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We discuss here the use of generalized forms of entropy, taken as information measures, to characterize phase transitions and critical behavior in thermodynamic systems. Our study is based on geometric considerations pertaining to the space…
This note derives the stochastic differential equations and partial differential equation of general hybrid quantum--classical dynamics from the theory of continuous measurement and general (non-Markovian) feedback. The advantage of this…
We study self-organized models for information transmission and herd behavior in financial markets. Existing models are generalized to take into account the effect of size-dependent fragmentation and coagulation probabilities of groups of…
This study presents an analytical approach to sector rotation, leveraging both factor models and fundamental metrics. We initiate with a systematic classification of sectors, followed by an empirical investigation into their returns.…
One can view quantum mechanics as a generalization of classical probability theory that provides for pairwise interference among alternatives. Adopting this perspective, we ``quantize'' the classical random walk by finding, subject to a…
Crowded trades by similarly trading peers influence the dynamics of asset prices, possibly creating systemic risk. We propose a market clustering measure using granular trading data. For each stock the clustering measure captures the degree…
In recent years, the economic policy of privatization, which is defined as the transfer of property or responsibility from public sector to private sector, is one of the global phenomenon that increases use of markets to allocate resources.…
In a market with one safe and one risky asset, an investor with a long horizon, constant investment opportunities, and constant relative risk aversion trades with small proportional transaction costs. We derive explicit formulas for the…
We study dynamics of a simulated world with stock and money, driven by the externally given processes which we refer to as sentiments. The considered sentiments influence the buy/sell stock trading attitude, the perceived price uncertainty,…
Classically, risk is characterized by a point value probability indicating the likelihood of occurrence of an adverse effect. However, there are domains where the attainability of objective numerical risk characterizations is increasingly…
This paper presents a dynamic game framework to analyze the role of large banks in interbank markets. By extending existing models, we incorporate a large bank as a dynamic decision-maker interacting with multiple small banks. Using the…
The concept of moment differentiation is extended to the class of moment summable functions, giving rise to moment differential properties. The main result leans on accurate upper estimates for the integral representation of the moment…
We present a new model for prediction markets, in which we use risk measures to model agents and introduce a market maker to describe the trading process. This specific choice on modelling tools brings us mathematical convenience. The…
Understanding realistic complex systems requires confronting significant conceptual, theoretical and experimental limitations rooted in the persistence of views that originated in the mechanics of simple moving bodies. We define the…
The value of an asset in a financial market is given in terms of another asset known as numeraire. The dynamics of the value is non-stationary and hence, to quantify the relationships between different assets, one requires convenient…
Time series momentum strategies are widely applied in the quantitative financial industry and its academic research has grown rapidly since the work of Moskowitz, Ooi and Pedersen (2012). However, trading signals are usually obtained via…
We study fluctuations and correlations of the average transverse momentum of particles emitted in heavy-ion collisions. Fluctuations of the average transverse momentum are related to event-by-event fluctuations of the size and entropy of…
Multiple linear regression is a basic statistical tool, yielding a prediction formula with the input variables, slopes, and an intercept. But is it really easy to see which terms have the largest effect, or to explain why the prediction of…
We present a generalized reduction procedure which encompasses the one based on the momentum map and the projection method. By using the duality between manifolds and ring of functions defined on them, we have cast our procedure in an…
Treatment effects estimated from a randomized controlled trial are local not only to the study population but also to the time at which the trial was conducted. The literature on generalizing experimental findings to new populations is…