Related papers: Combustion Models in Finance
Prices of commodities or assets produce what is called time-series. Different kinds of financial time-series have been recorded and studied for decades. Nowadays, all transactions on a financial market are recorded, leading to a huge amount…
We investigate large changes, bursts, of the continuous stochastic signals, when the exponent of multiplicativity is higher than one. Earlier we have proposed a general nonlinear stochastic model which can be transformed into Bessel process…
Significant progress has been made on the model development for simulating turbulent reacting flows. As a consequence, we are currently in a position where key-physical aspects of fairly complex combustion processes are well understood at a…
The accurate prediction of time-changing covariances is an important problem in the modeling of multivariate financial data. However, some of the most popular models suffer from a) overfitting problems and multiple local optima, b) failure…
This paper proposes a simple and parsimonious discrete-time simulation model to describe the endogenous formation and periodic collapse of financial bubbles. While existing literature has extensively explored the statistical properties of…
The use of machine learning algorithms to predict behaviors of complex systems is booming. However, the key to an effective use of machine learning tools in multi-physics problems, including combustion, is to couple them to physical and…
The use of mathematical methods for the analysis of chemical reaction systems has a very long history, and involves many types of models: deterministic versus stochastic, continuous versus discrete, and homogeneous versus spatially…
A stochastic model for a chemical reaction network is embedded in a one-parameter family of models with species numbers and rate constants scaled by powers of the parameter. A systematic approach is developed for determining appropriate…
Despite proposing a quantum generative model for time series that successfully learns correlated series with multiple Brownian motions, the model has not been adapted and evaluated for financial problems. In this study, a time-series…
A microscopic model of financial markets is considered, consisting of many interacting agents (spins) with global coupling and discrete-time thermal bath dynamics, similar to random Ising systems. The interactions between agents change…
We consider a class of growth models and models of turbulence based on the randomly stirred fluid. The similarity between the predictions of these models, noted a decade earlier, is understood on the basis of a stochastic quantization…
We consider dynamics of financial markets as dynamics of expectations and discuss such a dynamics from the point of view of phenomenological thermodynamics. We describe a financial Carnot cycle and the financial analogue of a heat machine.…
Quantum theory is used to model secondary financial markets. Contrary to stochastic descriptions, the formalism emphasizes the importance of trading in determining the value of a security. All possible realizations of investors holding…
The kinetics of carbon condensation, or carbon clustering, in detonation of carbon-rich high explosives is modeled by solving a system of rate equations for concentrations of carbon particles. Unlike previous efforts, the rate equations…
In order to figure out and to forecast the emergence phenomena of social systems, we propose several probabilistic models for the analysis of financial markets, especially around a crisis. We first attempt to visualize the collective…
By treating the financial market as a thermodynamic system, we establish a one-to-one correspondence between thermodynamic variables and economic quantities. Measured by the expected loss under the worst-case scenario, financial risk caused…
If the inflaton sector is described by softly broken supersymmetry, and the inflaton has unsuppressed couplings, the inflaton mass will run strongly with scale. Four types of model are possible. The prediction for the spectral index…
A probabilistic model describes a system in its observational state. In many situations, however, we are interested in the system's response under interventions. The class of structural causal models provides a language that allows us to…
In the present work we compare reliability of several most widely used reduced detailed chemical kinetic schemes for hydrogen-air and hydrogen-oxygen combustible mixtures. The validation of the schemes includes detailed analysis of 0D and…
We start with the idea that open quantum systems can be used to represent financial markets by modelling events from the external environment and their impact on the market price. We show how to characterize distinct orbits of the time…