Related papers: Information-Theoretic Approach to Financial Market…
Time series models, typically trained on numerical data, are designed to forecast future values. These models often rely on weighted averaging techniques over time intervals. However, real-world time series data is seldom isolated and is…
We introduce and discuss certain kinetic models of (continuous) opinion formation involving both exchange of opinion between individual agents and diffusion of information. We show conditions which ensure that the kinetic model reaches non…
We consider a distributed learning setup where a network of agents sequentially access realizations of a set of random variables with unknown distributions. The network objective is to find a parametrized distribution that best describes…
The use of an Ornstein-Uhlenbeck (OU) process is ubiquitous in business, economics and finance to capture various price processes and evolution of economic indicators exhibiting mean-reverting properties. When structural changes happen,…
This paper proposes a theory of stock market predictability patterns based on a model of heterogeneous beliefs. In a discrete finite time framework, some agents receive news about an asset's fundamental value through a noisy signal. The…
A kinetic inhomogeneous Boltzmann-type equation is proposed to model the dynamics of the number of agents in a large market depending on the estimated value of an asset and the rationality of the agents. The interaction rules take into…
We derive a mesoscopic description of the behavior of a simple financial market where the agents can create their own portfolio between two investment alternatives: a stock and a bond. The model is derived starting from the…
The paper discusses a path-wise approach to stock price modelling.
In this paper, we consider a simple kinetic model of economy involving both exchanges between agents and speculative trading. We show that the kinetic model admits non trivial quasi-stationary states with power law tails of Pareto type. In…
This work investigates the effects of complex networks on the collective behavior of a three-state opinion formation model in economic systems. Our model considers two distinct types of investors in financial markets: noise traders and…
The three-state agent-based 2D model of financial markets as proposed by Giulia Iori has been extended by introducing increasing trust in the correctly predicting agents, a more realistic consultation procedure as well as a formal…
We have studied inflationary paradigm through an inflationary equation of state. With a single parameter equation of state as a function of the scalar field responsible for accelerated expansion, we find an observationally viable model…
We show that financial correlations exhibit a non-trivial dynamic behavior. We introduce a simple phenomenological model of a multi-asset financial market, which takes into account the impact of portfolio investment on price dynamics. This…
This paper develops a method to derive optimal portfolios and risk premia explicitly in a general diffusion model for an investor with power utility and a long horizon. The market has several risky assets and is potentially incomplete.…
Communication is now a standard tool in the central bank's monetary policy toolkit. Theoretically, communication provides the central bank an opportunity to guide public expectations, and it has been shown empirically that central bank…
The integration and innovation of finance and technology have gradually transformed the financial system into a complex one. Analyses of the causesd of abnormal fluctuations in the financial market to extract early warning indicators…
Fluctuations in biochemical networks, e.g., in a living cell, have a complex origin that precludes a description of such systems in terms of bipartite or multipartite processes, as is usually done in the framework of stochastic and/or…
Consider a photon that has just emerged from a linear polarizing filter. If the photon is then subjected to an orthogonal polarization measurement-e.g., horizontal vs vertical-the photon's preparation cannot be fully expressed in the…
We study the continuous time Kyle-Back model with a risk averse informed trader.We show that in a market with multiple assets and non-Gaussian prices an equilibrium exists. The equilibrium is constructed by considering a Fokker-Planck…
Bounded agents are limited by intrinsic constraints on their ability to process information that is available in their sensors and memory and choose actions and memory updates. In this dissertation, we model these constraints as…