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It is argued that a Gibbsian formula for the space-time distribution of microscopic trajectories of a nonequilibrium system provides a unifying framework for recent results on the fluctuations of the entropy production. The variable entropy…
We study the effects of non-trivial initial quantum states for inflationary fluctuations within the context of the effective field theory for inflation constructed by Cheung et al. which allows us to discriminate between different initial…
We develop a theory of securities price formation and dynamics based on quantum approach and without presuming any similarities with quantum mechanics. Disorder introduced by trading environment leads to probability distribution of returns…
High frequency data in finance have led to a deeper understanding on probability distributions of market prices. Several facts seem to be well stablished by empirical evidence. Specifically, probability distributions have the following…
Abstract: Models for studying systems in stationary states but out of equilibrium have often empirical nature and very often break the fundamental time reversal symmetry. Here a formal interpretation will be discussed of the widespread idea…
We model real-world data markets, where sellers post fixed prices and buyers are free to purchase from any set of sellers, as a simultaneous game. A key component here is the negative externality buyers induce on one another due to data…
Under certain conditions we prove the existence of a steady-state transport regime for interacting mesoscopic systems coupled to reservoirs (leads). The partitioning and partition-free scenarios are treated on an equal footing. Our…
We provide a general macrostatistical formulation of nonequilibrium steady states of reservoir driven quantum systems. This formulation is centred on the large scale properties of the locally conserved hydrodynamical observables, and our…
We extend a model of positive feedback and contagion in large mean-field systems, by introducing a common source of noise driven by Brownian motion. Although the driving dynamics are continuous, the positive feedback effect can lead to…
This paper presents a new condition for the existence of optimal stationary policies in average-cost continuous-time Markov decision processes with unbounded cost and transition rates, arising from controlled queueing systems. This…
Empirically, many strategic settings are characterized by stable outcomes in which players' decisions are publicly observed, yet no player takes the opportunity to deviate. To analyze such situations in the presence of incomplete…
Modelling the dynamics of dense granular media is a long standing challenge and essential to many natural phenomena and technological applications. Here, we trace back puzzling experimental observation of detailed-balanced steady states to…
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.…
We present a financial market model, characterized by self-organized criticality, that is able to generate endogenously a realistic price dynamics and to reproduce well-known stylized facts. We consider a community of heterogeneous traders,…
We combine general equilibrium theory and theorie generale of stochastic processes to derive structural results about equilibrium state prices.
Statistical arbitrage strategies, such as pairs trading and its generalizations, rely on the construction of mean-reverting spreads enjoying a certain degree of predictability. Gaussian linear state-space processes have recently been…
We derive the stationary distribution in various regimes of the extended Chiarella model of financial markets. This model is a stochastic nonlinear dynamical system that encompasses dynamical competition between a (saturating) trending and…
Motivated by the desire to bridge the gap between the microscopic description of price formation (agent-based modeling) and the stochastic differential equations approach used classically to describe price evolution at macroscopic time…
We have studied the entropy-driven mechanism leading to stationary patterns formation in stochastic systems with local dynamics and non-Fickian diffusion. We have shown that a multiplicative noise fulfilling a fluctuation-dissipation…
This paper considers the equilibrium-free stability and performance analysis of discrete-time nonlinear systems. We consider two types of equilibrium-free notions. Namely, the universal shifted concept, which considers stability and…