Related papers: Correlations in the Bond-Future Market
In the complex landscape of traditional futures trading, where vast data and variables like real-time Limit Order Books (LOB) complicate price predictions, we introduce the FutureQuant Transformer model, leveraging attention mechanisms to…
We study discrete-time predictable forward processes when trading times do not coincide with performance evaluation times in a binomial tree model for the financial market. The key step in the construction of these processes is to solve a…
Recently, a new model of quantum walk, utilizing recycled coins, was introduced; however little is yet known about its properties. In this paper, we study its behavior on the cycle graph. In particular, we will consider its time averaged…
In this study the cross-correlations between the cryptocurrency market represented by the two most liquid and highest-capitalized cryptocurrencies: bitcoin and ethereum, on the one side, and the instruments representing the traditional…
Extremal dependence between international stock markets is of particular interest in today's global financial landscape. However, previous studies have shown this dependence is not necessarily stationary over time. We concern ourselves with…
Quantum walks behave differently from what we expect and their probability distributions have unique structures. They have localization, singularities, a gap, and so on. Those features have been discovered from the view point of mathematics…
We outline a theory of symmetry protected topological phases of one-dimensional quantum walks. We assume spectral gaps around the symmetry-distinguished points +1 and -1, in which only discrete eigenvalues are allowed. The phase…
It is well-known that, in the Bachelier model, when asset prices and volatilities are uncorrelated, the implied volatility coincides with the fair value of the volatility swap. In this paper, via classical It\^o calculus and Taylor…
We present a mathematical formalism for the description of unrestricted quantum walks with entangled coins and one walker. The numerical behaviour of such walks is examined when using a Bell state as the initial coin state, two different…
We investigate the random walk of prices by developing a simple model relating the properties of the signs and absolute values of individual price changes to the diffusion rate (volatility) of prices at longer time scales. We show that this…
Information is a key component in determining the price of an asset in financial markets, and the main objective of this paper is to study the spread of information in this context. The network of interactions in financial markets is…
This paper investigates how realized and option implied volatilities are related to the future quantiles of commodity returns. Whereas realized volatility measures ex-post uncertainty, volatility implied by option prices reveals the…
Motivated by novel results in the theory of correlated sequences, we analyze the dynamics of random walks with long-term memory (binary chains with long-range correlations). In our model, the probability for a unit bit in a binary string…
A Lindley process arises from classical studies in queueing theory and it usually reflects waiting times of customers in single server models. In this note we study recurrence of its higher dimensional counterpart under some mild…
This paper studies the problem of trading futures with transaction costs when the underlying spot price is mean-reverting. Specifically, we model the spot dynamics by the Ornstein-Uhlenbeck (OU), Cox-Ingersoll-Ross (CIR), or exponential…
A detailed analysis of correlation between stock returns at high frequency is compared with simple models of random walks. We focus in particular on the dependence of correlations on time scales - the so-called Epps effect. This provides a…
Based on the tick-by-tick stock prices from the German and American stock markets, we study the statistical properties of the distribution of the individual stocks and the index returns in highly collective and noisy intervals of trading,…
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…
While attention is a predictor for digital asset prices, and jumps in Bitcoin prices are well-known, we know little about its alternatives. Studying high frequency crypto data gives us the unique possibility to confirm that cross market…
Stock prices are observed to be random walks in time despite a strong, long term memory in the signs of trades (buys or sells). Lillo and Farmer have recently suggested that these correlations are compensated by opposite long ranged…