Related papers: Improving MF-DFA model with applications in precio…
We propose a stylized model of production and exchange in which long-term investors set their production decision over a horizon {\tau} , the "time to produce", and are liquidity constrained, while financial investors trade over a much…
Different routing strategies may result in different behaviors of traffic on internet. We analyze the correlation of traffic data for three typical routing strategies by the detrended fluctuation analysis (DFA) and find that the degree of…
Nowadays, with the availability of massive amount of trade data collected, the dynamics of the financial markets pose both a challenge and an opportunity for high frequency traders. In order to take advantage of the rapid, subtle movement…
This paper extends the existing literature on empirical estimation of the confidence intervals associated to the Detrended Fluctuation Analysis (DFA). We used Montecarlo simulation to evaluate the confidence intervals. Varying the…
This paper aims at solving FX market volatility modeling problem and finding the most becoming approach to this task. Validity of two competing approaches, classical econometric generalized conditional heteroscedasticity and mathematical…
We generalize the dynamical-mean field (DMFT) approximation by including into the DMFT equations some length scale via a (momentum dependent) ``external'' self-energy \Sigma_k. This external self-energy describes non-local dynamical…
We examine a general multi-factor model for commodity spot prices and futures valuation. We extend the multi-factor long-short model in Schwartz and Smith (2000) and Yan (2002) in two important aspects: firstly we allow for both the long…
This paper analyzes the role of money in asset markets characterized by search frictions. We develop a dynamic framework that brings together a model for illiquid financial assets `a la Duffie, Garleanu, and Pedersen, and a search-theoretic…
An approach is proposed for evaluating dipolar and multipolar inter-site interactions in strongly correlated materials. This approach is based on the single-site dynamical mean-field theory (DMFT) in conjunction with the atomic…
Financial markets typically exhibit dynamically complex properties as they undergo continuous interactions with economic and environmental factors. The Efficient Market Hypothesis indicates a rich difference in the structural complexity of…
We implement the recently developed influence functional matrix product states approach as impurity solver in equilibrium and nonequilibrium dynamical mean field theory (DMFT) calculations of the single-band Hubbard model. The method yields…
The aim of this work is to investigate the qualitative behaviour of a financial dynamical system which contains a time delay. We investigate the dynamic response of this system of which variables are interest rate, investment demand, price…
The interactions between a large population of high-frequency traders (HFTs) and a large trader (LT) who executes a certain amount of assets at discrete time points are studied. HFTs are faster in the sense that they trade continuously and…
Realization of uncertainty of prices is captured by volatility, that is the tendency of prices to vary along a period of time. This is generally measured as standard deviation of daily returns. In this paper we propose and investigate the…
Double hybrid density functional theory arguably sits on the seamline between wavefunction methods and DFT: it represents a special case of Rung 5 on the "Jacobs Ladder" of John P. Perdew. For large and chemically diverse benchmarks such as…
The volatility features of financial data would considerably change in different periods, that is one of the main factors affecting the applications of machine learning in quantitative trading. Therefore, to effectively distinguish…
In the standard equilibrium and/or arbitrage pricing framework, the value of any asset is uniquely specified from the belief that only the systematic risks need to be remunerated by the market. Here, we show that, even for arbitrary large…
We explore a decomposition in which returns on a large class of portfolios relative to the market depend on a smooth non-negative drift and changes in the asset price distribution. This decomposition is obtained using general continuous…
We examine the scaling regime for the detrended fluctuation analysis (DFA) - the most popular method used to detect the presence of long memory in data and the fractal structure of time series. First, the scaling range for DFA is studied…
Many financial variables are found to exhibit multifractal nature, which is usually attributed to the influence of temporal correlations and fat-tailedness in the probability distribution (PDF). Based on the partition function approach of…