Related papers: Discrete $q$-exponential limit order cancellation …
A mass ejection model in a time-dependent random environment with both temporal and spatial correlations is introduced. When the environment has a finite correlation length, individual particle trajectories are found to diffuse at large…
This paper considers a Markovian model of a limit order book where time-dependent rates are allowed. With the objective of understanding the mechanisms through which a microscopic model of an orderbook can converge to more general diffusion…
The movement of organisms and cells can be governed by occasional long distance runs, according to an approximate L\'evy walk. For T cells migrating through chronically-infected brain tissue, runs are further interrupted by long pauses, and…
In this article, we study a robust estimation method for a general class of integer-valued time series models. The conditional distribution of the process belongs to a broad class of distribution and unlike classical autoregressive…
Several populational networks present complex topologies when implemented in evolutionary algorithms. A common feature of these topologies is the emergence of a power law. Power law behavior with different scaling factors can also be…
We introduce a new stochastic duration model for transaction times in asset markets. We argue that widely accepted rules for aggregating seemingly related trades mislead inference pertaining to durations between unrelated trades: while any…
We expand the Tsallis distribution in a Taylor series of powers of (q-1), where q is the Tsallis parameter, assuming q is very close to 1. This helps in studying the degree of deviation of transverse momentum spectra and other thermodynamic…
This paper proposes an alternative to the classical price-adjustment mechanism (called "t\^{a}tonnement" after Walras) that is second-order in time. The proposed mechanism, an analogue to the damped harmonic oscillator, provides a dynamic…
Energy-based policies offer a flexible framework for modeling complex, multimodal behaviors in reinforcement learning (RL). In maximum entropy RL, the optimal policy is a Boltzmann distribution derived from the soft Q-function, but direct…
Event correlation between aftershocks in the coherent noise model is studied by making use of natural time, which has recently been introduced in complex time-series analysis. It is found that the aging phenomenon and the associated scaling…
In recent studies the truncated Levy process (TLP) has been shown to be very promising for the modeling of financial dynamics. In contrast to the Levy process, the TLP has finite moments and can account for both the previously observed…
This paper proposes a parametric approach for stochastic modeling of limit order markets. The models are obtained by augmenting classical perfectly liquid market models by few additional risk factors that describe liquidity properties of…
The aim of this short note is to present a solution to the discrete time exponential utility maximization problem in a case where the underlying asset has a multivariate normal distribution. In addition to the usual setting considered in…
Liquidity withdrawal is a critical indicator of market fragility. In this project, I test a framework for forecasting liquidity withdrawal at the individual-stock level, ranging from less liquid stocks to highly liquid large-cap tickers,…
Chance-constrained optimization has emerged as a promising framework for managing uncertainties in power systems. This work advances its application to the DC Optimal Power Flow (DC-OPF) model, developing a novel approach to uncertainty…
We deal with the power-law q-distribution functions, so-called q-exponentials in nonextensive statistics. The system considered is a many-body Hamiltonian system with arbitrary interacting potentials. We find that the usual form of…
We revisit the "epsilon-intelligence" model of Toth et al.(2011), that was proposed as a minimal framework to understand the square-root dependence of the impact of meta-orders on volume in financial markets. The basic idea is that most of…
Stock prices are observed to be random walks in time despite a strong, long term memory in the signs of trades (buys or sells). Lillo and Farmer have recently suggested that these correlations are compensated by opposite long ranged…
This paper studies the continuous-time q-learning (the continuous time counterpart of Q-learing) for Markov switching system under Tsallis entropy regularization. We address the difficulty in traditional RL algorithms where the Tsallis…
We study simultaneous price drops of real stocks and show that for high drop thresholds they follow a power-law distribution. To reproduce these collective downturns, we propose a minimal self-organized model of cascade spreading based on a…