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In speculative markets, risk-free profit opportunities are eliminated by traders exploiting them. Markets are therefore often described as "informationally efficient", rapidly removing predictable price changes, and leaving only residual…
We consider a generalization of the variance-gamma (generalized asymmetric Laplace) distribution, defined as a normal mean - variance mixture with a gamma mixing distribution. While this model is typically studied in the univariate setting,…
This paper describes an agent-based model of interacting firms, in which interacting firm agents rationally invest capital and labor in order to maximize payoff. Both transactions and production are taken into account in this model. First,…
In two-dimensional Floquet systems, many-body localized dynamics in the bulk may give rise to a chaotic evolution at the one-dimensional edges that is characterized by a nonzero chiral topological index. Such anomalous dynamics is…
We study the dependence of volatility on the stock price in the stochastic volatility framework on the example of the Heston model. To be more specific, we consider the conditional expectation of variance (square of volatility) under fixed…
Dynamic input-output models are standard tools for understanding inter-industry dependencies and how economies respond to shocks like disasters and pandemics. However, traditional approaches often assume fixed prices, limiting their ability…
The pricing of derivatives tied to baskets of assets demands a sophisticated framework that aligns with the available market information to capture the intricate non-linear dependency structure among the assets. We describe the dynamics of…
We analyze the stability properties of equilibrium solutions and periodicity of orbits in a two-dimensional dynamical system whose orbits mimic the evolution of the price of an asset and the excess demand for that asset. The construction of…
Intraday electricity markets play an increasingly important role in balancing the intermittent generation of renewable energy resources, which creates a need for accurate probabilistic price forecasts. However, research to date has focused…
In the present paper a model of a market consisting of real and financial interacting sectors is studied. Agents populating the stock market are assumed to be not able to observe the true underlying fundamental, and their beliefs are biased…
Let $\Lambda=\{\Lambda_0,\Lambda_1,\Lambda_2,\ldots\}$ be the point process that describes the edge scaling limit of either (i) "regular" beta-ensembles with inverse temperature $\beta>0$, or (ii) the top eigenvalues of Wishart or Gaussian…
An analytical model based on variational principles for a thin-walled stiffened plate subjected to axial compression is presented. A system of nonlinear differential and integral equations is derived and solved using numerical continuation.…
We introduce a non linear pricing model of individual stock returns that defines a stickiness parameter of the returns. The pricing model resembles the capital asset pricing model used in finance but has a non linear component inspired from…
Many popular estimation methods in panel data rely on the assumption that the covariates of interest are strictly exogenous. However, this assumption is empirically restrictive in a wide range of settings. In this paper I argue that…
We study local stabilization of nonlinear control systems under explicit gain constraints on the feedback law. Using a quantitative refinement of Brockett's openness condition, we introduce the notion of a maximal continuous openness rate…
We investigate the large-volatility dynamics in financial markets, based on the minute-to-minute and daily data of the Chinese Indices and German DAX. The dynamic relaxation both before and after large volatilities is characterized by a…
We discuss the asymptotic behaviour of risk-based indifference prices of European contingent claims in discrete-time financial markets under volatility uncertainty as the number of intermediate trading periods tends to infinity. The…
We study overpricing in a repeated game between two representative agents: a market maker, who controls market liquidity, and a market taker, who chooses trade quantities. Market prices evolve through the endogenous price impact of trades…
A feedback stabilization scheme to stabilize a classical reacting Hamiltonian system is proposed. It is based on transforming a saddle-type equilibrium to an asymptotically stable one, and is given in a simple and algorithmic way. The…
Price changes are induced by aggressive market orders in stock market. We introduce a bivariate marked Hawkes process to model aggressive market order arrivals at the microstructural level. The order arrival intensity is marked by an…