Related papers: Data assimilation in price formation
We focus on online second price auctions, where bids are made sequentially, and the winning bidder pays the maximum of the second-highest bid and a seller specified starting price. For many such auctions, the seller does not see all the…
As operators acting on the undetermined final settlement of a derivative security, expectation is linear but price is non-linear. When the market of underlying securities is incomplete, non-linearity emerges from the bid-offer around the…
Variational data assimilation technique applied to identification of optimal approximations of derivatives near boundary is discussed in frames of one-dimensional wave equation. Simplicity of the equation and of its numerical scheme allows…
In this paper a simple model for the evolution of the forward density of the future value of an asset is proposed. The model allows for a straightforward initial calibration to option prices and has dynamics that are consistent with…
We consider the problem of estimating the possibly non-convex cost of an agent by observing its interactions with a nonlinear, non-stationary and stochastic environment. For this inverse problem, we give a result that allows to estimate the…
This paper is concerned with nonlinear filtering of the coefficients in asset price models with stochastic volatility. More specifically, we assume that the asset price process $ S=(S_{t})_{t\geq0} $ is given by \[…
The paper addresses the study of a class of evolutionary quasi-variational inequalities of the parabolic type arising in the formation and growth models of granular and cohensionless materials. Such models and their mathematical…
We introduce the entropic measure transform (EMT) problem for a general process and prove the existence of a unique optimal measure characterizing the solution. The density process of the optimal measure is characterized using a…
Statistical mechanics provides a useful analog for understanding the behavior of complex adaptive systems, including power markets and the power systems they intend to govern. Transaction-based control is founded on the conjecture that the…
The subject of this paper is the problem of nonparametric estimation of a continuous distribution function from observations with measurement errors. We study minimax complexity of this problem when unknown distribution has a density…
We propose a general approximation method for determining optimal trading strategies in markets with proportional transaction costs, with a polynomial approximation of the residual value function. The method is exemplified by several…
This article develops a general framework for continuous deterministic data assimilation for semilinear parabolic equations by means of evolution equations. Introducing a nudged model driven by partial observations, the global…
In using data assimilation to import information from observations to estimate parameters and state variables of a model, one must assume a distribution for the noise in the measurements and in the model errors. Using the path integral…
One way to interject knowledge into clinically impactful forecasting is to use data assimilation, a nonlinear regression that projects data onto a mechanistic physiologic model, instead of a set of functions, such as neural networks. Such…
In this paper we consider a constrained parabolic optimal control problem. The cost functional is quadratic and it combines the distance of the trajectory of the system from the desired evolution profile together with the cost of a control.…
We consider the problem of optimal trading for a power producer in the context of intraday electricity markets. The aim is to minimize the imbalance cost induced by the random residual demand in electricity, i.e. the consumption from the…
We study nonparametric density estimation in non-stationary drift settings. Given a sequence of independent samples taken from a distribution that gradually changes in time, the goal is to compute the best estimate for the current…
In this article we revisit the classic problem of tatonnement in price formation from a microstructure point of view, reviewing a recent body of theoretical and empirical work explaining how fluctuations in supply and demand are slowly…
I present an overview of some recent advancements on the empirical analysis and theoretical modeling of the process of price formation in financial markets as the result of the arrival of orders in a limit order book exchange. After…
We consider two kinds of stochastic volatility models. Both kinds of models contain a stationary volatility process, the density of which, at a fixed instant in time, we aim to estimate. We discuss discrete time models where for instance a…