Related papers: Hybrid dynamics for currency modeling
Simulation on directed graphs is an important method for understanding the dynamics in the systems where connectivity graphs contain cycles. Discrete Stochastic Heterogeneous Simulator (DiSH) is one of the simulation tools with wide…
Spoofing detection in financial trading is crucial, especially for identifying complex behaviors such as conspiracy spoofing. Traditional machine-learning approaches primarily focus on isolated node features, often overlooking the broader…
We study the phase transition of dynamical herd behaviors for the yen-dollar exchange rate in the Japanese financial market. It is obtained that the probability distribution of returns satisfies the power-law behavior with three different…
Stylized facts can be regarded as constraints for any modeling attempt of price dynamics on a financial market, in that an empirically reasonable model has to reproduce these stylized facts at least qualitatively. The dynamics of market…
This paper examines how shocks to currency volatilities predict exchange rates. Using option-implied volatilities, we construct a dynamic, directed network of volatility connections. Currencies that transmit more volatility shocks, which…
Used to investigate the presence of distinctive recurrent behaviours in natural processes, the recurrence plots can be applied to the analysis of economic data, and, in particular, to the characterization of exchange rates of currencies…
A class of heterogeneous agent models is investigated where investors switch trading position whenever their motivation to do so exceeds some critical threshold. These motivations can be psychological in nature or reflect behaviour…
This work focuses on the dynamic hedging of financial derivatives, where a reinforcement learning algorithm is designed to minimize the variance of the delta hedging process. In contrast to previous research in this area, we apply…
The identification of nonlinear dynamics from observations is essential for the alignment of the theoretical ideas and experimental data. The last, in turn, is often corrupted by the side effects and noise of different natures, so…
Diffusion models have emerged as powerful generative models in the text-to-image domain. This paper studies their application as observation-to-action models for imitating human behaviour in sequential environments. Human behaviour is…
This paper explores the dependence modeling of financial assets in a dynamic way and its critical role in measuring risk. Two new methods, called Accelerated Moving Window method and Bottom-up method are proposed to detect the change of…
In a universe with a single currency, there would be no foreign exchange market, no foreign exchange rates, and no foreign exchange. Over the past twenty-five years, the way the market has performed those tasks has changed enormously. The…
We propose a novel framework for modeling time-varying persistence in economic time series, allowing for smoothly evolving heterogeneity in shock dynamics. We leverage localized regression techniques to flexibly identify changes in…
The models VAR, ARIMA, Holt-Winters, are frequently used for short-term forecasts of multivariate time series. In this paper we consider models constructed with the help of dynamical systems that have relatively simple limiting behavior.…
The assumption of using a static graph to represent multivariate time-varying signals oversimplifies the complexity of modeling their interactions over time. We propose a Dynamic Multi-hop model that captures dynamic interactions among…
Price dynamics is analyzed in terms of a model which includes the possibility of effective forces due to trend followers or trend adverse strategies. The method is tested on the data of a minority-majority model and indeed it is capable of…
Agent-based models provide a constructive approach to studying emergent dynamics in life-like systems composed of interacting, adaptive agents. Financial markets serve as a canonical example of such systems, where collective price dynamics…
Dynamic hedging of an European option under a general local volatility model with small linear transaction costs is studied. A continuous control version of Leland's strategy that asymptotically replicates the payoff is constructed. An…
We formulate general rules for a coarse-graining of the dynamics, which we term `symbolic dynamics', of feedback networks with monotone interactions, such as most biological modules. Networks which are more complex than simple cyclic…
Constructing robots to accomplish long-horizon tasks is a long-standing challenge within artificial intelligence. Approaches using generative methods, particularly Diffusion Models, have gained attention due to their ability to model…