Related papers: The continuous time random walk formalism in finan…
Continuous Time Random Maxima (CTRM) are a generalization of classical extreme value theory: Instead of observing random events at regular intervals in time, the waiting times between the events are also random variables with arbitrary…
The gambler's ruin problem for correlated random walks (CRW), both with and without delays, is addressed using the Optional Stopping Theorem for martingales. We derive closed-form expressions for the ruin probabilities and the expected game…
Graph sampling is a technique to pick a subset of vertices and/ or edges from original graph. Among various graph sampling approaches, Traversal Based Sampling (TBS) are widely used due to low cost and feasibility for many cases, in which…
Quantum walk (QW), which is considered as the quantum counterpart of the classical random walk (CRW), is actually the quantum extension of CRW from the single-coin interpretation. The sequential unitary evolution engenders correlation…
This paper develops a two-step estimation methodology, which allows us to apply catastrophe theory to stock market returns with time-varying volatility and model stock market crashes. Utilizing high frequency data, we estimate the daily…
This article is the second one in a series on the use of scaling invariance in finance. In the first article (cond-mat/9906048), we introduced a new formalism for the pricing of derivative securities, which focusses on tradable objects…
Starting from the characterization of the past time evolution of market prices in terms of two fundamental indicators, price velocity and price acceleration, we construct a general classification of the possible patterns characterizing the…
Basic peculiarities of market price fluctuations are known to be well described by a recently developed random walk model in a temporally deforming quadric potential force whose center is given by a moving average of past price traces…
Starting from a continuous time random walk (CTRW) model of particles that may evanesce as they walk, our goal is to arrive at macroscopic integro-differential equations for the probability density for a particle to be found at point r at…
The basic conceptual picture and theoretical basis for development of transport equations in porous media are examined. The general form of the governing equations is derived for conservative chemical transport in heterogeneous geological…
Expanding media are typical in many different fields, e.g. in Biology and Cosmology. In general, a medium expansion (contraction) brings about dramatic changes in the behavior of diffusive transport properties. Here, we focus on such…
We used the random walk to model the problem of reserves. The classic case of a stochastic process is the example of random walks, which are used to study a set of phenomena and, particularly, as in this article, models of reserves…
We build the time series of optimal realized portfolio weights from high-frequency data and we suggest a novel Dynamic Conditional Weights (DCW) model for their dynamics. DCW is benchmarked against popular model-based and model-free…
This tutorial article showcases the many varieties and uses of quantum walks. Discrete time quantum walks are introduced as counterparts of classical random walks. The emphasis is on the connections and differences between the two types of…
In this article, we present new random walk methods to solve flow and transport problems in unsaturated/saturated porous media, including coupled flow and transport processes in soils, heterogeneous systems modeled through random hydraulic…
We present a graph random walk (GRW) method for the study of charge transport properties of complex molecular materials in the time-of-flight regime. The molecules forming the material are represented by the vertices of a directed weighted…
Continuous-time quantum walk (CTQW) on a given graph is investigated by using the techniques of the spectral analysis and inverse Laplace transform of the Stieltjes function (Stieltjes transform of the spectral distribution) associated with…
The present article explores the application of randomized control techniques in empirical asset pricing and performance evaluation. It introduces geometric random walks, a class of Markov chain Monte Carlo methods, to construct flexible…
An analytical soluble model based on a Continuous Time Random Walk (CTRW) scheme for the adsorption-desorption processes at interfaces, called bulk-mediated surface diffusion, is presented. The time evolution of the effective probability…
Quantum random walks (QRWs) are random processes in which the resulting probability density of the "walker" state, whose movement is governed by a "coin" state, is described in a non-classical manner. Previously, Q-plates have been used to…