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This paper studies the empirical tracking performance of leveraged ETFs on gold, and their price relationships with gold spot and futures. For tracking the gold spot, we find that our optimized portfolios with short-term gold futures are…
We make the comparative study of scaling range properties for detrended fluctuation analysis (DFA), detrended moving average analysis (DMA) and recently proposed new technique called modified detrended moving average analysis (MDMA). Basic…
Approximating the frequency dispersion of the permittivity of materials with simple analytical functions is of fundamental importance for understanding and modeling the optical response of materials and resulting structures. In the…
Multifractal analysis has become a powerful signal processing tool that characterizes signals or images via the fluctuations of their pointwise regularity, quantified theoretically by the so-called multifractal spectrum. The practical…
The dual fermion (DF) method allows for calculating corrections due to non-local correlations relative to an effective impurity model. Choosing the impurity as that of a dynamical mean field theory (DMFT) solution at self-consistency is…
Due to the vulnerability of the Caribbean islands to the climate change issue, it is important to investigate the behavior of rainfall. In addition, the soil of the French West Indies Islands has been contaminated by an insecticide…
The decentralized international market of currency trading is a prototypical complex system having a highly heterogeneous composition. To understand the hierarchical structure relating the price movement of different currencies in the…
Motivated by applications such as stock exchanges and spectrum auctions, there is a growing interest in mechanisms for arranging trade in two-sided markets. Existing mechanisms are either not truthful, or do not guarantee an…
The multifractal spectra of daily foreign exchange rates for US dollar (USD), the British Pound (GBP), the Euro (Euro) and the Japanese Yen (Yen) with respect to the Indian Rupee are analysed for the period 6th January 1999 to 24th July…
This paper presents a new financial market simulator that may be used as a tool in both industry and academia for research in market microstructure. It allows multiple automated traders and/or researchers to simultaneously connect to an…
We study a ferromagnetic instability in a single-band Hubbard model on the hypercubic lattice away from half filling. Using dynamical mean-field theory with the continuous-time quantum Monte Carlo simulations based on the segment algorithm,…
In this paper we compare market price fluctuations with the response to fundamental price drops within the Lux-Marchesi model which is able to reproduce the most important stylized facts of real market data. Major differences can be…
Financial markets for Liquified Natural Gas (LNG) are an important and rapidly-growing segment of commodities markets. Like other commodities markets, there is an inherent spatial structure to LNG markets, with different price dynamics for…
In frictionless markets, utility maximization problems are typically solved either by stochastic control or by martingale methods. Beginning with the seminal paper of Davis and Norman [Math. Oper. Res. 15 (1990) 676--713], stochastic…
This paper designs a market algorithm for fractional ownership of an indivisible asset. It provides an efficient market mechanism, named Direct Fractional Auction (DFA) that offers valuable assets to both small and large investors who can…
The usage of a spot volatility estimate based on a volatility decomposition in a time-changed price-model according to the trading times is investigated. In this model clock-time volatility splits up into the product of tick-time volatility…
We study the emergence of instabilities in a stylized model of a financial market, when different market actors calculate prices according to different (local) market measures. We derive typical properties for ensembles of large random…
This paper presents static and dynamic versions of univariate, multivariate, and multilevel functional time-series methods to forecast implied volatility surfaces in foreign exchange markets. We find that dynamic functional principal…
We build an agent-based model to study how the interplay between low- and high-frequency trading affects asset price dynamics. Our main goal is to investigate whether high-frequency trading exacerbates market volatility and generates flash…
We consider a market model that consists of financial investors and producers of a commodity. Producers optionally store some production for future sale and go short on forward contracts to hedge the uncertainty of the future commodity…