Related papers: Combustion Models in Finance
Financial time series exhibit a number of interesting properties that are difficult to explain with simple models. These properties include fat-tails in the distribution of price fluctuations (or returns) that are slowly removed at longer…
In this paper we propose an Ising model which simulates multiple financial time series. Our model introduces the interaction which couples to spins of other systems. Simulations from our model show that time series exhibit the volatility…
Mounting empirical evidence suggests that the observed extreme prices within a trading period can provide valuable information about the volatility of the process within that period. In this paper we define a class of stochastic volatility…
We introduce a class of randomly time-changed fast mean-reverting stochastic volatility models and, using spectral theory and singular perturbation techniques, we derive an approximation for the prices of European options in this setting.…
The continuous time stochastic process is a mainstream mathematical instrument modeling the random world with a wide range of applications involving finance, statistics, physics, and time series analysis, while the simulation and analysis…
Quantum Molecular Dynamics (QMD) calculations are used to study the expansion phase in central collisions between heavy nuclei. The final state of such a reaction can be understood as the result of a entropy conserving expansion starting…
The methods of statistical physics of open systems are used for describing the time dependence of economic characteristics (income, profit, cost, supply, currency etc.) and their correlations with each other. Nonlinear equations (analogies…
To understand the origin of bursty dynamics in natural and social processes we provide a general analysis framework, in which the temporal process is decomposed into sub-processes and then the bursts in sub-processes, called contextual…
The present paper aims to demonstrate the usage of Convolutional Neural Networks as a generative model for stochastic processes, enabling researchers from a wide range of fields (such as quantitative finance and physics) to develop a…
We apply methods of quantum mechanics for mathematical modeling of price dynamics at the financial market. We propose to describe behavioral financial factors (e.g., expectations of traders) by using the pilot wave (Bohmian) model of…
We introduce and study a class of active matter models in which we keep track of fuel (stored energy) consumption. They are by construction, thermodynamically consistent. Using these models it is possible for us to observe and follow how…
Financial volatility risk and its relation to a business cycle-related intrinsic time is addressed through a multiple round evolutionary quantum game equilibrium leading to turbulence and multifractal signatures in the financial returns and…
A Value-at-Risk based model is proposed to compute the adequate equity capital necessary to cover potential losses due to operational risks, such as human and system process failures, in banking organizations. Exploring the analogy to a…
Modeling and parameter estimation for neuronal dynamics are often challenging because many parameters can range over orders of magnitude and are difficult to measure experimentally. Moreover, selecting a suitable model complexity requires a…
Model reduction methods are relevant when the computation time of a full convection-diffusion-reaction simulation based on detailed chemical reaction mechanisms is too large. In this article, we review a model reduction approach based on…
A recombination reaction model for high-temperature chemical kinetics is derived from ab initio simulations data. A kinetic recombination rate model is derived using a recently developed ab initio state-specific dissociation model and the…
We define a financial bubble as a period of unsustainable growth, when the price of an asset increases ever more quickly, in a series of accelerating phases of corrections and rebounds. More technically, during a bubble phase, the price…
Financial markets exhibit alternating periods of rising and falling prices. Stock traders seeking to make profitable investment decisions have to account for those trends, where the goal is to accurately predict switches from bullish…
We introduce a class of Kac-like kinetic equations on the real line, with general random collisional rules, which include as particular cases models for wealth redistribution in an agent-based market or models for granular gases with a…
The estimation of dependencies between multiple variables is a central problem in the analysis of financial time series. A common approach is to express these dependencies in terms of a copula function. Typically the copula function is…