Related papers: Modulated Information Flows in Financial Markets
Non-equilibrium phenomena occur not only in physical world, but also in finance. In this work, stochastic relaxational dynamics (together with path integrals) is applied to option pricing theory. A recently proposed model (by Ilinski et…
Information flow or information transfer is an important concept in dynamical systems which has applications in a wide variety of scientific disciplines. In this study, we show that a rigorous formalism can be established in the context of…
We consider a method of lines (MOL) approach to determine prices of European and American exchange options when underlying asset prices are modelled with stochastic volatility and jump-diffusion dynamics. As the MOL, as with any other…
The studies of the dynamics of topical dataflow of new information in the framework of a logistic model were suggested. The condition of topic balance, when the number of publications on all topics is proportional to the information space…
Decision making in modern stochastic systems, including e-commerce platforms, financial markets and healthcare systems, has evolved into a multifaceted process that combines information acquisition and adaptive information sources. This…
Individual components such as cells, particles, or agents within a larger system often require detailed understanding of their relative position to act accordingly, enabling the system as a whole to function in an organised and efficient…
Hidden stochastic effects acting uniformly on a many-particle system can generate strong correlations and macroscopic relative fluctuations that persist at large system sizes, even when the particles themselves remain causally independent.…
We study a generalization of the Brownian bridge as a stochastic process that models the position and velocity of inertial particles between the two end-points of a time interval. The particles experience random acceleration and are assumed…
This paper studies an optimal trading problem that incorporates the trader's market view on the terminal asset price distribution and uninformative noise embedded in the asset price dynamics. We model the underlying asset price evolution by…
We study a financial market where the risky asset is modelled by a geometric It\^o-L\'{e}vy process, with a singular drift term. This can for example model a situation where the asset price is partially controlled by a company which…
The brain works as a dynamic system to process information. Various challenges remain in understanding the connection between information and dynamics attributes in the brain. The present research pursues exploring how the characteristics…
We price European and American exchange options where the underlying asset prices are modelled using a Merton (1976) jump-diffusion with a common Heston (1993) stochastic volatility process. Pricing is performed under an equivalent…
An asymmetric information model is introduced for the situation in which there is a small agent who is more susceptible to the flow of information in the market than the general market participant, and who tries to implement strategies…
The optimal information feedback has a significant effect on many socioeconomic systems like stock market and traffic systems aiming to make full use of resources. In this paper, we studied dynamics of traffic flow with real-time…
We consider the problem of valuing a European option written on an asset whose dynamics are described by an exponential L\'evy-type model. In our framework, both the volatility and jump-intensity are allowed to vary stochastically in time…
We consider particles that are conditioned to initial and final states. The trajectory of these particles is uniquely shaped by the intricate interplay of internal and external sources of randomness. The internal randomness is aptly…
We derive a modular fluid-flow network congestion control model based on a law of fundamental nature in networks: the conservation of information. Network elements such as queues, users, and transmission channels and network performance…
Following a Geometrical Brownian Motion extension into an Irrational Fractional Brownian Motion model, we re-examine agent behaviour reacting to time dependent news on the log-returns thereby modifying a financial market evolution. We…
We develop a comprehensive mathematical framework for polynomial jump-diffusions in a semimartingale context, which nest affine jump-diffusions and have broad applications in finance. We show that the polynomial property is preserved under…
We study a one-dimensional Markov modulated random walk with jumps. It is assumed that amplitudes of jumps as well as a chosen velocity regime are random and depend on a time spent by the process at a previous state of the underlying Markov…