Related papers: Zero-Inflated Autoregressive Conditional Duration …
In this paper we investigate the possibility of spontaneous segregation into groups of traders that have to choose among several markets. Even in the simplest case of two markets and Zero Intelligence traders, we are able to observe…
The goal of developing a firmer theoretical understanding of inhomogenous temporal processes -- in particular, the waiting times in some collective dynamical system -- is attracting significant interest among physicists. Quantifying the…
A new definition of events of game-theoretic probability zero in continuous time is proposed and used to prove results suggesting that trading in financial markets results in the emergence of properties usually associated with randomness.…
Spatially correlated data with an excess of zeros, usually referred to as zero-inflated spatial data, arise in many disciplines. Examples include count data, for instance, abundance (or lack thereof) of animal species and disease counts, as…
In this paper an arbitrage strategy is constructed for the modified Black-Scholes model driven by fractional Brownian motion or by a time changed fractional Brownian motion, when the volatility is stochastic. This latter property allows the…
We develop a theoretical trading conditioning model subject to price volatility and return information in terms of market psychological behavior, based on analytical transaction volume-price probability wave distributions in which we use…
We propose a formulation to construct new classes of financial price processes based on the insight that the key variable driving prices $P$ is the earning-over-price ratio $\gamma \simeq 1/P$, which we refer to as the earning yield and is…
This work re-examines the commonly held assumption that the frequency of rewards is a reliable measure of task difficulty in reinforcement learning. We identify and formalize a structural challenge that undermines the effectiveness of…
In this paper we study the asymptotic behavior of a Boltzmann type price formation model, which describes the trading dynamics in a financial market. In many of these markets trading happens at high frequencies and low transactions costs.…
The impact of trades on asset prices is a crucial aspect of market dynamics for academics, regulators and practitioners alike. Recently, universal and highly nonlinear master curves were observed for price impacts aggregated on all…
Large deviations for fat tailed distributions, i.e. those that decay slower than exponential, are not only relatively likely, but they also occur in a rather peculiar way where a finite fraction of the whole sample deviation is concentrated…
We study superreplication of European contingent claims in discrete time in a large trader model with market indifference prices recently proposed by Bank and Kramkov. We introduce a suitable notion of efficient friction in this framework,…
Consistent Recalibration models (CRC) have been introduced to capture in necessary generality the dynamic features of term structures of derivatives' prices. Several approaches have been suggested to tackle this problem, but all of them,…
For an autonomous agent, executing a poor policy may be costly or even dangerous. For such agents, it is desirable to determine confidence interval lower bounds on the performance of any given policy without executing said policy. Current…
Score-based diffusion models are a recently developed framework for posterior sampling in Bayesian inverse problems with a state-of-the-art performance for severely ill-posed problems by leveraging a powerful prior distribution learned from…
Standard count models such as the Poisson and Negative Binomial models often fail to capture the large proportion of zero claims commonly observed in insurance data. To address such issue of excessive zeros, zero-inflated and hurdle models…
This paper studies inter-trade durations in the NASDAQ limit order market and finds that inter-trade durations in ultra-high frequency have two modes. One mode is to the order of approximately 10^{-4} seconds, and the other is to the order…
We characterize absence of arbitrage with simple trading strategies in a discounted market with a constant bond and several risky assets. We show that if there is a simple arbitrage, then there is a 0-admissible one or an obvious one, that…
Robot control using reinforcement learning has become popular, but its learning process generally terminates halfway through an episode for safety and time-saving reasons. This study addresses the problem of the most popular exception…
We study the optimal timing of derivative purchases in incomplete markets. In our model, an investor attempts to maximize the spread between her model price and the offered market price through optimally timing her purchase. Both the…