Related papers: The theory of quantitative trading
Employing a recent technique which allows the representation of nonstationary data by means of a juxtaposition of locally stationary patches of different length, we introduce a comprehensive analysis of the key observables in a financial…
This is a survey of the diversity of problems in additive number theory. Equity requires the consideration of less currently popular problems, and suggests their inclusion in the additive canon. Of particular interest are problems about the…
The paper focuses on the link between information, investors' expectations and market price movement. EUR/USD market is examined from communication-theoretical perspective on the dynamics of information and meaning. We build upon the…
Introducing the notion of a rational system of measure preserving transformations and proving a recurrence result for such systems, we give sufficient conditions in order a subset of rational numbers to contain arbitrary long arithmetic…
This book brings new mathematical rigour to the ongoing vigorous debate on how to quantify biological diversity. The question "what is diversity?" has surprising mathematical depth, and breadth too: this book involves parts of mathematics…
We introduce a hierarchical classification of theories that describe systems with fundamentally limited information content. This property is introduced in an operational way and gives rise to the existence of mutually complementary…
I present an overview of some recent advancements on the empirical analysis and theoretical modeling of the process of price formation in financial markets as the result of the arrival of orders in a limit order book exchange. After…
This book contains a large number of exercises related to different stochastic disciplines. Difficulty of the problems varies from the basic level in the first chapter up to the analysis of articles in Probability, Statistics and Computer…
Bilateral trade is one of the most natural and important forms of economic interaction: A seller has a single, indivisible item for sale, and a buyer is potentially interested. The two parties typically have different, privately known…
The rather unintuitive nature of quantum theory has led numerous people to develop sets of (physically motivated) principles that can be used to derive quantum mechanics from the ground up, in order to better understand where the structure…
In this work we build a theoretical framework for the transport of information in quantum systems. This is a framework aimed at describing how out of equilibrium open quantum systems move information around their state space, using an…
No mixed research of hybrid and fractional-order systems into a cohesive and multifaceted whole can be found in the literature. This paper focuses on such a synergistic approach of the theories of both branches, which is believed to give…
This paper outlines an agent-based model of a simple financial market in which a single asset is available for trade by three different types of traders. The model was first introduced in the PhD thesis of one of the authors, see reference…
Statistical properties of evolving random graphs are analyzed using kinetic theory. Treating the linking process dynamically, structural characteristics such as links, paths, cycles, and components are obtained analytically using the rate…
An agent-based model for financial markets has to incorporate two aspects: decision making and price formation. We introduce a simple decision model and consider its implications in two different pricing schemes. First, we study its…
An approach is presented treating decision theory as a probabilistic theory based on quantum techniques. Accurate definitions are given and thorough analysis is accomplished for the quantum probabilities describing the choice between…
We study an economic model where agents trade a variety of products by using one of three competing rules: "need", "greed" and "noise". We find that the optimal strategy for any agent depends on both product composition in the overall…
Limit order books (LOBs) match buyers and sellers in more than half of the world's financial markets. This survey highlights the insights that have emerged from the wealth of empirical and theoretical studies of LOBs. We examine the…
Data are invaluable. How can we assess the value of data objectively, systematically and quantitatively? Pricing data, or information goods in general, has been studied and practiced in dispersed areas and principles, such as economics,…
People solve different problems and know that some of them are simple, some are complex and some insoluble. The main goal of this work is to develop a mathematical theory of algorithmic complexity for problems. This theory is aimed at…