Related papers: Entropic Dynamics of Exchange Rates and Options
This paper investigates the pricing of European-style lookback options when the price dynamics of the underlying risky asset are assumed to follow a Markov-modulated Geo-metric Brownian motion; that is, the appreciation rate and the…
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…
Atmospheric systems incorporating thermal dynamics must be stable with respect to both energy and entropy. While energy conservation can be enforced via the preservation of the skew-symmetric structure of the Hamiltonian form of the…
Stochastic thermodynamics provides the framework to analyze thermodynamic laws and quantities along individual trajectories of small but fully observable systems. If the observable level fails to capture all relevant degrees of freedom,…
We study the dynamics of the linear and non-linear serial dependencies in financial time series in a rolling window framework. In particular, we focus on the detection of episodes of statistically significant two- and three-point…
We introduce an algorithmic model of heat conduction, the thermodynamic graph. The thermodynamic graph is analogous to meshes in the finite difference method in the sense that the calculation of temperature is carried out at the vertices of…
We investigate high frequency price dynamics in foreign exchange market using data from Reuters information system (the dataset has been provided to us by Ols en & Associates). In our analysis we show that a na\"ive approach to the…
The chaotical dynamics is studied in different Friedmann-Robertson- Walker cosmological models with scalar (inflaton) field and hydrodynamical matter. The topological entropy is calculated for some particular cases. Suggested scheme can be…
We assume that markovian dynamics on a finite graph enjoys a gauge symmetry under local scalings of the probability density, derive the transformation law for the transition rates and interpret the thermodynamic force as a gauge potential.…
In this paper we test the random walk hypothesis on the high frequency dataset of the bid--ask Deutschemark/US dollar exchange rate quotes registered by the inter-bank Reuters network over the period October 1, 1992 to September 30, 1993.…
We introduce a novel notion of invariance feedback entropy to quantify the state information that is required by any controller that enforces a given subset of the state space to be invariant. We establish a number of elementary properties,…
The paper is devoted to the analysis of relationships between principal objects of the spectral theory of dynamical systems (transfer and weighted shift operators) and basic characteristics of information theory and thermodynamic formalism…
The explosion of data available in life sciences is fueling an increasing demand for expressive models and computational methods. Graph transformation is a model for dynamic systems with a large variety of applications. We introduce a novel…
We review the derivation of quantum theory as an application of entropic methods of inference. The new contribution in this paper is a streamlined derivation of the Schr\"odinger equation based on a different choice of microstates and…
It has been recently proposed that the interpretation of gravity as an emergent, entropic force might have nontrivial implications to cosmology. Here two approaches are investigated: in one, the Friedman equation receives entropic…
We analyze an operational policy for a multinational manufacturer to hedge against exchange rate uncertainties and competition. We consider a single product and single period. Because of long-lead times, the capacity investment must done…
Minimal Boltzmann kinetic models, such as lattice Boltzmann, are often used as an alternative to the discretization of the Navier-Stokes equations for hydrodynamic simulations. Recently, it was argued that modeling sub-grid scale phenomena…
A new concept of the available force is proposed to investigate the performance of the complex systems having long-range interactions. Since the covariance of average velocity in double time interval and available force equals zero, it is…
Non-relativistic quantum theory is derived from information codified into an appropriate statistical model. The basic assumption is that there is an irreducible uncertainty in the location of particles: positions constitute a configuration…
Modeling the time-varying covariance structures of high-dimensional variables is critical across diverse scientific and industrial applications; however, existing approaches exhibit notable limitations in either modeling flexibility or…