Related papers: Kriging Scenario For Capital Markets
A statistical physics model for the time evolutions of stock portfolios is proposed. In this model the time series of price changes are coded into the sequences of up and down spins. The Hamiltonian of the system is introduced and is…
Kriging is a widely employed technique, in particular for computer experiments, in machine learning or in geostatistics. An important challenge for Kriging is the computational burden when the data set is large. This article focuses on a…
Several simulation environments exist for the simulation of large-scale evacuations of buildings, ships, or other enclosed spaces. These offer sophisticated tools for the study of human behaviour, the recreation of environmental factors…
Forming quantitative portfolios using statistical risk models presents a significant challenge for hedge funds and portfolio managers. This research investigates three distinct statistical risk models to construct quantitative portfolios of…
A stochastic model for pure-jump diffusion (the compound renewal process) can be used as a zero-order approximation and as a phenomenological description of tick-by-tick price fluctuations. This leads to an exact and explicit general…
Margin trading in which investors purchase shares with money borrowed from brokers is blamed to be a major cause of the 2015 Chinese stock market crash. We propose a cascading failure model and examine how an increase in margin trading…
It is very challenging to predict the cost of a cyber incident owing to the complex nature of cyber risk. However, it is inevitable for insurance companies who offer cyber insurance policies. The time to identifying an incident and the time…
The self-similar analysis of time series, suggested earlier by the authors, is applied to the description of market crises. The main attention is payed to the October 1929, 1987 and 1997 stock market crises, which can be successfully…
In the past decades, advanced probabilistic methods have had significant impact on the field of finance, both in academia and in the financial industry. Conversely, financial questions have stimulated new research directions in probability.…
Statistical linearization has recently seen a particular surge of interest as a numerically cheap method for robust control of stochastic differential equations. Although it has already been successfully applied to control complex…
It is now common practice in nuclear engineering to base extensive studies on numerical computer models. These studies require to run computer codes in potentially thousands of numerical configurations and without expert individual controls…
An exposition of the different definitions and approaches to quantum statistics is given, with emphasis in one-dimensional situations. Permutation statistics, scattering statistics and exclusion statistics are analyzed. The Calogero model,…
The 2008 financial crisis illustrated the need for a thorough, functional understanding of systemic risk in strongly interconnected financial structures. Dynamic processes on complex networks being intrinsically difficult, most recent…
Pairs of numerically computed trajectories of a chaotic system may coalesce because of finite arithmetic precision. We analyse an example of this phenomenon, showing that it occurs surprisingly frequently. We argue that our model belongs to…
We propose a formula of time-series prediction by means of three states random field Ising model (RFIM). At the economic crisis due to disasters or international disputes, the stock price suddenly drops. The macroscopic phenomena should be…
A deterministic trading strategy by a representative investor on a single market asset, which generates complex and realistic returns with its first four moments similar to the empirical values of European stock indices, is used to simulate…
We propose a non linear Langevin equation as a model for stock market fluctuations and crashes. This equation is based on an identification of the different processes influencing the demand and supply, and their mathematical transcription.…
The beautiful theory of statistical gambling, started by Dubins and Savage (for subfair games) and continued by Kelly and Breiman (for superfair games) has mostly been studied under the unrealistic assumption that we live in a continuous…
The recent crash demonstrated (once again) that the description of the financial market by present financial mathematics cannot be considered as totally satisfactory. We remind that nowadays financial mathematics is heavily based on the use…
Predicting panic is of critical importance in many areas of human and animal behavior, notably in the context of economics. The recent financial crisis is a case in point. Panic may be due to a specific external threat, or self-generated…