Related papers: Kriging Scenario For Capital Markets
In mathematical finance, a process of calibrating stochastic volatility (SV) option pricing models to real market data involves a numerical calculation of integrals that depend on several model parameters. This optimization task consists of…
The paper proposes a class of financial market models which are based on inhomogeneous telegraph processes and jump diffusions with alternating volatilities. It is assumed that the jumps occur when the tendencies and volatilities are…
Forecasting imbalance prices is essential for strategic participation in the short-term energy markets. A novel two-step probabilistic approach is proposed, with a particular focus on the Belgian case. The first step consists of computing…
In this paper we explore the specific role of randomness in financial markets, inspired by the beneficial role of noise in many physical systems and in previous applications to complex socio- economic systems. After a short introduction, we…
I give a concise introduction to some essential concepts of statistical mechanics: 1. Probability theory (constrained distributions, concentration theorem, frequency estimation, hypothesis testing); 2. Macroscopic systems in equilibrium…
Stochastic kriging is a popular metamodeling technique for representing the unknown response surface of a simulation model. However, the simulation model may be inadequate in the sense that there may be a non-negligible discrepancy between…
We derive a formula predicting dynamical tunneling rates from regular states to the chaotic sea in systems with a mixed phase space. Our approach is based on the introduction of a fictitious integrable system that resembles the regular…
We consider the distribution of the (properly normalized) numbers of nodal domains of wave functions in 2-$d$ quantum billiards. We show that these distributions distinguish clearly between systems with integrable (separable) or chaotic…
This paper deals with the stability properties of a closed market, where capital and labour force are acting like a predator-prey system in population-dynamics. The spatial movement of the capital and labour force are taken into account by…
In this contribution, I give an overview of the various approaches toward the numerical modelling of turbulence, particularly, in the interstellar medium. The discussion is placed in a physical context, i. e. computational problems are…
We discuss the role of information entropy on the behaviour of random processes, and how this might take effect in the dynamics of financial market prices. We then go on to show how the Open Quantum Systems approach can be used as a more…
Financial global crisis has devastating impacts to economies since early XX century and continues to impose increasing collateral damages for governments, enterprises, and society in general. Up to now, all efforts to obtain efficient…
Motivated by the hypothesis that financial crashes are macroscopic examples of critical phenomena associated with a discrete scaling symmetry, we reconsider the evidence of log-periodic precursors to financial crashes and test the…
We discuss general concept of Markov statistical dynamics in the continuum. For a class of spatial birth-and-death models, we develop a perturbative technique for the construction of statistical dynamics. Particular examples of such systems…
Risk control has become one of the major concern of financial institutions. The need for adequate statistical tools to measure and anticipate the amplitude of the potential moves of financial markets is clearly expressed, in particular for…
Algebraic statistics is concerned with the study of probabilistic models and techniques for statistical inference using methods from algebra and geometry. This article presents a list of open mathematical problems in this emerging field,…
The paper reports the construction of artificial stock market that emerges the similar statistical facts with real data in Indonesian stock market. We use the individual but dominant data, i.e.: PT TELKOM in hourly interval. The artificial…
We advance a statistical theory of extreme event emergence in random nonlinear wave systems with self-similar intermediate asymptotics. We show, within the framework of a generic (1 + 1)D nonlinear Schrodinger equation with linear gain,…
This chapter introduces the fracture nucleation process, their (extreme) statistics in disordered solids, in fiber bundle models, and in the two fractal overlap models of earthquake.
This paper introduces a novel approach to financial crisis prediction by establishing a thermodynamic-like framework derived from the fluctuation theorem of statistical physics. We define market temperature through the probability ratio of…