Related papers: Hybrid dynamics for currency modeling
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Regime-switching models, in particular Hidden Markov Models (HMMs) where the switching is driven by an unobservable Markov chain, are widely-used in financial applications, due to their tractability and good econometric properties. In this…
This paper is concerned with general spatially explicit versions of three stochastic models for the dynamics of money that have been introduced and studied numerically by statistical physicists: the uniform reshuffling model, the immediate…
This paper investigates the deep hedging framework, based on reinforcement learning (RL), for the dynamic hedging of swaptions, contrasting its performance with traditional sensitivity-based rho-hedging. We design agents under three…
Dynamical behaviors of complex interacting systems, including brain activities, financial price movements, and physical collective phenomena, are associated with underlying interactions between the system's components. The issue of…
We propose a novel framework for analyzing the dynamics of distribution shift in real-world systems that captures the feedback loop between learning algorithms and the distributions on which they are deployed. Prior work largely models…
Dynamic topic modeling is widely used to analyze evolving trends in scientific literature, medical records, and social media. Traditional topic models represent each topic through a single probability vector on the multinomial simplex and…
This paper proposes an enhanced approach to modeling and forecasting volatility using high frequency data. Using a forecasting model based on Realized GARCH with multiple time-frequency decomposed realized volatility measures, we study the…
We introduce an autoregressive-type model of prices in financial market taking into account the self-modulation effect. We find that traders are mainly using strategies with weighted feedbacks of past prices. These feedbacks are responsible…
While diffusion models can successfully generate data and make predictions, they are predominantly designed for static images. We propose an approach for efficiently training diffusion models for probabilistic spatiotemporal forecasting,…
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 report on {\it ab initio} time-dependent spin dynamics simulations for a two-center magnetic molecular complex based on time-dependent non-collinear spin density functional theory. In particular, we discuss how the dynamical behavior of…
We attempt to explain stock market dynamics in terms of the interaction among three variables: market price, investor opinion and information flow. We propose a framework for such interaction and apply it to build a model of stock market…
In this note we investigate the consistency under inversion of jump diffusion processes in the Foreign Exchange (FX) market. In other terms, if the EUR/USD FX rate follows a given type of dynamics, under which conditions will USD/EUR follow…
In this paper, a pricing formula for volatility swaps is delivered when the underlying asset follows the stochastic volatility model with jumps and stochastic intensity. By using Feynman-Kac theorem, a partial integral differential equation…
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We model financial transactions as random walks on activity-driven temporal networks. By enforcing fund conservation, our framework analytically derives heavy-tailed distributions for the stationary balances and transaction sizes.…
Many studies have shown that there are good reasons to claim very low predictability of currency nevertheless, the deviations from true randomness exist which have potential predictive and prognostic power [J.James, Quantitative finance 3…
The propagation of traffic congestion along roads is a commonplace nonlinear phenomenon. When many roads are connected in a network, congestion can spill from one road to others as drivers queue to enter a congested road, creating further…
How to promote the innovative activities is an important problem for modern society. In this paper, combining with the evolutionary games and information spreading, we propose a lattice model to investigate dynamics of human innovative…