Related papers: Modeling Price Clustering in High-Frequency Prices

Modeling the trading volume curves of financial instruments throughout the day is of key interest in financial trading applications. Predictions of these so-called volume profiles guide trade execution strategies, for example, a common…

Price dynamics is analyzed in terms of a model which includes the possibility of effective forces due to trend followers or trend adverse strategies. The method is tested on the data of a minority-majority model and indeed it is capable of…

We consider a context-based dynamic pricing problem of online products, which have low sales. Sales data from Alibaba, a major global online retailer, illustrate the prevalence of low-sale products. For these products, existing…

A non-homogeneous Poisson cluster model is studied, motivated by insurance applications. The Poisson center process which expresses arrival times of claims, triggers off cluster member processes which correspond to number or amount of…

The mixture models have become widely used in clustering, given its probabilistic framework in which its based, however, for modern databases that are characterized by their large size, these models behave disappointingly in setting out the…

In this paper, our focus lies on the Merton's jump diffusion model, employing jump processes characterized by the compound Poisson process. Our primary objective is to forecast the drift and volatility of the model using a variety of…

Universal features in stock markets and their derivative markets are studied by means of probability distributions in internal rates of return on buy and sell transaction pairs. Unlike the stylized facts in log normalized returns, the…

While the investors' responses to price changes and their price forecasts are well accepted major factors contributing to large price fluctuations in financial markets, our study shows that investors' heterogeneous and dynamic risk aversion…

We study a two-species bidirectional exclusion process, and a single species variant, which is motivated by the motion of organelles and vesicles along microtubules. Specifically, we are interested in the clustering of the particles and…

An agent-based modelling methodology for the joint price evolution of two stocks is put forward. The method models future multidimensional price trajectories reflecting how a class of agents rebalance their portfolios in an operational way…

We review some methods recently used in the literature to detect the existence of a certain degree of common behavior of stock returns belonging to the same economic sector. Specifically, we discuss methods based on random matrix theory and…

We tackle the challenge of estimating grouping structures and factor loadings in asset pricing models, where traditional regressions struggle due to sparse data and high noise. Existing approaches, such as those using fused penalties and…

The paper proposes a class of financial market models which are based on inhomogeneous telegraph processes and jump diffusions with alternating volatilities. It is assumed that the jumps occur when the tendencies and volatilities are…

This paper derives the expressions of correlations between prices of two assets, returns of two assets, and price-return correlations of two assets that depend on statistical moments and correlations of the current values, past values, and…

Asynchronous trading in high-frequency financial markets introduces significant biases into econometric analysis, distorting risk estimates and leading to suboptimal portfolio decisions. Existing synchronization methods, such as the…

Clusters appear in nature in a diversity of contexts, involving distances as long as the cosmological ones, and down to atoms and molecules and the very small nuclear size. They also appear in several other scenarios, in particular in…

We develop a model for point processes on the real line, where the intensity can be locally unbounded without inducing an explosion. In contrast to an orderly point process, for which the probability of observing more than one event over a…

A validated simulation model primarily requires performing an appropriate input analysis mainly by determining the behavior of real-world processes using probability distributions. In many practical cases, probability distributions of the…

This paper concerns a local volatility model in which volatility takes two possible values, and the specific value depends on whether the underlying price is above or below a given threshold value. The model is known, and a number of…

The volatility characterizes the amplitude of price return fluctuations. It is a central magnitude in finance closely related to the risk of holding a certain asset. Despite its popularity on trading floors, the volatility is unobservable…