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The main focus of this work is to understand the dynamics of non regulated markets. The present model can describe the dynamics of any market where the pricing is based on supply and demand. It will be applied here, as an example, for the…
Dynamic trading strategies, in the spirit of trend-following or mean-reversion, represent an only partly understood but lucrative and pervasive area of modern finance. Assuming Gaussian returns and Gaussian dynamic weights or signals,…
An adaptive network model using SIS epidemic propagation with link-type dependent link activation and deletion is considered. Bifurcation analysis of the pairwise ODE approximation and the network-based stochastic simulation is carried out,…
Sentiment analysis, widely used in product reviews, also impacts financial markets by influencing asset prices through microblogs and news articles. Despite research in sentiment-driven finance, many studies focus on sentence-level…
A novel model for dynamical traps in intermittent human control is proposed. It describes probabilistic, step-wise transitions between two modes of a subject's behavior - active and passive phases in controlling an object's dynamics - using…
A general framework is suggested to describe human decision making in a certain class of experiments performed in a trading laboratory. We are in particular interested in discerning between two different moods, or states of the investors,…
Volatility for financial assets returns can be used to gauge the risk for financial market. We propose a deep stochastic volatility model (DSVM) based on the framework of deep latent variable models. It uses flexible deep learning models to…
We study how trading costs are reflected in equilibrium returns. To this end, we develop a tractable continuous-time risk-sharing model, where heterogeneous mean-variance investors trade subject to a quadratic transaction cost. The…
In this paper, we study an analytically tractable SIS model with a non-linear incidence rate for the number of infectious individuals described through a stochastic differential equation (SDE). We guarantee the existence of a positive…
We present a novel microscopic stock market model consisting of a large number of random agents modeling traders in a market. Each agent is characterized by a set of parameters that serve to make iterated predictions of two successive…
We present a stochastic model of gait rhythm dynamics, based on transitions between different ``neural centers'', that reproduces distinctive statistical properties of normal human walking. By tuning one model parameter, the hopping range,…
Stochastic differential equations have proved to be a valuable governing framework for many real-world systems which exhibit ``noise'' or randomness in their evolution. One quality of interest in such systems is the shape of their…
Stochastic differential equations (SDEs) are of utmost importance in various scientific and industrial areas. They are the natural description of dynamical processes whose precise equations of motion are either not known or too expensive to…
This paper addresses the portfolio selection problem for nonlinear law-dependent preferences in continuous time, which inherently exhibit time inconsistency. Employing the method of stochastic maximum principle, we establish verification…
We propose a simple stochastic volatility model which is analytically tractable, very easy to simulate and which captures some relevant stylized facts of financial assets, including scaling properties. In particular, the model displays a…
Stochastic differential equations (SDEs) are established tools to model physical phenomena whose dynamics are affected by random noise. By estimating parameters of an SDE intrinsic randomness of a system around its drift can be identified…
We consider the modeling of the dynamics of the chemostat at its very source. The chemostat is classically represented as a system of ordinary differential equations. Our goal is to establish a stochastic model that is valid at the scale…
Volatility-based trading strategies have attracted a lot of attention in financial markets due to their ability to capture opportunities for profit from market dynamics. In this article, we propose a new volatility-based trading strategy…
In this paper, we consider an opioid epidemic dynamical model with random perturbation that typically describes the interplay between regular prescription use, addictive use, and the process of rehabilitation from addiction and vice-versa.…
The purpose of this paper is to analyze the mechanism for the interplay of deterministic and stochastic models for contagious diseases. Deterministic models for contagious diseases are prone to predict global stability. Small natural birth…