Related papers: Combustion Models in Finance
The use of kinetic modelling based on partial differential equations for the dynamics of stock price formation in financial markets is briefly reviewed. The importance of behavioral aspects in market booms and crashes and the role of…
Reaction rate equations are ordinary differential equations that are frequently used to describe deterministic chemical kinetics at the macroscopic scale. At the microscopic scale, the chemical kinetics is stochastic and can be captured by…
The current accelerating phase of the evolution of the universe is considered by constructing most economical cosmic models that use just general relativity and some dominating quantum effects associated with the probabilistic description…
We investigate Ising model description of dynamics of stock price. The model is defined in near 2 dimensions, one dimension is time and another represents ensemble of stocks, and strength of response of investors to price change corresponds…
Continuous time stochastic processes are useful models especially for financial and insurance purposes. The numerical simulation of such models is dependant of the time discrete discretization, of the parametric estimation and of the choice…
We consider large-scale systems influenced by burnout variables - state variables that start active, shape dynamics, and irreversibly deactivate once certain conditions are met. Simulating what-if scenarios in such systems is…
Stochastic thermodynamics is formulated for variables that are odd under time reversal. The invariance under spatial rotation of the collision rates due to the isotropy of the heat bath is shown to be a crucial ingredient. An alternative…
We consider a mean-reverting stochastic volatility model which satisfies some relevant stylized facts of financial markets. We introduce an algorithm for the detection of peaks in the volatility profile, that we apply to the time series of…
We investigate the general problem of how to model the kinematics of stock prices without considering the dynamical causes of motion. We propose a stochastic process with long-range correlated absolute returns. We find that the model is…
The use of factor stochastic volatility models requires choosing the number of latent factors used to describe the dynamics of the financial returns process; however, empirical evidence suggests that the number and makeup of pertinent…
We introduce a new class of continuous-time models of the stochastic volatility of asset prices. The models can simultaneously incorporate roughness and slowly decaying autocorrelations, including proper long memory, which are two stylized…
Computational techniques are required for narrowing down the vast space of possibilities to plausible prebiotic scenarios, since precise information on the molecular composition, the dominant reaction chemistry, and the conditions for that…
While inflation gives an appealing explanation of observed cosmological data, there are a wide range of different inflation models, providing differing predictions for the initial perturbations. Typically models are motivated either by…
In this paper, we provide a simple, ``generic'' interpretation of multifractal scaling laws and multiplicative cascade process paradigms in terms of volatility correlations. We show that in this context 1/f power spectra, as observed…
We empirically analyze the reversion of financial market trends with time horizons ranging from minutes to decades. The analysis covers equities, interest rates, currencies and commodities and combines 14 years of futures tick data, 30…
A method to calculate reactions in quantum mechanics is outlined. It is advantageous, in particular, in problems with many open channels of various nature i.e. when energy is not low. In the method there is no need to specify reaction…
We propose that the minimal requirements for a model of stock market price fluctuations should comprise time asymmetry, robustness with respect to connectivity between agents, ``bounded rationality'' and a probabilistic description. We also…
Sharp changes in time series representing market dynamics are studied by means of the self--similar analysis suggested earlier by the authors. These sharp changes are market booms and crashes. Such crises phenomena in markets are analogous…
Earlier we proposed the stochastic point process model, which reproduces a variety of self-affine time series exhibiting power spectral density S(f) scaling as power of the frequency f and derived a stochastic differential equation with the…
Collective behaviours taking place in financial markets reveal strongly correlated states especially during a crisis period. A natural hypothesis is that trend reversals are also driven by mutual influences between the different stock…