Related papers: No-Arbitrage Symmetries
It is proposed how to impose a general type of ''noncommutativity'' within classical mechanics from first principles. Formulation is performed in completely alternative way, i.e. without any resort to fuzzy and/or star product philosophy,…
Mathematical models with time dependent parameters are of great interest in financial Mathematics because they capture real life scenarios in the financial market. In this study, via the Lie group technique, we analyse evolution-type…
We consider stability concepts for random matchings where agents have preferences over objects and objects have priorities for the agents. When matchings are deterministic, the standard stability concept also captures the fairness property…
We consider a noncommutative theory developed in a curved background. We show that the Moyal product has to be conveniently modified and, consequently, some of its old properties are lost compared with the flat case. We also address the…
Financial models are studied where each asset may potentially lose value relative to any other. Conditioning on non-devaluation, each asset can serve as proper num\'eraire and classical valuation rules can be formulated. It is shown when…
The classical discrete time model of proportional transaction costs relies on the assumption that a feasible portfolio process has solvent increments at each step. We extend this setting in two directions, allowing for convex transaction…
Closely motivated by financial considerations, we develop an integration theory which is not classical i.e. it is not necessarily associated to a measure. The base space, denoted by $\mathcal{S}$ and called a trajectory space, substitutes…
We combine geometric data analysis and stochastic modeling to describe the collective dynamics of complex systems. As an example we apply this approach to financial data and focus on the non-stationarity of the market correlation structure.…
We generalize Merton's asset valuation approach to systems of multiple financial firms where cross-ownership of equities and liabilities is present. The liabilities, which may include debts and derivatives, can be of differing seniority. We…
Over the last decade, nonparametric methods have gained increasing attention for modeling complex data structures due to their flexibility and minimal structural assumptions. In this paper, we study a general multivariate nonparametric…
This paper introduces arithmetic geometry for polynomial identity algebras using non-commutative (formal) deformation theory. Since formal deformation theory is inherently local the arithmetic and geometric results that follow give local…
It is well known that nonrelativistic quantum mechanics presents a clear asymmetry between space and time. Much of this asymmetry is attributed to the lack of Lorentz invariance of the theory. Nonetheless, a recent work [Phys. Rev. A…
We study the symmetry properties of autonomous integrating factors from an algebraic point of view. The symmetries are delineated for the resulting integrals treated as equations and symmetries of the integrals treated as functions or…
Time reversal invariance can be summarized as follows: no difference can be measured if a sequence of events is run forward or backward in time. Because price time series are dominated by a randomness that hides possible structures and…
Based on a criterion of mathematical simplicity and consistency with empirical market data, a stochastic volatility model has been obtained with the volatility process driven by fractional noise. Depending on whether the stochasticity…
The fundamental symmetries in gravity and gauge theories, formulated using differential forms, are gauge transformations and diffeomorphisms. These symmetries act in distinct ways on different dynamical fields. Yet, the commutator of these…
We study a class of heterogeneous agent-based models which are based on a basic set of principles, and the most fundamental operations of an economic system: trade and product transformations. A basic guiding principle is scale invariance,…
We show that the results of ArXiv:1305.6008 on the Fundamental Theorem of Asset Pricing and the super-hedging theorem can be extended to the case in which the options available for static hedging (\emph{hedging options}) are quoted with…
Anti-Hermitian mass terms are considered, in addition to Hermitian ones, for PT-symmetric complex-scalar and fermionic field theories. In both cases, the Lagrangian can be written in a manifestly symmetric form in terms of the PT-conjugate…
Non-invertible symmetries in quantum field theory (QFT) generalize the familiar product rule of groups to a more general fusion rule. In many cases, gauged versions of these symmetries can be regarded as dual descriptions of invertible…