Related papers: Trade Execution Flow as the Underlying Source of M…
Ensuring the safe and reliable operation of integrated electricity and gas systems (IEGS) requires dynamic energy flow (DEF) simulation tools that achieve high accuracy and computational efficiency. However, the inherent strong nonlinearity…
This article present a continuous cascade model of volatility formulated as a stochastic differential equation. Two independent Brownian motions are introduced as random sources triggering the volatility cascade. One multiplicatively…
Trading a financial asset pushes its price as well as the prices of other assets, a phenomenon known as cross-impact. The empirical estimation of this effect on complex financial instruments, such as derivatives, is an open problem. To…
We show that, in 't Hooft's large N limit, matrix models can be formulated as a classical theory whose equations of motion are the factorized Schwinger--Dyson equations. We discover an action principle for this classical theory. This action…
The driving force for active physical and biological systems is determined by both the underlying landscape and the non-equilibrium curl flux. While landscape can be quantified in the experiments by the histograms of the collecting…
Nonequilibrium dynamics governed by electron-phonon (e-ph) interactions plays a key role in electronic devices and spectroscopies and is central to understanding electronic excitations in materials. The real-time Boltzmann transport…
Starting from the characterization of the past time evolution of market prices in terms of two fundamental indicators, price velocity and price acceleration, we construct a general classification of the possible patterns characterizing the…
This paper concerns applications of a recently-developed output-tracking technique to trajectory control of autonomous vehicles. The technique is based on three principles: Newton-Raphson flow for solving algebraic equations,output…
We propose a numerical recipe for risk evaluation defined by a backward stochastic differential equation. Using dual representation of the risk measure, we convert the risk valuation to a stochastic control problem where the control is a…
In this paper, we introduce a novel reinforcement learning framework for optimal trade execution in a limit order book. We formulate the trade execution problem as a dynamic allocation task whose objective is the optimal placement of market…
In this paper, we examine in an abstract framework, how a tradeoff between efficiency and robustness arises in different dynamic oligopolistic market architectures. We consider a market in which there is a monopolistic resource provider and…
Event-driven programming is widely used for implementing user interfaces, web applications, and non-blocking I/O. An event-driven program is organized as a collection of event handlers whose execution is triggered by events. Traditional…
For configurational changes of soft matter systems affected or caused by external hydrodynamic flow, we identify applied work, exchanged heat, and entropy change on the level of a single trajectory. These expressions guarantee invariance of…
In this paper we systematically apply the mathematical structures by time-evolving measures developed in a previous work to the macroscopic modeling of pedestrian flows. We propose a discrete-time Eulerian model, in which the space…
This paper examines the role of algorithmic trading in modern financial markets. Additionally, order types, characteristics, and special features of algorithmic trading are described under the lens provided by the large development of high…
This paper introduces DynaFlow, a novel framework that embeds a differentiable simulator directly into a flow matching model. By generating trajectories in the action space and mapping them to dynamically feasible state trajectories via the…
This paper investigates the structural dynamics of stock market volatility through the Financial Chaos Index, a tensor- and eigenvalue-based measure designed to capture realized volatility via mutual fluctuations among asset prices.…
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 thesis develops a mathematical framework for the analysis of continuous-time trading strategies which, in contrast to the classical setting of continuous-time finance, does not rely on stochastic integrals or other probabilistic…
We present DataFlow, a computational framework for building, testing, and deploying high-performance machine learning systems on unbounded time-series data. Traditional data science workflows assume finite datasets and require substantial…