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Arguably the most important problem in quantitative finance is to understand the nature of stochastic processes that underlie market dynamics. One aspect of the solution to this problem involves determining characteristics of the…
Processing graphs with temporal information (the temporal graphs) has become increasingly important in the real world. In this paper, we study efficient solutions to temporal graph applications using new algorithms for Incremental Minimum…
We introduce a new framework for the analysis of the dynamics of networks, based on randomly reinforced urn (RRU) processes, in which the weight of the edges is determined by a reinforcement mechanism. We rigorously explain the empirical…
We will consider multivariate stochastic processes indexed either by vertices or pairs of vertices of a dynamic network. Under a dynamic network we understand a network with a fixed vertex set and an edge set which changes randomly over…
The construction of approximate replication strategies for pricing and hedging of derivative contracts in incomplete markets is a key problem of financial engineering. Recently Reinforcement Learning algorithms for hedging under realistic…
We investigate the properties of the spanning trees of various real-world and model networks. The spanning tree representing the communication kernel of the original network is determined by maximizing total weight of edges, whose weights…
We study the independence structure of finitely exchangeable distributions over random vectors and random networks. In particular, we provide necessary and sufficient conditions for an exchangeable vector so that its elements are completely…
The increasing integration of world economies, which organize in complex multilayer networks of interactions, is one of the critical factors for the global propagation of economic crises. We adopt the network science approach to quantify…
Financial markets are well known examples of multi-fractal complex systems that have garnered much interest in their characterization through complex network theory. The recent studies have used correlation based distance metrics for…
In todays global economy, accuracy in predicting macro-economic parameters such as the foreign the exchange rate or at least estimating the trend correctly is of key importance for any future investment. In recent times, the use of…
This study investigates that a characteristic time scale on an exchange rate market (USD/JPY) is examined for the period of 1998 to 2000. Calculating power spectrum densities for the number of tick quotes per minute and averaging them over…
Multiplex networks are a powerful framework for representing systems with multiple types of interactions among a common set of entities. Understanding their structure requires statistical tools capturing higher-order cross-layer…
Spanning trees are an important quantity characterizing the reliability of a network, however, explicitly determining the number of spanning trees in networks is a theoretical challenge. In this paper, we study the number of spanning trees…
A market fix serves as a benchmark for foreign exchange (FX) execution, and is employed by many institutional investors to establish an exact reference at which execution takes place. The currently most popular FX fix is the World Market…
In this paper we aim to improve existing empirical exchange rate models by accounting for uncertainty with respect to the underlying structural representation. Within a flexible Bayesian non-linear time series framework, our modeling…
In machine translation (MT) that involves translating between two languages with significant differences in word order, determining the correct word order of translated words is a major challenge. The dependency parse tree of a source…
We review results on the scaling of the optimal path length in random networks with weighted links or nodes. In strong disorder we find that the length of the optimal path increases dramatically compared to the known small world result for…
Trees with many leaves have applications on broadcasting, which is a method in networks for transferring a message to all recipients simultaneously. Internal nodes of a broadcasting tree require more expensive technology, because they have…
We show that fluctuations in the ratio of non-core to core funding in the banking systems of advanced economies are largely driven by three global factors of both real and financial natures, with country-specific factors playing only a…
Misperceptions about extreme dependencies between different financial assets have been an im- portant element of the recent financial crisis. This paper studies inhomogeneity in dependence structures using Markov switching regular vine…