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This paper compares and contrasts stationarity between the conventional stock market and cryptocurrency. The dataset used for the analysis is the intraday price indices of the S&P500 from 1996 to 2023 and the intraday Bitcoin indices from…
This paper is concerned with the study of the stability of dynamical systems evolving on time scales. We first {formalize the notion of matrix measures on time scales, prove some of their key properties and make use of this notion to study…
In this article, we introduce and study a one sided tempered stable first order autoregressive model called TAR(1). Under the assumption of stationarity of the model, the marginal probability density function of the error term is found. It…
We identify volatility spillovers across commodities, equities, and treasuries using a hybrid HAR-ElasticNet framework on daily realized volatility for six futures markets over 2002--2025. Our two step procedure estimates own-volatility…
This paper is concerned with the stability of shares in a cryptocurrency where the new coins are issued according to the Proof of Stake protocol. We identify large, medium and small investors under various rewarding schemes, and show that…
Understanding the micro-dynamics of asset prices in modern electronic order books is crucial for investors and regulators. In this paper, we use an order by order Eurostoxx database spanning over 3 years to analyze the joint dynamics of…
We study stable allocations in an exchange economy with indivisible goods. The problem is well-known to be challenging, and rich enough to encode fundamentally unstable economies, such as the roommate problem. Our approach stems from…
Computing the reliability of a time-varying network, taking into account its dynamic nature, is crucial for networks that change over time, such as space networks, vehicular ad-hoc networks, and drone networks. These networks are modeled…
Stability of linear systems with uncertain bounded time-varying delays is studied under assumption that the nominal delay values are not equal to zero. An input-output approach to stability of such systems is known to be based on the bound…
Precise short-term price prediction in the highly volatile cryptocurrency market is critical for informed trading strategies. Although Temporal Fusion Transformers (TFTs) have shown potential, their direct use often struggles in the face of…
In this letter, we analytically investigate the sensitivity of stability index to its dependent variables in general power systems. Firstly, we give a small-signal model, the stability index is defined as the solution to a semidefinite…
A novel numerical method for solving inverse scattering problem with fixed-energy data is proposed. The method contains a new important concept: the stability index of the inversion problem. This is a number, computed from the data, which…
We investigate the behavior of systems of interacting diffusion processes, known as volatility-stabilized market models in the mathematical finance literature, when the number of diffusions tends to infinity. We show that, after an…
This work studies the symmetry between colloidal dynamics and the dynamics of the Euro--US Dollar currency exchange market (EURUSD). We consider the EURUSD price in the time range between 2001 and 2015, where we find significant qualitative…
In this paper, we analyze the dynamics of spreading processes taking place over time-varying networks. A common approach to model time-varying networks is via Markovian random graph processes. This modeling approach presents the following…
This paper addresses the challenge of achieving stable adaptive teleoperation and improving the convergence rate in the presence of high communication time delays. We employ a passivity-based formalism to establish stability using wave…
We consider the Ricker model with delay and constant or periodic stocking. We found that the high stocking density tends to neutralize the delay effect on stability. Conditions are established on the parameters to ensure the global…
We develop a novel observation-driven model for high-frequency prices. We account for irregularly spaced observations, simultaneous transactions, discreteness of prices, and market microstructure noise. The relation between trade durations…
We introduce a two-dimensional Keller-Segel type free boundary model for motility of eukaryotic cells on substrates. The key ingredients of this model are the Darcy law for overdamped motion of the cytoskeleton (active) gel and Hele-Shaw…
This paper proposes an enhanced approach to modeling and forecasting volatility using high frequency data. Using a forecasting model based on Realized GARCH with multiple time-frequency decomposed realized volatility measures, we study the…