Related papers: Hybrid dynamics for currency modeling
The volatility characterizes the amplitude of price return fluctuations. It is a central magnitude in finance closely related to the risk of holding a certain asset. Despite its popularity on trading floors, the volatility is unobservable…
Time series forecasting is often fundamental to scientific and engineering problems and enables decision making. With ever increasing data set sizes, a trivial solution to scale up predictions is to assume independence between interacting…
The transient behavior of an ecosystem with N random interacting species in the presence of a multiplicative noise is analyzed. The multiplicative noise mimics the interaction with the environment. We investigate different asymptotic…
Symbolic Data Analysis works with variables for which each unit or class of units takes a finite set of values/categories, an interval or a distribution (an histogram, for instance). When to each observation corresponds an empirical…
We apply the formalism of the continuous time random walk to the study of financial data. The entire distribution of prices can be obtained once two auxiliary densities are known. These are the probability densities for the pausing time…
Identifying the instances of jumps in a discrete-time-series sample of a jump diffusion model is a challenging task. We have developed a novel statistical technique for jump detection and volatility estimation in a return time series data…
It is generally accepted that the asset price processes contain jumps. In fact, pure jump models have been widely used to model asset prices and/or stochastic volatilities. The question is: is there any statistical evidence from the…
Two kinetic exchange models are proposed to explore the dynamics of closed economic markets characterized by random exchanges, saving propensities, and collective transactions. Model I simulates a system where individual transactions occur…
This paper presents hedging strategies for European and exotic options in a Levy market. By applying Taylor's Theorem, dynamic hedging portfolios are con- structed under different market assumptions, such as the existence of power jump…
We study the modeling and prediction of dynamical systems based on conventional models derived from measurements. Such algorithms are highly desirable in situations where the underlying dynamics are hard to model from physical principles or…
The value of an asset in a financial market is given in terms of another asset known as numeraire. The dynamics of the value is non-stationary and hence, to quantify the relationships between different assets, one requires convenient…
The paper investigates the effect of the label green in bond markets from the lens of the trading activity. The idea is that jumps in the dynamics of returns have a specific memory nature that can be well represented through a self-exciting…
We consider the problem of estimating a vector of unknown constant parameters for a class of hybrid dynamical systems -- that is, systems whose state variables exhibit both continuous (flow) and discrete (jump) evolution. Using a hybrid…
We propose a stochastic volatility model for time series of curves. It is motivated by dynamics of intraday price curves that exhibit both between days dependence and intraday price evolution. The curves are suitably normalized to…
This work studies the symmetry between colloidal dynamics and the dynamics of the Euro--US Dollar currency exchange market (EURUSD). We consider the EURUSD price in the time range between 2001 and 2015, where we find significant qualitative…
A dynamic herding model with interactions of trading volumes is introduced. At time $t$, an agent trades with a probability, which depends on the ratio of the total trading volume at time $t-1$ to its own trading volume at its last trade.…
This paper develops a flexible and computationally efficient multivariate volatility model, which allows for dynamic conditional correlations and volatility spillover effects among financial assets. The new model has desirable properties…
Symbolic dynamics is a coarse-grained description of dynamics. By taking into account the ``geometry'' of the dynamics, it can be cast into a powerful tool for practitioners in nonlinear science. Detailed symbolic dynamics can be developed…
Securities markets are quintessential complex adaptive systems in which heterogeneous agents compete in an attempt to maximize returns. Species of trading agents are also subject to evolutionary pressure as entire classes of strategies…
This paper is a survey of extensions to finite automata theory to model real-time systems as well as systems exhibiting mixed discrete-continuous behavior. Real-time systems maintain a continuous and timely interaction with the environment,…