Related papers: Kriging Scenario For Capital Markets
We consider the numerical approximation of the quantile hedging price in a non-linear market. In a Markovian framework, we propose a numerical method based on a Piecewise Constant Policy Timestepping (PCPT) scheme coupled with a monotone…
A new model for stocks markets using integer values for each stock price is presented. In contrast with previously reported models, the variables used in the model are not of binary type, but of more general integer type. It is shown how…
Using the mechanics of creep in material sciences as a metaphor, we present a general framework to understand the evolution of financial, economic and social systems and to construct scenarios for the future. In a nutshell, highly…
In the Big Data era, with the ubiquity of geolocation sensors in particular, massive datasets exhibiting a possibly complex spatial dependence structure are becoming increasingly available. In this context, the standard probabilistic theory…
A brief review on the dynamical systems approach to nonequilibrium statistical mechanics and chaotic dynamics
Numerical stochastic integration is a powerful tool for the investigation of quantum dynamics in interacting many body systems. As with all numerical integration of differential equations, the initial conditions of the system being…
In a stock market, the numeraire portfolio, if it exists, is the portfolio with the highest expected logarithmic growth rate at all times. A numeraire market is a stock market for which the market portfolio is the numeraire portfolio. We…
This is a short review on an interdisciplinary field of quantum information science and statistical mechanics. We first give a pedagogical introduction to the stabilizer formalism, which is an efficient way to describe an important class of…
In this paper we provide a comprehensive analysis of a structural model for the dynamics of prices of assets traded in a market originally proposed in [1]. The model takes the form of an interacting generalization of the geometric Brownian…
Catastrophic events, though rare, do occur and when they occur, they have devastating effects. It is, therefore, of utmost importance to understand the complexity of the underlying dynamics and signatures of catastrophic events, such as…
Stock markets are complex systems exhibiting collective phenomena and particular features such as synchronization, fluctuations distributed as power-laws, non-random structures and similarity to neural networks. Such specific properties…
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 study how the phenomenon of contagion can take place in the network of the world's stock exchanges due to the behavioral trait "blindeness to small changes". On large scale individual, the delay in the collective response may…
An elementary arbitrage principle and the existence of trends in financial time series, which is based on a theorem published in 1995 by P. Cartier and Y. Perrin, lead to a new understanding of option pricing and dynamic hedging. Intricate…
Ensemble of initial conditions for nonlinear maps can be described in terms of entropy. This ensemble entropy shows an asymptotic linear growth with rate K. The rate K matches the logarithm of the corresponding asymptotic sensitivity to…
The study seeks to develop an effective strategy based on the novel framework of statistical arbitrage based on graph clustering algorithms. Amalgamation of quantitative and machine learning methods, including the Kelly criterion, and an…
We take prior-to-crash market prices (NASDAQ, Dow Jones Industrial Average) as a signal, a function of time, we project these discrete values onto a vertical axis, thus obtaining a Cantordust. We study said cantordust with the tools of…
We study the level statistics of an interacting multi-qubit system, namely the kicked Ising spin chain, in the regime of quantum chaos. Long range quasi-energy level statistics show effects analogous to the ones observed in semi-classical…
We review application of level dynamics to spectra of quantally chaotic systems. We show that statistical mechanics approach gives us predictions about level statistics intermediate between integrable and chaotic dynamics. Then we discuss…
Financial markets provide an ideal frame for the study of crossing or first-passage time events of non-Gaussian correlated dynamics mainly because large data sets are available. Tick-by-tick data of six futures markets are herein considered…