Related papers: Quantifying horizon dependence of asset prices: a …
Spacetimes with horizons show a resemblance to thermodynamic systems and it is possible to associate the notions of temperature and entropy with them. Several aspects of this connection are reviewed in a manner appropriate for broad…
We study the notion of approximate entropy within the framework of network theory. Approximate entropy is an uncertainty measure originally proposed in the context of dynamical systems and time series. We firstly define a purely structural…
Modern approaches to stock pricing in quantitative finance are typically founded on the 'Black-Scholes model' and the underlying 'random walk hypothesis'. Empirical data indicate that this hypothesis works well in stable situations but, in…
We analyze spacetimes with horizons and study the thermodynamic aspects of causal horizons, suggesting that the resemblance between gravitational and thermodynamic systems has a deeper quantum mechanical origin. We find that the observer…
We investigate whether fractal markets hypothesis and its focus on liquidity and invest- ment horizons give reasonable predictions about dynamics of the financial markets during the turbulences such as the Global Financial Crisis of late…
We introduce a variant of the Barndorff-Nielsen and Shephard stochastic volatility model where the non Gaussian Ornstein-Uhlenbeck process describes some measure of trading intensity like trading volume or number of trades instead of…
Stylized facts can be regarded as constraints for any modeling attempt of price dynamics on a financial market, in that an empirically reasonable model has to reproduce these stylized facts at least qualitatively. The dynamics of market…
We quantify the amount of information filtered by different hierarchical clustering methods on correlations between stock returns comparing it with the underlying industrial activity structure. Specifically, we apply, for the first time to…
Equity markets have long been regarded as unpredictable, with intraday price movements treated as stochastic noise. This study challenges that view by introducing the Extended Samuelson Model (ESM), a natural science-based framework that…
In our previous studies we have investigated the structural complexity of time series describing stock returns on New York's and Warsaw's stock exchanges, by employing two estimators of Shannon's entropy rate based on Lempel-Ziv and Context…
In this article we look at stochastic processes with uncertain parameters, and consider different ways in which information is obtained when carrying out observations. For example we focus on the case of a the random evolution of a traded…
Post Modigliani and Miller (1958), the concept of usage of arbitrage created a permanent mark on the discourses of financial framework. The arbitrage process is largely based on information dissemination amongst the stakeholders operating…
Stock price prediction is a challenging task, but machine learning methods have recently been used successfully for this purpose. In this paper, we extract over 270 hand-crafted features (factors) inspired by technical and quantitative…
In this paper we present an interacting-agent model of stock markets. We describe a stock market through an Ising-like model in order to formulate the tendency of traders getting to be influenced by the other traders' investment attitudes…
Market Mill is a complex dependence pattern leading to nonlinear correlations and predictability in intraday dynamics of stock prices. The present paper puts together previous efforts to build a dynamical model reflecting the market mill…
This note outlines a method for clustering time series based on a statistical model in which volatility shifts at unobserved change-points. The model accommodates some classical stylized features of returns and its relation to GARCH is…
In the Loop Quantum Gravity, black holes (or even more general Isolated Horizons) are described by a SU(2) Chern-Simons theory. There is an equivalent formulation of the horizon degrees of freedom in terms of a U(1) gauge theory which is…
Diffusion processes driven by Fractional Brownian motion (FBM) have often been considered in modeling stock price dynamics in order to capture the long range dependence of stock price observed in reality. Option prices for such models had…
In this paper, we consider a continuous-time mean-variance portfolio selection with regime-switching and random horizon. Unlike previous works, the dynamic of assets are described by non-Markovian regime-switching models in the sense that…
We consider the problem of maximizing expected utility for a power investor who can allocate his wealth in a stock, a defaultable security, and a money market account. The dynamics of these security prices are governed by geometric Brownian…