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The application of principles of thermodynamics and statistical mechanics to economic systems is considered in a broad historical perspective, extending from prehistoric times to the present day. The hypothesis of maximum entropy production…
Manipulation is an important issue for both developed and emerging stock markets. For the study of manipulation, it is critical to analyze investor behavior in the stock market. In this paper, an analysis of the full transaction records of…
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The Efficient Market Hypothesis has been a staple of economics research for decades. In particular, weak-form market efficiency -- the notion that past prices cannot predict future performance -- is strongly supported by econometric…
We consider a stochastic system whose uncontrolled state dynamics are modelled by a general one-dimensional It\^{o} diffusion. The control effort that can be applied to this system takes the form that is associated with the so-called…
The Thermodynamic Formalism provides a rigorous mathematical framework to study quantitative and qualitative aspects of dynamical systems. At its core there is a variational principle corresponding, in its simplest form, to the Maximum…
We study a single risky financial asset model subject to price impact and transaction cost over an finite time horizon. An investor needs to execute a long position in the asset affecting the price of the asset and possibly incurring in…
Cellular automata are a set of computational models in discrete space that have a discrete time evolution defined by neighbourhood rules. They are used to simulate many complex systems in physics and science in general. In this work,…
Optimal trading strategies for pairs trading have been studied by models that try to find either optimal shares of stocks by assuming no transaction costs or optimal timing of trading fixed numbers of shares of stocks with transaction…
Detailed empirical studies of publicly traded business firms have established that the standard deviation of annual sales growth rates decreases with increasing firm sales as a power law, and that the sales growth distribution is…
This paper studies the dynamic programming principle using the measurable selection method for stochastic control of continuous processes. The novelty of this work is to incorporate intermediate expectation constraints on the canonical…
In order to understand controlling a complex system, an estimation of the required effort needed to achieve control is vital. Previous works have addressed this issue by studying the scaling laws of energy cost in a general way with…
An axiomatic approach to macroeconomics based on the mathematical structure of thermodynamics is presented. It deduces relations between aggregate properties of an economy, concerning quantities and flows of goods and money, prices and the…
The dramatic increase of observational data across industries provides unparalleled opportunities for data-driven decision making and management, including the manufacturing industry. In the context of production, data-driven approaches can…
Energy-based modelling brings engineering insight to the understanding of biomolecular systems. It is shown how well-established control engineering concepts, such as loop-gain, arise from energy feedback loops and are therefore amenable to…
This paper considers the ideal gas-like model of trading markets, where each individual is identified as a gas molecule that interacts with others trading in elastic or money-conservative collisions. Traditionally this model introduces…
Statistical mechanics explains the properties of macroscopic phenomena based on the movements of microscopic particles such as atoms and molecules. Movements of microscopic particles can be represented by large-scale interacting systems. In…
Trading large volumes of a financial asset in order driven markets requires the use of algorithmic execution dividing the volume in many transactions in order to minimize costs due to market impact. A proper design of an optimal execution…
We study data-driven learning of robust stochastic control for infinite-horizon systems with potentially continuous state and action spaces. In many managerial settings--supply chains, finance, manufacturing, services, and dynamic…