Related papers: The theory of quantitative trading
This paper initiates a study into the century-old issue of market predictability from the perspective of computational complexity. We develop a simple agent-based model for a stock market where the agents are traders equipped with simple…
From this set of procedures for given clause we shall choose only interrogation of experts on pairs decisions. It is widely widespread method. It makes the whole chapter in the theory of the decision-making, well investigated with the…
A new definition of events of game-theoretic probability zero in continuous time is proposed and used to prove results suggesting that trading in financial markets results in the emergence of properties usually associated with randomness.…
We review economic research regarding the decision making processes of individuals in economics, with a particular focus on papers which tried analyzing factors that affect decision making with the evolution of the history of economic…
This paper presents a model with the aim to follow, as closely as possible, the rationale of the macroeconomic model advanced by J.M. Keynes in his famous "The General Theory of Employment, Interest and Money", in order to provide a viable…
This is an introduction to measure theory, integration and function spaces, with all the needed preliminaries included, and with some applications included as well. We first discuss some basic motivations, coming from discrete probability,…
We use generating functional analysis to study minority-game type market models with generalized strategy valuation updates that control the psychology of agents' actions. The agents' choice between trend following and contrarian trading,…
Risk management often plays an important role in decision making under uncertainty. In quantitative risk management, assessing and optimizing risk metrics requires efficient computing techniques and reliable theoretical guarantees. In this…
Quantitative aspects of computation are related to the use of both physical and mathematical quantities, including time, performance metrics, probability, and measures for reliability and security. They are essential in characterizing the…
The essay consists of three parts. In the first part, it is explained how theory of algorithms and computations evaluates the contemporary situation with computers and global networks. In the second part, it is demonstrated what new…
In this paper we show several similarities among logic systems that deal simultaneously with deductive and quantitative inference. We claim it is appropriate to call the tasks those systems perform as Quantitative Logic Reasoning. Analogous…
The aim of this thesis is to analyze and renovate few main-stream models on inflation derivatives. In the first chapter of the thesis, concepts of financial instruments and fundamental terms are introduced, such as coupon bond,…
The theory of optimal trading under proportional transaction costs has been considered from a variety of perspectives. In this paper, we show that all the results can be interpreted using a universal law, illustrating the results in trading…
This paper describes TextTiling, an algorithm for partitioning expository texts into coherent multi-paragraph discourse units which reflect the subtopic structure of the texts. The algorithm uses domain-independent lexical frequency and…
The field of computational statistics refers to statistical methods or tools that are computationally intensive. Due to the recent advances in computing power some of these methods have become prominent and central to modern data analysis.…
Technological advancement has lead to an increase in number and type of trading venues and diversification of goods traded. These changes have re-emphasized the importance of understanding the effects of market competition: does…
We outline what we believe are the prerequisites and building-blocks for successfully devising trading models and other financial applications based on a complex systems perspective.
Recent development in quantum computation and quantum information theory allows to extend the scope of game theory for the quantum world. The authors have recently proposed a quantum description of financial market in terms of quantum game…
Trade networks, across which countries distribute their products, are crucial components of the globalized world economy. Their structure is strongly heterogeneous across products, given the different features of the countries which buy and…
Quantum computing is concerned with computer technology based on the principles of quantum mechanics, with operations performed at the quantum level. Quantum computational models make it possible to analyze the resources required for…