Related papers: Kriging Scenario For Capital Markets
Financial markets are a typical example of complex systems where interactions between constituents lead to many remarkable features. Here, we show that a pairwise maximum entropy model (or auto-logistic model) is able to describe switches…
A calculational approach in fluid turbulence is presented. Use is made of the attracting nature of the fluid-dynamic dynamical system. An approach is offered that effectively propagates the statistics in time. Loss of sensitivity to an…
The problem of hedging and pricing sequences of contingent claims in large financial markets is studied. Connection between asymptotic arbitrage and behavior of the $\alpha$~-~quantile price is shown. The large Black-Scholes model is…
We present an empirical study of the subordination hypothesis for a stochastic time series of a stock price. The fluctuating rate of trading is identified with the stochastic variance of the stock price, as in the continuous-time random…
We present an analysis of the time behavior of the $S\&P500$ (Standard and Poors) New York stock exchange index before and after the October 1987 market crash and identify precursory patterns as well as aftershock signatures and…
We present a variation of the well-known binomial model of asset prices. This variation incorporates a bound to short-selling, inspired by a model from Gunduz Caginalp[2]. We formalize this model and prove a formula for all the moments of…
The growing attention on cryptocurrencies has led to increasing research on digital stock markets. Approaches and tools usually applied to characterize standard stocks have been applied to the digital ones. Among these tools is the…
Network service providers and customers are often concerned with aggregate performance measures that span multiple network paths. Unfortunately, forming such network-wide measures can be difficult, due to the issues of scale involved. In…
Using the tools developed for statistical physics, we simultaneously analyze statistical properties of the Jakarta and Kuala Lumpur Stock Exchange indices. In spite of the small number of data used in the analysis, the result shows the…
In this report I present a possible scenario which can lead to the emergence of a generalised Gamma distribution first presented by R. Osorio et al. as the distribution of traded volumes of stocks in financial markets. This propose is…
In this paper we introduce a simple model for a financial market characterized by a single stock or good and an interplay between two different traders populations, chartists and fundamentalists, which determine the price dynamic of the…
We study the emergence of instabilities in a stylized model of a financial market, when different market actors calculate prices according to different (local) market measures. We derive typical properties for ensembles of large random…
Financial markets are a classical example of complex systems as they comprise many interacting stocks. As such, we can obtain a surprisingly good description of their structure by making the rough simplification of binary daily returns.…
Statistical modeling of data sets by neural-network techniques is offered as an alternative to traditional semiempirical approaches to global modeling of nuclear properties. New results are presented to support the position that such novel…
In these notes we describe heuristics to predict computational-to-statistical gaps in certain statistical problems. These are regimes in which the underlying statistical problem is information-theoretically possible although no efficient…
The problem of investing into a cryptocurrency market requires good understanding of the processes that regulate the price of the currency. In this paper we offer a view of a cryptocurrency market as an environment for realization of a…
As impressively shown by the financial crisis in 2007/08, contagion effects in financial networks harbor a great threat for the stability of the entire system. Without sufficient capital requirements for banks and other financial…
The emergent field of probabilistic numerics has thus far lacked clear statistical principals. This paper establishes Bayesian probabilistic numerical methods as those which can be cast as solutions to certain inverse problems within the…
The use of kinetic modelling based on partial differential equations for the dynamics of stock price formation in financial markets is briefly reviewed. The importance of behavioral aspects in market booms and crashes and the role of…
This paper investigates the dynamics of stocks in the S&P500 index for the last 30 years. Using a stochastic geometry technique, we investigate the evolution of the market space and define a new measure for that purpose, which is a robust…