Related papers: Improving MF-DFA model with applications in precio…
We show how inter-asset dependence information derived from market prices of options can lead to improved model-free price bounds for multi-asset derivatives. Depending on the type of the traded option, we either extract correlation…
Consider the problem of pricing options on forwards in energy markets, when spot prices follow a geometric multi-factor model in which several rates of mean reversion appear. In this paper we investigate the role played by slow mean…
Detrend fluctuation analysis (DFA) has become a choice method for effective analysis of a broad variety of nonstationary signals. We show in the present article that, provided the nonstationary fluctuations occur at a large enough time…
The impact of leading collective electronic fluctuations on a free energy of a prototype 1D model for molecular systems is considered within the recently developed Fluctuating Local Field (FLF) approach. The FLF method is a non-perturbative…
Magnetic field variations are detected before rupture in the form of `spikes' of alternating sign. The distinction of these `spikes' from random noise is of major practical importance, since it is easier to conduct magnetic field…
We first apply the WT-MFDFA, MFDFA, and WTMM multifractal methods to binomial multifractal time series of three different binomial parameters and find that the WTMM method indicates an enhanced difference between the fractal components than…
The detrended fluctuation analysis (DFA) is extensively useful in stochastic processes to unveil the long-term correlation. Here, we apply the DFA to point processes that mimick earthquake data. The point processes are synthesized by a…
We present a new model for commodity pricing that enhances accuracy by integrating four distinct risk factors: spot price, stochastic volatility, convenience yield, and stochastic interest rates. While the influence of these four variables…
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…
A technique for on-line estimation of spot volatility for high-frequency data is developed. The algorithm works directly on the transaction data and updates the volatility estimate immediately after the occurrence of a new transaction.…
Overwhelming majority of econometric models applied on a long term basis in the financial forex market do not work sufficiently well. The reason is that transaction costs and arbitrage opportunity are not included, as this does not simulate…
Behavioural finance offers a valuable framework for examining foreign exchange (FX) market dynamics, including puzzles such as excess volatility and fat-tailed distributions. Yet, when it comes to their interaction with the `real' side of…
With the explosive growth of e-commerce, online transaction fraud has become one of the biggest challenges for e-commerce platforms. The historical behaviors of users provide rich information for digging into the users' fraud risk. While…
In this article, we present a discrete time modeling framework, in which the shape and dynamics of a Limit Order Book (LOB) arise endogenously from an equilibrium between multiple market participants (agents). We use the proposed modeling…
We propose two localized Radial Basis Function (RBF) methods, the Radial Basis Function Partition of Unity method (RBF-PUM) and the Radial Basis Function generated Finite Differences method (RBF-FD), for solving financial derivative pricing…
The image fractal analysis is actively used in all science branches. In particular in materials science the fractal analysis is applied to study microstructure of deformed metals because its structure can be interpreted as the fractal…
Contracts for Difference (CfDs) are forwards on the spread between an area price and the system price. Together with the system price forwards, these products are used to hedge the area price risk in the Nordic electricity market. The CfDs…
Dynamical Mean-Field Theory (DMFT) has established itself as a reliable and well-controlled approximation to study correlation effects in bulk solids and also two-dimensional systems. In combination with standard density-functional theory…
Method for detection and visualization of trends, periodicities, local peculiarities in measurement series (dL-method) based on DFA technology (Detrended fluctuation analysis) is proposed. The essence of the method lies in reflecting the…
The frequency-dependent optical spectrum is pivotal for a broad range of applications, from material characterization to optoelectronics and energy harvesting. Data-driven surrogate models, trained on density functional theory (DFT) data,…