Related papers: Kriging Scenario For Capital Markets

Survival analysis, or time-to-event modelling, is a classical statistical problem that has garnered a lot of interest for its practical use in epidemiology, demographics or actuarial sciences. Recent advances on the subject from the point…

We study the stochastic structure of cryptocurrency rates of returns as compared to stock returns by focusing on the associated cross-sectional distributions. We build two datasets. The first comprises forty-six major cryptocurrencies, and…

We consider a mechanical system with impact and n degrees of freedom, written in generalized coordinates. The system is not necessarily Lagrangian. The representative point of the system must remain inside a set of constraints K; the…

We achieve two primary goals in this work. First, we propose a flexible algorithm that can simulate various scenarios of state/government intervention. Secondly, we analyze the scenario exhibiting the critical behavior of the market of…

We analyze complexity of financial (and general economic) processes by comparing classical and quantum-like models for randomness. Our analysis implies that it might be that a quantum-like probabilistic description is more natural for…

In recent times we hear increasingly often about cyber attacks on various commercial and strategic sites that manage to escape any defense. In this article, we model such attacks on networks via stochastic processes and predict the time of…

We re-examine approximations in the analytical calculation of the primordial spectrum of cosmological perturbation produced during inflation. Taking two inflation models (chaotic inflation and natural inflation) as examples, we numerically…

Current statistics can be calculated in various ways. Event-based approaches use the statistics of the number of events occuring during a given time. Time-based approaches use the statistics of the time needed to reach a given number of…

In this paper we forecast daily returns of crypto-currencies using a wide variety of different econometric models. To capture salient features commonly observed in financial time series like rapid changes in the conditional variance,…

We study optimal investment in an asset subject to risk of default for investors that rely on different levels of information. The price dynamics can include noises both from a Wiener process and a Poisson random measure with infinite…

We develop a Markov model of curling matches, parametrised by the probability of winning an end and the probability distribution of scoring ends. In practical applications, these end-winning probabilities can be estimated econometrically,…

We investigate whether fractal markets hypothesis and its focus on liquidity and invest- ment horizons give reasonable predictions about dynamics of the financial markets during the turbulences such as the Global Financial Crisis of late…

Sharp changes in time series representing market dynamics are studied by means of the self--similar analysis suggested earlier by the authors. These sharp changes are market booms and crashes. Such crises phenomena in markets are analogous…

The typicality approach and the Hilbert space averaging method as its technical manifestation are important concepts of quantum statistical mechanics. Extensively used for expectation values we extend them in this paper to transition…

A probabilistic framework is introduced that represents stylized banking networks and aims to predict the size of contagion events. In contrast to previous work on random financial networks, which assumes independent connections between…

In this short note we discuss recent attempts to describe pre-crash market dynamics with analogies from theory of critical phenomena.

The objective of statistical physics is to understand macroscopic behavior of a many-body system from the interactions of the constituents of that system. When many-body systems reach critical states, simple universal and scaling behaviors…

In the present paper, we introduce a numerical scheme for the price of a barrier option when the price of the underlying follows a diffusion process. The numerical scheme is based on an extension of a static hedging formula of barrier…

Consider a system performing a continuous-time random walk on the integers, subject to catastrophes occurring at constant rate, and followed by exponentially-distributed repair times. After any repair the system starts anew from state zero.…

In this review we describe statistical mechanics of quantum systems in the presence of a Killing horizon and compare statistical-mechanical and one-loop contributions to black hole entropy. Studying these questions was motivated by attempts…