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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…
This paper deals with the analysis of stochastic systems which can be described by a Langevin equation. By the method presented in this paper drift and diffusion terms of the corresponding Fokker-Planck equation can be extracted from the…
Explicitly taking into account the risk incurred when borrowing at a shorter tenor versus lending at a longer tenor ("roll-over risk"), we construct a stochastic model framework for the term structure of interest rates in which a frequency…
The cross-correlations between the exchange rate fluctuations of 74 currencies over the period 1995-2012 are analyzed in this paper. The eigenvalue distribution of the cross-correlation matrix exhibits a bulk which approximately matches the…
This study investigates the asymptotic dynamics of solutions to the Fokker-Planck-Kolmogorov (FPK) equation, with a specific focus on ship roll stability in dynamic sea conditions. Utilizing a fourth-order filter, we conduct a thorough…
This paper aims at solving FX market volatility modeling problem and finding the most becoming approach to this task. Validity of two competing approaches, classical econometric generalized conditional heteroscedasticity and mathematical…
Fluctuations of the comoving curvature perturbation with wavelengths larger than the horizon length are governed by a Langevin equation whose stochastic noise arise from the quantum fluctuations that are assumed to become classical at…
A central problem of Quantitative Finance is that of formulating a probabilistic model of the time evolution of asset prices allowing reliable predictions on their future volatility. As in several natural phenomena, the predictions of such…
Behavioural finance offers a valuable framework for examining foreign exchange (FX) market dynamics, including puzzles such as excess volatility and fat-tailed distributions. Yet, when it comes to their interaction with the `real' side of…
We extend the "probability-equivalent level of VaR and CoVaR" (PELCoV) methodology to accommodate bivariate risks modeled by a Student-t copula, relaxing the strong dependence assumptions of earlier approaches and enhancing the framework's…
We utilize the externally forced linearized Navier-Stokes equations to study the receptivity of pre-transitional boundary layers to persistent sources of stochastic excitation. Stochastic forcing is used to model the effect of free-stream…
The model describing market dynamics after a large financial crash is considered in terms of the stochastic differential equation of Ito. Physically, the model presents an overdamped Brownian particle moving in the nonstationary…
The analysis of the effects of monetary policy shocks using the common econometric models (such as VAR or SVAR) poses several empirical anomalies. However, it is known that in these econometric models the use of a large amount of…
We study the dynamics of inertial particles in turbulence using datasets obtained from both direct numerical simulations and laboratory experiments of turbulent swirling flows. By analyzing time series of particle velocity increments at…
With the rapid development of computational techniques and scientific tools, great progress of data-driven analysis has been made to extract governing laws of dynamical systems from data. Despite the wide occurrences of non-Gaussian…
We introduce a tractable multi-currency model with stochastic volatility and correlated stochastic interest rates that takes into account the smile in the FX market and the evolution of yield curves. The pricing of vanilla options on FX…
A time-varying cointegration model for foreign exchange rates is presented. Unlike previous studies, we allow the loading matrix in the vector error correction (VEC) model to be varying over time. Because the loading matrix in the VEC model…
We have investigated how Langevin dynamics is affected by the friction coefficient using the novel algorithm ISOKANN, which combines the transfer operator approach with modern machine learning techniques. ISOKANN describes the dynamics in…
How to distinguish and quantify deterministic and random influences on the statistics of turbulence data in meteorology cases is discussed from first principles. Liquid water path (LWP) changes in clouds, as retrieved from radio signals,…
Many physical systems characterized by nonlinear multiscale interactions can be effectively modeled by treating unresolved degrees of freedom as random fluctuations. However, even when the microscopic governing equations and qualitative…