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Systemic risk is a rapidly developing area of research. Classical financial models often do not adequately reflect the phenomena of bubbles, crises, and transitions between them during credit cycles. To study very improbable events,…
This paper is an original attempt to understand the foundations of economic reasoning. It endeavors to rigorously define the relationship between subjective interpretations and objective valuations of such interpretations in the context of…
Some problems related to an algebraic approach to quantum statistics are discussed. Generalized quantum statistics is described as a result of interactions. The Fock space representation is discussed. The problem of existence of…
The concept of typicality refers to properties holding for the "overwhelming majority" of cases and is a fundamental idea of the qualitative approach to dynamical problems. We argue that measure-theoretical typicality would be the adequate…
We analyze a proprietary dataset of trades by a single asset manager, comparing their price impact with that of the trades of the rest of the market. In the context of a linear propagator model we find no significant difference between the…
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…
We propose a fully probabilistic formulation of the notion of mechanistic interaction (interaction in some fundamental mechanistic sense) between the effects of putative (possibly continuous) causal factors A and B on a binary outcome…
A generalization of a distribution increases the flexibility particularly in studying of a phenomenon and its properties. Many generalizations of continuous univariate distributions are available in literature. In this study, an…
In the over-the-counter market in derivatives, we sometimes see large numbers of traders taking the same position and risk. When there is this kind of concentration in the market, the position impacts the pricings of all other derivatives…
In a simplified model of Multiple Parton Interactions the inclusive cross sections, of processes with large momentum transfer exchange, acquire the statistical meaning of factorial moments of the distribution in multiplicity of…
We explore various extensions of Challet and Zhang's Minority Game in an attempt to gain insight into the dynamics underlying financial markets. First we consider a heterogeneous population where individual traders employ differing `time…
We consider the generalized momentum-depending quon algebra in a dynamically evolving curved spacetime and perform a type of analysis similar to that of J.W.Goodison and D.J.Toms. We find that, at least in principle, all kinds of statistics…
This paper defines theoretical lower bounds of uncertainty of observations of macroeconomic variables that depend on statistical moments and correlations of random values and volumes of market trades. Any econometric assessments of…
It is known that the impact of transactions on stock price (market impact) is a concave function of the size of the order, but there exists little quantitative theory that suggests why this is so. I develop a quantitative theory for the…
We set up a structural model to study credit risk for a portfolio containing several or many credit contracts. The model is based on a jump--diffusion process for the risk factors, i.e. for the company assets. We also include correlations…
We present a discussion of generalized statistics based on Renyi's, Fisher's and Tsallis's measures of information. The unifying conceptual framework which we employ here is provided by information theory. Important applications of…
The variance measures the portfolio risks the investors are taking. The investor, who holds his portfolio and doesn't trade his shares, at the current time can use the time series of the market trades that were made during the averaging…
A general canonical transformation of mechanical operators of position and momentum is considered. It is shown that it automatically generates a parameter s which leads to a generalized (or s-parameterized) Wigner function. This allows one…
Algorithms often have tunable parameters that impact performance metrics such as runtime and solution quality. For many algorithms used in practice, no parameter settings admit meaningful worst-case bounds, so the parameters are made…
The report presents with the development and optimisation of an enhanced algorithmic trading strategy through the use of historical S&P 500 market data and earnings call sentiment analysis. The proposed strategy integrates various technical…