Related papers: Kriging Scenario For Capital Markets
These notes are intended as an introduction to a study of applications of noncommutative calculus to quantum statistical Physics. Centered on noncommutative calculus we describe the physical concepts and mathematical structures appearing in…
For the dynamic pitchfork bifurcation in the presence of white noise, the statistics of the last time at zero are calculated as a function of the noise level and the rate of change of the parameter. The threshold crossing problem used, for…
In complex systems like financial market, risk tolerance of individuals is crucial for system resilience.The single-security price limit, designed as risk tolerance to protect investors by avoiding sharp price fluctuation, is blamed for…
A brief introduction to the technique of Monte Carlo simulations in statistical physics is presented. The topics covered include statistical ensembles random and pseudo random numbers, random sampling techniques, importance sampling, Markov…
We propose a method with better predictions at extreme values than the standard method of Kriging. We construct our predictor in two ways: by penalizing the mean squared error through conditional bias and by penalizing the conditional…
In this paper, we introduce a numeraire-free and original probability based framework for financial markets. We reformulate or characterize fair markets, the optional decomposition theorem, superhedging, attainable claims and complete…
A statistical analysis of the prime numbers indicates possible traces of quantum chaos. We have computed the nearest neighbor spacing distribution, number variance, skewness, and excess for sequences of the first N primes for various values…
This paper reviews some of the phenomenological models which have been introduced to incorporate the scaling properties of financial data. It also illustrates a microscopic model, based on heterogeneous interacting agents, which provides a…
This is an introduction to the ekpyrotic scenario, with an emphasis on the two contexts of brane cosmology and primordial universe scenarios. A self-contained introduction to brane cosmology and a qualitative overview and comparison of the…
By treating the financial market as a thermodynamic system, we establish a one-to-one correspondence between thermodynamic variables and economic quantities. Measured by the expected loss under the worst-case scenario, financial risk caused…
During the last years quantum graphs have become a paradigm of quantum chaos with applications from spectral statistics to chaotic scattering and wave function statistics. In the first part of this review we give a detailed introduction to…
Financial markets have developed a lot of strategies to control risks induced by market fluctuations. Mathematics has emerged as the leading discipline to address fundamental questions in finance as asset pricing model and hedging…
The statistical properties of a stochastic process may be described (1)by the expectation values of the observables, (2)by the probability distribution functions or (3)by probability measures on path space. Here an analysis of level (3) is…
The computational effort for the evaluation of numerical simulations based on e.g. the finite-element method is high. Metamodels can be utilized to create a low-cost alternative. However the number of required samples for the creation of a…
In this note, a general approach to the study of non-stationary Markov chains with catastrophes and the corresponding queuing models is considered, as well as to obtain estimates of the limiting regime itself. As an illustration, an example…
Non-equilibrium phenomena occur not only in physical world, but also in finance. In this work, stochastic relaxational dynamics (together with path integrals) is applied to option pricing theory. A recently proposed model (by Ilinski et…
The notion of entropy is shared between statistics and thermodynamics, and is fundamental to both disciplines. This makes statistical problems particularly suitable for reaction network implementations. In this paper we show how to perform…
We reconsider the problem of option pricing using historical probability distributions. We first discuss how the risk-minimisation scheme proposed recently is an adequate starting point under the realistic assumption that price increments…
We consider a structural default model in an interconnected banking network as in Lipton [International Journal of Theoretical and Applied Finance, 19(6), 2016], with mutual obligations between each pair of banks. We analyse the model…
We use standard physics techniques to model trading and price formation in a market under the assumption that order arrival and cancellations are Poisson random processes. This model makes testable predictions for the most basic properties…