Related papers: Kriging Scenario For Capital Markets
We discuss a simple model based on the Minority Game which reproduces the main stylized facts of anomalous fluctuations in finance. We present the analytic solution of the model in the thermodynamic limit and show that stylized facts arise…
Trading a financial asset pushes its price as well as the prices of other assets, a phenomenon known as cross-impact. We consider a general class of kernel-based cross-impact models and investigate suitable parameterisations for trading…
This paper tackles important aspects of comets dynamics from a statistical point of view. Existing methodology uses numerical integration for computing planetary perturbations for simulating such dynamics. This operation is highly…
Statistical mechanics provides a useful analog for understanding the behavior of complex adaptive systems, including electric power markets and the power systems they intend to govern. Market-based control is founded on the conjecture that…
It is well known that chaotic dynamic systems (such as three-body system, turbulent flow and so on) have the sensitive dependance on initial conditions (SDIC). Unfortunately, numerical noises (such as truncation error and round-off error)…
A new space-time model for interacting agents on the financial market is presented. It is a combination of the Curie-Weiss model and a space-time model introduced by J\"arpe 2005. Properties of the model are derived with focus on the…
From the climate system to the effect of the internet on society, chaotic systems appear to have a significant role in our future. Here a method of statistical learning for a class of chaotic systems is described along with underlying…
We describe an approach to numerical simulation of spiral waves dynamics of large spatial extent, using small computational grids.
These lecture notes provide an elementary introduction, within the framework of finite quantum systems, to recent developments in the theory of entropic fluctuations.
The concept of statistical complexity is studied to characterize the classical kicked top model which plays important role in the qbit systems and the chaotic properties of the entanglement. This allows us to understand this driven…
Prediction of events in financial markets is every investor's dream and, usually, wishful thinking. From a more general, economic and societal viewpoint, the identification of indicators for large events is highly desirable to assess…
These lecture notes are an informal introduction to the theory of computational complexity and its links to quantum computing and statistical mechanics.
A characteristic feature of complex systems in general is a tight coupling between their constituent parts. In complex socio-economic systems this kind of behavior leads to self-organization, which may be both desirable (e.g. social…
In this paper we examine inefficiencies and information disparity in the Japanese stock market. By carefully analysing information publicly available on the internet, an `outsider' to conventional statistical arbitrage strategies--which are…
Traders and investors involved in an option contract having the underlying stock in range bound are likely to lose their initial investment. Timing in buying an option contract is of capital importance. In a recent article [1] the…
We assume that the level spectra of quantum systems in the initial phase of transition from integrability to chaos are approximated by superpositions of independent sequences. Each individual sequence is modeled by a random matrix ensemble.…
As regulators pay more attentions to losses rather than gains, we are able to derive a new class of risk statistics, named regulator-based risk statistics with scenario analysis in this paper. This new class of risk statistics can be…
Complex systems comprise a large number of interacting elements, whose dynamics is not always a priori known. In these cases -- in order to uncover their key features -- we have to turn to empirical methods, one of which was recently…
Series of lectures on statistical turbulence written for amateurs but not experts. Elementary aspects and problems of turbulence in two and three dimensional Navier-Stokes equation are introduced. A few properties of scalar turbulence and…
Beginning with several basic hypotheses of quantum mechanics, we give a new quantum model in econophysics. In this model, we define wave functions and operators of the stock market to establish the Schr\"odinger equation for the stock…