Related papers: Hybrid dynamics for currency modeling
This study examine the theoretical and empirical perspectives of the symmetric Hawkes model of the price tick structure. Combined with the maximum likelihood estimation, the model provides a proper method of volatility estimation…
There is a great diversity of formal models to understand the dynamics of transport and vehicular flow on a road. Many of these models are inspired by the dynamics of flows governed by partial differential equations. However, it is possible…
Simulation of autonomous vehicle systems requires that simulated traffic participants exhibit diverse and realistic behaviors. The use of prerecorded real-world traffic scenarios in simulation ensures realism but the rarity of safety…
Graph based entropy, an index of the diversity of events in their distribution to parts of a co-occurrence graph, is proposed for detecting signs of structural changes in the data that are informative in explaining latent dynamics of…
We develop a behavioral asset pricing model in which agents trade in a market with information friction. Profit-maximizing agents switch between trading strategies in response to dynamic market conditions. Due to noisy private information…
The application of learning-based control methods in robotics presents significant challenges. One is that model-free reinforcement learning algorithms use observation data with low sample efficiency. To address this challenge, a prevalent…
Modeling multi-modal high-level intent is important for ensuring diversity in trajectory prediction. Existing approaches explore the discrete nature of human intent before predicting continuous trajectories, to improve accuracy and support…
Continuous-time stochastic systems have attracted a lot of attention recently, due to their wide-spread use in finance for modelling price-dynamics. More recently models taking into accounts shocks have been developed by assuming that the…
Throughout the past year, Turkey's central bank policy to decrease the nominal interest rate has caused episodes of severe fluctuations in Turkish lira exchange rates. According to these conditions, the daily return of the USD/TRY have…
Synchronization is a phenomenon in which a pair of fluctuations adjust their rhythms when interacting with each other. We measure the degree of synchronization between the U.S. dollar (USD) and euro exchange rates and between the USD and…
In this article, we apply the forward variance modeling approach by L.Bergomi to the co-terminal swap market model. We build an interest rate model for which all the market price changes of hedging instruments, interest rate swaps and…
We develop a methodology for index tracking and risk exposure control using financial derivatives. Under a continuous-time diffusion framework for price evolution, we present a pathwise approach to construct dynamic portfolios of…
The literature is rich with studies, analyses, and examples on parameter estimation for describing the evolution of chaotic dynamical systems based on measurements, even when only partial information is available through observations.…
We propose a heterogeneous simultaneous graphical dynamic linear model (H-SGDLM), which extends the standard SGDLM framework to incorporate a heterogeneous autoregressive realised volatility (HAR-RV) model. This novel approach creates a…
Temporal data distribution shift is prevalent in the financial text. How can a financial sentiment analysis system be trained in a volatile market environment that can accurately infer sentiment and be robust to temporal data distribution…
Behaviour cloning is a commonly used strategy for imitation learning and can be extremely effective in constrained domains. However, in cases where the dynamics of an environment may be state dependent and varying, behaviour cloning places…
We model the dynamics of asset prices and associated derivatives by consideration of the dynamics of the conditional probability density process for the value of an asset at some specified time in the future. In the case where the price…
We study the dynamics of individual agents in some kinetic models of wealth exchange, particularly, the models with savings. For the model with uniform savings, agents perform simple random walks in the "wealth space". On the other hand, we…
This paper proposes to model asset price dynamics with a mixture of diffusion processes where the instantaneous volatility of the underlying diffusion process contains a random vector. The marginal probability distributions of the proposed…
For autonomous agents to successfully operate in real world, the ability to anticipate future motions of surrounding entities in the scene can greatly enhance their safety levels since potentially dangerous situations could be avoided in…