Related papers: Relaxation Processes in Administered-Rate Pricing
Granular materials such as sand, powders, and food grains are ubiquitous in civil engineering, geoscience, agriculture, and medicine. While the influence of friction between the grains on the static structure of these systems is well…
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…
This paper presents a new interacting particle system and uses it as a spin model for financial market microstructure. The asymptotic analysis of this stochastic process exhibits a lower bound to the contemporaneous measurement of price and…
Using the Jacobian matrix, we obtain theoretical expression of rigidity and the density of states of two-dimensional amorphous solids consisting of frictional grains in the linear response to an infinitesimal strain, in which we ignore the…
This work presents an extended formulation of maximal stiffness design, within the framework of the topology optimization. The mathematical formulation of the optimization problem is based on the postulated principle of equal dissipation…
We present a new class of Bayesian dynamic models for bivariate price-realized volatility time series in financial forecasting. A novel dynamic gamma process model adopted for realized volatility is integrated with traditional Bayesian…
In a model with no given probability measure, we consider asset pricing in the presence of frictions and other imperfections and characterize the property of coherent pricing, a notion related to (but much weaker than) the no arbitrage…
The paper discusses various practical consequences of treating economics and finance as an inherently dynamic and chaotic system. On the theoretical side this looks at the general applicability of the market-making pricing approach to…
The development of new methods and representations for temporal decision-making requires a principled basis for characterizing and measuring the flexibility of decision strategies in the face of uncertainty. Our goal in this paper is to…
We study the collective behavior of interacting agents in a simple model of market economics originally introduced by N{\o}rrelykke and Bak. A general theoretical framework for interacting traders on an arbitrary network is presented, with…
We explore a stochastic model that enables capturing external influences in two specific ways. The model allows for the expression of uncertainty in the parametrisation of the stochastic dynamics and incorporates patterns to account for…
A theory for kinetic arrest in isotropic systems of repulsive, radially-interacting particles is presented that predicts exponents for the scaling of various macroscopic quantities near the rigidity transition that are in agreement with…
A minimal stochastic dynamical model of the interbank network is introduced, with linear interactions mediated by an integral of recent variations. Defining stress as the variance over the banks' states, the interaction correction to the…
In this paper, we study the pricing of contracts in fixed income markets under volatility uncertainty in the sense of Knightian uncertainty or model uncertainty. The starting point is an arbitrage-free bond market under volatility…
We introduce a simple one-dimensional sandpile model that undergoes relaxation oscillations. A single model can account for self-organized critical behavior and relaxation oscillations, depending on the manner in which it is driven,…
The presence of variable renewable energy resources with uncertain outputs in day-ahead electricity markets results in additional balancing needs in real-time. Addressing those needs cost-effectively and reliably within a competitive market…
Highlights: \begin{itemize} \item Relativistic effect of crystal dynamics "freezing". \item Non-statistical model of thermodynamic equilibration. \end{itemize} The dynamics of oscillations of a one-dimensional atomic chain is investigated…
In complex systems, many different parts interact in non-obvious ways. Traditional research focuses on a few or a single aspect of the problem so as to analyze it with the tools available. To get a better insight of phenomena that emerge…
We present a quantitative theory for a relaxation function in a simple glass-forming model (binary mixture of particles with different interaction parameters). It is shown that the slowing down is caused by the competition between locally…
An analyst observes an agent take a sequence of actions. The analyst does not have access to the agent's information and ponders whether the observed actions could be justified through a rational Bayesian model with a known utility…