Related papers: How do we measure trade elasticity for services?
This paper addresses the trade-off between internalisation and externalisation in the management of stochastic trade flows. We consider agents who must absorb flows and manage risk by deciding whether to warehouse it or hedge in the market,…
The present paper proposes a novel Bayesian, computational strategy in the context of model-based inverse problems in elastostatics. On one hand we attempt to provide probabilistic estimates of the material properties and their spatial…
A method for testing nonlinearity in time series is described based on information-theoretic functionals -- redundancies, linear and nonlinear forms of which allow either qualitative, or, after incorporating the surrogate data technique,…
During the last decade Levy processes with jumps have received increasing popularity for modelling market behaviour for both derviative pricing and risk management purposes. Chan et al. (2009) introduced the use of empirical likelihood…
We consider change point detection for the volatility in second order linear parabolic stochastic partial differential equations based on high frequency spatio-temporal data. We give a test statistic to detect changes in the volatility…
We study the elasto-plastic behaviour of materials made of individual (discrete) objects, such as a liquid foam made of bubbles. The evolution of positions and mutual arrangements of individual objects is taken into account through…
Statistical arbitrage exploits temporal price differences between similar assets. We develop a framework to jointly identify similar assets through factors, identify mispricing and form a trading policy that maximizes risk-adjusted…
Time variation and persistence are crucial properties of volatility that are often studied separately in energy volatility forecasting models. Here, we propose a novel approach that allows shocks with heterogeneous persistence to vary…
The impact of trades on asset prices is a crucial aspect of market dynamics for academics, regulators and practitioners alike. Recently, universal and highly nonlinear master curves were observed for price impacts aggregated on all…
We examine identification of differentiated products demand when one has "micro data" linking individual consumers' characteristics and choices. Our model nests standard specifications featuring rich observed and unobserved consumer…
Exchangeability -- in which the distribution of an infinite sequence is invariant to reorderings of its elements -- implies the existence of a simple conditional independence structure that may be leveraged in the design of statistical…
We consider the problem of dispatching a fleet of heterogeneous energy storage units to provide grid support. Under the restriction that recharging is not possible during the time frame of interest, we develop an aggregate measure of fleet…
The objective of this work is the investigation of complexity, asymmetry, stochasticity and non-linearity of the financial and economic systems by using the tools of statistical mechanics and information theory. More precisely, this thesis…
We study the dynamics of the linear and non-linear serial dependencies in financial time series in a rolling window framework. In particular, we focus on the detection of episodes of statistically significant two- and three-point…
In this article, it is described how to use statistical data analysis to obtain models directly from data. The focus is put on finding nonlinearities within a generalized additive model. These models are found by the means of backfitting…
An Entropic Dynamics of exchange rates is laid down to model the dynamics of foreign exchange rates, FX, and European Options on FX. The main objective is to represent an alternative framework to model dynamics. Entropic inference is an…
We review the evidence that the erratic dynamics of markets is to a large extent of endogenous origin, i.e. determined by the trading activity itself and not due to the rational processing of exogenous news. In order to understand why and…
This paper investigates the evolving dynamics of international trade, emphasizing the strategic interplay between competition and cooperation within the global trade network. It argues that competitive advantages - rather than traditional…
In this paper, we employ the Heston stochastic volatility model to describe the stock's volatility and apply the model to derive and analyze the optimal trading strategies for dealers in a security market. We also extend our study to option…
Transfer entropy is used to establish a measure of causal relationships between two variables. Symbolic transfer entropy, as an estimation method for transfer entropy, is widely applied due to its robustness against non-stationarity. This…