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Financial transactions constitute connections between entities and through these connections a large scale heterogeneous weighted graph is formulated. In this labyrinth of interactions that are continuously updated, there exists a variety…
In this article the problem of reconstructing the pattern of connection between agents from partial empirical data in a macro-economic model is addressed, given a set of behavioral equations. This systemic point of view puts the focus on…
This paper describes surface-like waves of macroeconomic Credits-Loans transactions on economic space. We use agent's risk ratings as their coordinates and describe evolution of macro variables by transactions between agents. Aggregations…
The existence of time-lagged cross-correlations between the returns of a pair of assets, which is known as the lead-lag relationship, is a well-known stylized fact in financial econometrics. Recently some continuous-time models have been…
The modeling of high-frequency data that qualify financial asset transactions has been an area of relevant interest among statisticians and econometricians -- above all, the analysis of time series of financial durations. Autoregressive…
In this article we discuss some of the consequences of the mixed membership perspective on time series analysis. In its most abstract form, a mixed membership model aims to associate an individual entity with some set of attributes based on…
Internet platforms' traffic defines important characteristics of platforms, such as pricing of services, advertisements, speed of operations. One can estimate the traffic with the traditional time series models like ARIMA, Holt-Winters,…
We empirically analyze the reversion of financial market trends with time horizons ranging from minutes to decades. The analysis covers equities, interest rates, currencies and commodities and combines 14 years of futures tick data, 30…
This paper presents a meta-learning framework for credit risk assessment of Italian Small and Medium Enterprises (SMEs) that explicitly addresses the temporal misalignment of credit scoring models. The approach aligns financial statement…
We study the cluster dynamics of multichannel (multivariate) time series by representing their correlations as time-dependent networks and investigating the evolution of network communities. We employ a node-centric approach that allows us…
We consider the randomness of market trade as the origin of price and return stochasticity. We look at time series of trade values and volumes as random variables during the averaging interval {\Delta} and describe the dependences of…
Large language models (LLMs) are increasingly deployed in agentic frameworks, in which prompts trigger complex tool-based analysis in pursuit of a goal. While these frameworks have shown promise across multiple domains including in finance,…
Data-driven control of discrete-time and continuous-time systems is of tremendous research interest. In this paper, we explore data-driven optimal control of continuous-time linear systems using input-output data. Based on a density result,…
Achieving the United Nations Sustainable Development Goals (SDGs) requires an understanding of the complex interlinkages that exist among their underlying indicators. While most existing research examines these interconnections at the goal…
We propose a new class of mappings, called Dynamic Limit Growth Indices, that are designed to measure the long-run performance of a financial portfolio in discrete time setup. We study various important properties for this new class of…
It is shown how the macroscopic non-equilibrium dynamics of a class of systems whose microscopic stochastic dynamics involves disordered and frustrated but range-free interactions can be well described by closed deterministic flow…
Financial markets are of much interest to researchers due to their dynamic and stochastic nature. With their relations to world populations, global economies and asset valuations, understanding, identifying and forecasting trends and…
Complex systems are commonly modeled using nonlinear dynamical systems. These models are often high-dimensional and chaotic. An important goal in studying physical systems through the lens of mathematical models is to determine when the…
Commodity Trading Advisors (CTAs) have historically relied on trend-following rules that operate on vastly different horizons from long-term breakouts that capture major directional moves to short-term momentum signals that thrive in…
Inspired by studies on airline networks we propose a general model for weighted networks in which topological growth and weight dynamics are both determined by cost adversarial mechanism. Since transportation networks are designed and…