Related papers: The theory of quantitative trading
The multiplicative theory of a set of numbers (which could be natural, integer, rational, real or complex numbers) is the first-order theory of the structure of that set with (solely) the multiplication operation (that set is taken to be…
The rating of items based on pairwise comparisons has been a topic of statistical investigation for many decades. Numerous approaches have been proposed. One of the best known is the Bradley-Terry model. This paper seeks to assemble and…
This text contains over three hundred specific open questions on various topics in additive combinatorics, each placed in context by reviewing all relevant results. While the primary purpose is to provide an ample supply of problems for…
Qualitative research is an approach to understanding social phenomenon based around human interpretation of data, particularly text. Probabilistic topic modelling is a machine learning approach that is also based around the analysis of text…
This work's purpose is to understand the dynamics of limit order books in order-driven markets. We try to illustrate a dynamical trading mechanism attached to the microstructure of limit order markets. We capture the iterative nature of…
Starting from the observation of the real trading activity, we propose a model of a stockmarket simulating all the typical phases taking place in a stock exchange. We show that there is no need of several classes of agents once one has…
This book covers a wide range of problems involving the applications of stochastic processes, stochastic calculus, large deviation theory, group representation theory and quantum statistics to diverse fields in dynamical systems,…
This is a textbook about elementary number theory, with emphasis on classical topics around the Euklidean Algorithm.
These lecture notes provide a comprehensive introduction to Quantitative Methods in Finance (QMF), designed for graduate students in finance and economics with heterogeneous programming backgrounds. The material develops a unified toolkit…
We use standard physics techniques to model trading and price formation in a market under the assumption that order arrival and cancellations are Poisson random processes. This model makes testable predictions for the most basic properties…
This paper is an original attempt to understand the foundations of economic reasoning. It endeavors to rigorously define the relationship between subjective interpretations and objective valuations of such interpretations in the context of…
Cognitive assessment is a growing area in psychological and educational measurement, where tests are given to assess mastery/deficiency of attributes or skills. A key issue is the correct identification of attributes associated with items…
In this paper we develop a model of an order-driven market where traders set bids and asks and post market or limit orders according to exogenously fixed rules. Agents are assumed to have three components to the expectation of future asset…
The paper deals with the study of labor market dynamics, and aims to characterize its equilibriums and possible trajectories. The theoretical background is the theory of the segmented labor market. The main idea is that this theory is well…
I give a concise introduction to some essential concepts of statistical mechanics: 1. Probability theory (constrained distributions, concentration theorem, frequency estimation, hypothesis testing); 2. Macroscopic systems in equilibrium…
A speculative agent with Prospect Theory preference chooses the optimal time to purchase and then to sell an indivisible risky asset to maximize the expected utility of the round-trip profit net of transaction costs. The optimization…
Order positions are key variables in algorithmic trading. This paper studies the limiting behavior of order positions and related queues in a limit order book. In addition to the fluid and diffusion limits for the processes, fluctuations of…
Recently, concatenating multiple keyphrases as a target sequence has been proposed as a new learning paradigm for keyphrase generation. Existing studies concatenate target keyphrases in different orders but no study has examined the effects…
The ideas of the constraint-based statistics are introduced. The axiom and six theorems of the constraint-based statistics are established.
This is a book chapter on the nature of time, from the point of view of the transactional interpretation of quantum mechanics.