Related papers: Quantifying horizon dependence of asset prices: a …
Accurate spatiotemporal pattern analysis is critical in fields such as urban traffic, meteorology, and public health monitoring. However, existing methods face performance bottlenecks, typically yielding only incremental gains and often…
We obtain a lower asymptotic bound on the decay rate of the probability of a portfolio's underperformance against a benchmark over a large time horizon. It is assumed that the prices of the securities are governed by geometric Brownian…
In this paper we seek to demonstrate the predictability of stock market returns and explain the nature of this return predictability. To this end, we introduce investors with different investment horizons into the news-driven, analytic,…
The relation between time series irreversibility and entropy production has been recently investigated in thermodynamic systems operating away from equilibrium. In this work we explore this concept in the context of financial time series.…
A simple Hawkes model have been developed for the price tick structure dynamics incorporating market microstructure noise and trade clustering. In this paper, the model is extended with random mark to deal with more realistic price tick…
The entropy of a quantum system is a measure of its randomness, and has applications in measuring quantum entanglement. We study the problem of measuring the von Neumann entropy, $S(\rho)$, and R\'enyi entropy, $S_\alpha(\rho)$ of an…
In financial time series there are periods in which the value increases or decreases monotonically. We call those periods elemental trends and study the probability distribution of their duration for the indices DJIA, NASDAQ and IPC. It is…
We compute the entropy of entanglement in the ground states of a general class of quantum spin-chain Hamiltonians - those that are related to quadratic forms of Fermi operators - between the first N spins and the rest of the system in the…
A detailed analysis of the spherically symmetric isolated horizon system is performed in terms of the connection formulation of general relativity. The system is shown to admit a manifestly SU(2) invariant formulation where the (effective)…
This research introduces a novel quantitative methodology tailored for quantitative finance applications, enabling banks, stockbrokers, and investors to predict economic regimes and market signals in emerging markets, specifically Sri…
There are three ways to conceptualize entropy: entropy as an extensive thermodynamic quantity of physical systems (Clausius, Boltzmann, Gibbs), entropy as a measure for information production of ergodic sources (Shannon), and entropy as a…
This thesis applies entropy as a model independent measure to address three research questions concerning financial time series. In the first study we apply transfer entropy to drawdowns and drawups in foreign exchange rates, to study their…
The entropy of apparent horizons is derived using coherent states or semiclassical states in quantum gravity. The leading term is proportional to area for large horizons, and the correction terms differ according to the details of the graph…
Starting from the characterization of the past time evolution of market prices in terms of two fundamental indicators, price velocity and price acceleration, we construct a general classification of the possible patterns characterizing the…
The multiscale entropy assesses the complexity of a signal across different timescales. It originates from the biomedical domain and was recently successfully used to characterize light curves as part of a supervised machine learning…
Subordination is an often used stochastic process in modeling asset prices. Subordinated Levy price processes and local volatility price processes are now the main tools in modern dynamic asset pricing theory. In this paper, we introduce…
We investigate the dynamics of the ground state entanglement entropy for a discretized scalar field propagating within the Oppenheimer-Snyder collapse metric. Starting from a well-controlled initial configuration, we follow the system as it…
In this paper, we investigate the asymptotic stability of finite-dimensional stochastic integrable Hamiltonian systems via information entropy. Specifically, we establish the asymptotic vanishing of Shannon entropy difference (with…
Recently it has been proposed that the Bekenstein-Hawking formula for the entropy of spacetime horizons has a larger significance as the leading contribution to the entanglement entropy of general spacetime regions, in the underlying…
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…