Related papers: Quantifying horizon dependence of asset prices: a …
Price movements of stock market are not totally random. In fact, what drives the financial market and what pattern financial time series follows have long been the interest that attracts economists, mathematicians and most recently computer…
Despite half a century of research, there is still no general agreement about the optimal approach to build a robust multi-period portfolio. We address this question by proposing the detrended cluster entropy approach to estimate the…
In this paper, we consider an infinite horizon, continuous-review, stochastic inventory system in which cumulative customers' demand is price-dependent and is modeled as a Brownian motion. Excess demand is backlogged. The revenue is earned…
Financial markets exhibit an apparent paradox: while directional price movements remain largely unpredictable--consistent with weak-form efficiency--the magnitude of price changes displays systematic structure. Here we demonstrate that…
This paper solves the consumption-investment problem under Epstein-Zin preferences on a random horizon. In an incomplete market, we take the random horizon to be a stopping time adapted to the market filtration, generated by all observable,…
This paper examines quantile dependence between international stock markets and evaluates its use for improving volatility forecasting. First, we analyze quantile dependence and directional predictability between the US stock market and…
A dynamical model is introduced for the formation of a bullish or bearish trends driving an asset price in a given market. Initially, each agent decides to buy or sell according to its personal opinion, which results from the combination of…
We consider a tick-by-tick model of price formation, in which buy and sell orders are modeled as self-exciting point processes (Hawkes process), similar to the one in [Bacry, Delattre, Hoffmann, Muzy, Modelling microstructure noise with…
We utilize the concept of a measurement-induced entanglement transition to analyze the interplay and competition of processes that generate and destroy entanglement in a one-dimensional quantum spin chain evolving under a locally noisy and…
In the Cont-Bouchaud model [cond-mat/9712318] of stock markets, percolation clusters act as buying or selling investors and their statistics controls that of the price variations. Rather than fixing the concentration controlling each…
We investigate the relative information efficiency of financial markets by measuring the entropy of the time series of high frequency data. Our tool to measure efficiency is the Shannon entropy, applied to 2-symbol and 3-symbol…
Entropy is a measure of heterogeneity widely used in applied sciences, often when data are collected over space. Recently, a number of approaches has been proposed to include spatial information in entropy. The aim of entropy is to…
We compute the gravitational entropy of 'spherical Rindler space', a time-dependent, spherically symmetric generalization of ordinary Rindler space, defined with reference to a family of observers traveling along non-parallel, accelerated…
We investigate the role of a statistical complexity measure to assign equilibration in isolated quantum systems. While unitary dynamics preserve global purity, expectation values of observables often exhibit equilibration-like behavior,…
In this work, we study the problem of mean-variance hedging with a random horizon T ^ tau, where T is a deterministic constant and is a jump time of the underlying asset price process. We rst formulate this problem as a stochastic control…
We consider topological dynamical systems given by skew products $S\rtimes_{\tau} T$, where $S\colon Y\to Y$ is a subshift, $\tau\colon Y\to\mathbb{Z}$ is a continuous cocycle, and $T$ is an arbitrary invertible topological system. For…
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…
The surface Hamiltonian corresponding to the surface part of a gravitational action has $xp$ structure where $p$ is conjugate momentum of $x$. Moreover, it leads to $TS$ on the horizon of a black hole. Here $T$ and $S$ are temperature and…
By means of free fermionic techniques we study the time evolution of the entanglement entropy, S(t), of a block of spins in the random transverse-field Ising chain after a sudden change of the parameters of the Hamiltonian. We consider…
A general ansatz for gravitational entropy can be provided using the criterion that, any patch of area which acts as a horizon for a suitably defined accelerated observer, must have an entropy proportional to its area. After providing a…