Related papers: Combustion Models in Finance
In this paper we briefly review two recent use-cases of quantum optimization algorithms applied to hard problems in finance and economy. Specifically, we discuss the prediction of financial crashes as well as dynamic portfolio optimization.…
A model for the phenomenological description of tick-by-tick share prices in a stock exchange is introduced. It is based on mixtures of compound Poisson processes. Preliminary results based on Monte Carlo simulation show that this model can…
This article discusses recent developments in the literature of quantile time series models in the cases of stationary and nonstationary underline stochastic processes.
The objective of this work is the investigation of complexity, asymmetry, stochasticity and non-linearity of the financial and economic systems by using the tools of statistical mechanics and information theory. More precisely, this thesis…
A dynamical price formation model for financial assets is presented. It aims to capture the essence of speculative trading where mispricings of assets are used to make profits. It is shown that together with the incorporation of the concept…
We describe observational evidence and theoretical calculations which support the high velocity neutron star model of gamma-ray bursts. We estimate the energetic requirements in this model, and discuss possible energy sources. we also…
This article shows how to specify and construct a discrete, stochastic, continuous-time model specifically for ecological systems. The model is more broad than typical chemical kinetics models in two ways. First, using time-dependent hazard…
We introduce an infinite particle system dynamics, which includes stochastic chemical kinetics models, the classical Kac model and free space movement. We study energy redistribution between two energy types (kinetic and chemical) in…
A taxonomy of large financial crashes proposed in the literature locates the burst of speculative bubbles due to endogenous causes in the framework of extreme stock market crashes, defined as falls of market prices that are outlier with…
A process model of quantum mechanics utilizes a combinatorial game to generate a discrete and finite causal space upon which can be defined a self-consistent quantum mechanics. An emergent space-time M and continuous wave function arise…
Physicists have recently begun doing research in finance, and even though this movement is less than five years old, interesting and useful contributions have already emerged. This article reviews these developments in four areas, including…
Model-based safety analysis approaches aim at finding critical failure combinations by analysis of models of the whole system (i.e. software, hardware, failure modes and environment). The advantage of these methods compared to traditional…
Understanding and simulating how a quantum system interacts and exchanges information or energy with its surroundings is a ubiquitous problem, one which must be carefully addressed in order to establish a coherent framework to describe the…
This paper provides the mathematical foundation for polynomial diffusions. They play an important role in a growing range of applications in finance, including financial market models for interest rates, credit risk, stochastic volatility,…
Recently, a novel class of models for inflation has been found in which the inflationary dynamics is driven solely by (non-canonical) kinetic terms rather than by potential terms. As an obvious extension, we show that a scalar field with…
Fluid-solid reactions exist in many chemical and metallurgical process industries. Several models describe these reactions such as volume reaction model, grain model, random pore model and nucleation model. These models give two nonlinear…
This paper describes a general approach for stochastic modeling of assets returns and liability cash-flows of a typical pensions insurer. On the asset side, we model the investment returns on equities and various classes of fixed-income…
A new space-time model for interacting agents on the financial market is presented. It is a combination of the Curie-Weiss model and a space-time model introduced by J\"arpe 2005. Properties of the model are derived with focus on the…
Time series foundation models (FMs) have emerged as a popular paradigm for zero-shot multi-domain forecasting. These models are trained on numerous diverse datasets and claim to be effective forecasters across multiple different time series…
One approach to the analysis of stochastic fluctuations in market prices is to model characteristics of investor behaviour and the complex interactions between market participants, with the aim of extracting consequences in the aggregate.…