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Nowadays, video game developers record every virtual action performed by their players. As each player can remain in the game for years, this results in an exceptionally rich dataset that can be used to understand and predict player…
We introduce systematic tests exploiting robust statistical and behavioral patterns in trading to detect fake transactions on 29 cryptocurrency exchanges. Regulated exchanges feature patterns consistently observed in financial markets and…
The literature on volatility modelling and option pricing is a large and diverse area due to its importance and applications. This paper provides a review of the most significant volatility models and option pricing methods, beginning with…
In the late 90's, after severe financial and economic crisis, accompanied by inflation and exchange rate instability, Eastern Europe emerged into two groups of countries with radically contrasting monetary regimes (Currency Boards and…
Decisions taken in our everyday lives are based on a wide variety of information so it is generally very difficult to assess what are the strategies that guide us. Stock market therefore provides a rich environment to study how people take…
A central problem of Quantitative Finance is that of formulating a probabilistic model of the time evolution of asset prices allowing reliable predictions on their future volatility. As in several natural phenomena, the predictions of such…
We consider a mean-reverting stochastic volatility model which satisfies some relevant stylized facts of financial markets. We introduce an algorithm for the detection of peaks in the volatility profile, that we apply to the time series of…
The beginning of 2021 saw a surge in volatility for certain stocks such as GameStop company stock (Ticker GME under NYSE). GameStop stock increased around 10 fold from its decade-long average to its peak at \$485. In this paper, we…
Digital technology organizations routinely use online experiments (e.g. A/B tests) to guide their product and business decisions. In e-commerce, we often measure changes to transaction- or item-based business metrics such as Average Basket…
For the pedestrian observer, financial markets look completely random with erratic and uncontrollable behavior. To a large extend, this is correct. At first approximation the difference between real price changes and the random walk model…
As the most critical production factor in the era of the digital economy, data will have a significant impact on social production and development. Energy enterprises possess data that is interconnected with multiple industries,…
An agent-based computational economical toy model for the emergence of money from the initial barter trading, inspired by Menger's postulate that money can spontaneously emerge in a commodity exchange economy, is extensively studied. The…
In financial markets, greater volatility is usually considered synonym of greater risk and instability. However, large market downturns and upturns are often preceded by long periods where price returns exhibit only small fluctuations. To…
We provide a comprehensive numerical study of the Emergent Cyclic Inflation scenario. This is a scenario where instead of traditional monotonic slow roll inflation, the universe expands over numerous short asymmetric cycles due to the…
This paper explores the economics of Augmented Reality (AR) and Virtual Reality (VR) technologies within decision-making contexts. Two metrics are proposed: Context Entropy, the informational complexity of an environment, and Context…
This paper models stochastic process of price time series of CSI 300 index in Chinese financial market, analyzes volatility characteristics of intraday high-frequency price data. In the new generalized Barndorff-Nielsen and Shephard model,…
Understanding decision-making in dynamic and complex settings is a challenge yet essential for preventing, mitigating, and responding to adverse events (e.g., disasters, financial crises). Simulation games have shown promise to advance our…
The scope of this manuscript is to review some recent developments in statistics for discretely observed semimartingales which are motivated by applications for financial markets. Our journey through this area stops to take closer looks at…
We present a strategic analysis of a trust model that has recently been proposed for promoting cooperative behaviour in user-centric networks. The mechanism for cooperation is based on a combination of reputation and virtual currency…
Congestion games constitute an important class of non-cooperative games which was introduced by Rosenthal in 1973. In recent years, several extensions of these games were proposed to incorporate aspects that are not captured by the standard…