Related papers: Hybrid dynamics for currency modeling
It is well documented that a model for the underlying asset price process that seeks to capture the behaviour of the market prices of vanilla options needs to exhibit both diffusion and jump features. In this paper we assume that the asset…
The agent-based model of stock price dynamics on a directed evolving complex network is suggested and studied by direct simulation. The stationary regime is maintained as a result of the balance between the extremal dynamics, adaptivity of…
Dynamic heterogeneity has often been modeled by assuming that a single-particle observable, fluctuating at a molecular scale, is influenced by its coupling to environmental variables fluctuating on a second, perhaps slower, time scale.…
We investigate how price variations of a stock are transformed into profits and losses (P&Ls) of a trend following strategy. In the frame of a Gaussian model, we derive the probability distribution of P&Ls and analyze its moments (mean,…
We analyze networked heterogeneous nonlinear systems, with diffusive coupling and interconnected over a generic static directed graph. Due to the network's hetereogeneity, complete synchronization is impossible, in general, but an emergent…
The author seeks to develop a model to alter the bid-offer spread, currently quoted by market makers, that varies with the market and trading conditions. The dynamic nature of financial markets and trading, as with the rest of social…
High frequency data in finance have led to a deeper understanding on probability distributions of market prices. Several facts seem to be well stablished by empirical evidence. Specifically, probability distributions have the following…
This paper establishes a general framework for describing hybrid dynamical systems which is particularly suitable for numerical simulation. In this context, the data structures used to describe the sets and functions which comprise the…
In this work, we aimed to replicate and extend the results presented in the DiffFluid paper[1]. The DiffFluid model showed that diffusion models combined with Transformers are capable of predicting fluid dynamics. It uses a denoising…
The adaptive voter model allows for studying the interplay between homophily, the tendency of like-minded individuals to attract each other, and social influence, the tendency for connected individuals to influence each other. However, it…
This study investigates the dynamics of alternating minimization applied to a bilinear regression task with normally distributed covariates, under the asymptotic system size limit where the number of parameters and observations diverge at…
In this paper we develop a novel hidden Markov graphical model to investigate time-varying interconnectedness between different financial markets. To identify conditional correlation structures under varying market conditions and…
Hybrid traffic modeling and simulation provide an important way to represent and evaluate large-scale traffic networks at different levels of details. The first level, called "microscopic" allows the description of individual vehicles and…
Piecewise smooth hybrid systems, involving continuous and discrete variables, are suitable models for describing the multiscale regulatory machinery of the biological cells. In hybrid models, the discrete variables can switch on and off…
Events such as the Financial Crisis of 2007-2008 or the COVID-19 pandemic caused significant losses to banks and insurance entities. They also demonstrated the importance of using accurate equity risk models and having a risk management…
Firm growth process in the developing economies is known to produce divergence in their growth path giving rise to bimodality in the size distribution. Similar bimodality has been observed in wealth distribution as well. Here, we introduce…
Evolutionary transitions among ecological interactions are widely known, although their detailed dynamics remain absent for most population models. Adaptive dynamics has been used to illustrate how the parameters of population models might…
When analyzing animal movement, it is important to account for interactions between individuals. However, statistical models for incorporating interaction behavior in movement models are limited. We propose an approach that models dependent…
Understanding the stochastic behavior of currency exchange rates is critical for assessing financial stability and anticipating market transitions. In this study, we investigate the empirical dynamics of the USD exchange rate in three…
High-fidelity numerical simulations of chaotic, high dimensional nonlinear dynamical systems are computationally expensive, necessitating the development of efficient surrogate models. Most surrogate models for such systems are…