Related papers: Trade Execution Flow as the Underlying Source of M…
Recent developments have created the ability to quantify information flow among components that interact in a dynamical system, and have led to significant advances in characterizing the dependence between the variables involved. In…
In this paper we investigate the endogenous information contained in four liquidity variables at a five minutes time scale on equity markets around the world: the traded volume, the bid-ask spread, the volatility and the volume at first…
This paper studies the problem of optimally extracting nonrenewable natural resource in light of various financial and economic restrictions and constraints. Taking into account the fact that the market values of the main natural resources…
Traffic flow data collected by an induction loop detector on the highway close to Koeln-Nord are investigated with respect to their dynamics including the stochastic content. In particular we present a new method, with which the flow…
Neural Ordinary Differential Equations (NODEs) often struggle to adapt to new dynamic behaviors caused by parameter changes in the underlying physical system, even when these dynamics are similar to previously observed behaviors. This…
We demonstrate the application of an algorithmic trading strategy based upon the recently developed dynamic mode decomposition (DMD) on portfolios of financial data. The method is capable of characterizing complex dynamical systems, in this…
Many production lines require active control mechanisms, such as adaptive routing, worker reallocation, and rescheduling, to maintain optimal performance. However, designing these control systems is challenging for various reasons, and…
A new class of exclusion type processes acting in continuum with synchronous updating is introduced and studied. Ergodic averages of particle velocities are obtained and their connections to other statistical quantities, in particular to…
We establish It\^o's formula along flows of probability measures associated with general semimartingales; this generalizes existing results for flows of measures on It\^o processes. Our approach is to first establish It\^o's formula for…
We investigated a cost-constrained static ergodic control problem of the variance of measure-valued affine processes and its application in streamflow management. The controlled system is a jump-driven mixed moving average process that…
The dominant reaction pathway (DRP) is a rigorous framework to microscopically compute the most probable trajectories, in non-equilibrium transitions. In the low-temperature regime, such dominant pathways encode the information about the…
We consider an optimal trading problem under a market impact model with endogenous market resistance generated by a sophisticated trader who (partially) detects metaorders and trades against them to exploit price overreactions induced by…
The aim of the present contribution is to provide a framework for analyzing and visualizing the correlated many-electron dynamics of molecular systems, where an explicitly time-dependent electronic wave packet is represented as a linear…
Modeling stochastic dynamics from discrete observations is a key interdisciplinary challenge. Existing methods often fail to estimate the continuous evolution of probability densities from trajectories or face the curse of dimensionality.…
We propose a model of fractal point process driven by the nonlinear stochastic differential equation. The model is adjusted to the empirical data of trading activity in financial markets. This reproduces the probability distribution…
Derivatives of equations of motion describing the rigid body dynamics are becoming increasingly relevant for the robotics community and find many applications in design and control of robotic systems. Controlling robots, and multibody…
Industrial soft sensing is crucial for accurate process monitoring through reliable inference of dominant sensor variables. However, developing effective data-driven soft sensor models presents challenges, such as achieving domain…
Using a large database of 8 million institutional trades executed in the U.S. equity market, we establish a clear crossover between a linear market impact regime and a square-root regime as a function of the volume of the order. Our…
This paper introduces an analytical formula for the fractional-order conditional moments of nonlinear drift constant elasticity of variance (NLD-CEV) processes under regime switching, governed by continuous-time finite-state irreducible…
We propose a new framework to estimate the evolution of an ensemble of indistinguishable agents on a hidden Markov chain using only aggregate output data. This work can be viewed as an extension of the recent developments in optimal mass…