Related papers: Modulated Information Flows in Financial Markets
The measured time series from complex systems are renowned for their intricate stochastic behavior, characterized by random fluctuations stemming from external influences and nonlinear interactions. These fluctuations take diverse forms,…
Diffusion bridge models in both continuous and discrete state spaces have recently become powerful tools in the field of generative modeling. In this work, we leverage the discrete state space formulation of bridge matching models to…
In this paper, we study a continuous time structural asset value model for two correlated firms using a two-dimensional Brownian motion. We consider the situation of incomplete information, where the information set available to the market…
The present paper proposes a new framework for describing the stock price dynamics. In the traditional geometric Brownian motion model and its variants, volatility plays a vital role. The modern studies of asset pricing expand around…
This paper presents a method for forecasting limit order book durations using a self-exciting flexible residual point process. High-frequency events in modern exchanges exhibit heavy-tailed interarrival times, posing a significant challenge…
Biological organisms adapt to changes by processing informations from different sources, most notably from their ancestors and from their environment. We review an approach to quantify these informations by analyzing mathematical models of…
There is currently growing interest in modeling the information diffusion on social networks across multi-disciplines. The majority of the corresponding research has focused on information diffusion independently, ignoring the network…
This article is devoted to some time-changed stochastic models based on multivariate stable processes. The considered models have several advantages in comparison with classical time-changed Brownian motions - for instance, it turns out…
We consider the filtering problem of estimating a hidden random variable $X$ by noisy observations. The noisy observation process is constructed by a randomised Markov bridge (RMB) $(Z_t)_{t\in [0,T]}$ of which terminal value is set to…
The mutual information between two jointly distributed random variables $X$ and $Y$ is a functional of the joint distribution $P_{XY},$ which is sometimes difficult to handle or estimate. A coarser description of the statistical behavior of…
We consider a market model where there are two levels of information. The public information generated by the financial assets, and a larger flow of information that contains additional knowledge about a random time. This random time can…
We attempt to explain stock market dynamics in terms of the interaction among three variables: market price, investor opinion and information flow. We propose a framework for such interaction and apply it to build a model of stock market…
Recent developments have created the ability to quantify information flow among components that interact in a dynamical system, and have led to significant advances in characterizing the dependence between the variables involved. In…
We introduce a statistical test for simultaneous jumps in the price of a financial asset and its volatility process. The proposed test is based on high-frequency data and is robust to market microstructure frictions. For the test, local…
A new approach to obtaining market--directional information, based on a non-stationary solution to the dynamic equation "future price tends to the value that maximizes the number of shares traded per unit time" [1] is presented. In our…
One of the shortcomings of the Black and Scholes model on option pricing is the assumption that trading of the underlying asset does not affect the price of that asset. This assumption can be fulfilled only in perfectly liquid markets.…
Signals coming from multivariate higher order conditional moments as well as the information contained in exogenous covariates, can be effectively exploited by rational investors to allocate their wealth among different risky investment…
We model the price of a stock via a Lang\'{e}vin equation with multi-dimensional fluctuations coupled in the price and in time. We generalize previous models in that we assume that the fluctuations conditioned on the time step are compound…
Geometric phases and information flows of a two-level system coupled to its environment are calculated and analyzed. The information flow is defined as a cumulant of changes in trace distance between two quantum states, which is similar to…
We show how inter-asset dependence information derived from market prices of options can lead to improved model-free price bounds for multi-asset derivatives. Depending on the type of the traded option, we either extract correlation…