
Market events such as order placement and order cancellation are examples of the complex and substantial flow of data that surrounds a modern financial engineer. New mathematical techniques, developed to describe the interactions of complex…
Information flow analysis has largely ignored the setting where the analyst has neither control over nor a complete model of the analyzed system. We formalize such limited information flow analyses and study an instance of it: detecting the…
We consider a directed random walk making either 0 or $+1$ moves and a Brownian bridge, independent of the walk, conditioned to arrive at point $b$ on time $T$. The Hamiltonian is defined as the sum of the square of increments of the bridge…
Literature is full of inference techniques developed to estimate the parameters of stochastic dynamical systems driven by the well-known Brownian noise. Such diffusion models are often inappropriate models to properly describe the dynamics…
We propose a new generalisation of jump-telegraph process with variable velocities and jumps. Amplitude of the jumps and velocity values are random, and they depend on the time spent by the process in the previous state of the underlying…
We study a simple model of the stochastic information filtering, in a randomly organized information system. For simplest versions of the model it appears to be possible to describe the filtering dynamics in terms of the master equations.…
Opinion dynamics concerns social processes through which populations or groups of individuals agree or disagree on specific issues. As such, modelling opinion dynamics represents an important research area that has been progressively…