相关论文: Entropy Oriented Trading: A Trading Strategy Based…
We present a conjugate analysis of two different dark energy models investigating both their agreement with recent data and their thermodynamical properties. The successful match with the data allows to both constrain the model parameters…
This article introduces an intrinsic entropy model that can be used as an indicator to gauge investor interest in a given exchange-traded security, along with the state of the general market corroborated by individual security trade data.…
Insight into the problem of two-dimensional turbulence can be obtained by an analogy with a heat conduction network. It allows the identification of an entropy function associated to the enstrophy dissipation and that fluctuates around a…
Thermodynamics plays an important role both in the foundations of physics and in technological applications. An operational perspective adopted in recent years is to formulate it as a quantum resource theory. At the core of this theory is…
We investigate the unified first law and the generalized second law in a modified holographic dark energy model. The thermodynamical analysis on the apparent horizon can work and the corresponding entropy formula is extracted from the…
We propose and study a simple model of dynamical redistribution of capital in a diversified portfolio. We consider a hypothetical situation of a portfolio composed of N uncorrelated stocks. Each stock price follows a multiplicative random…
The development of stochastic thermodynamics during the last decades prompted the discovery of novel nonequilibrium relations refining our understanding of the second law in small fluctuating systems and its connection with information…
In a continuous time stochastic economy, this paper considers the problem of consumption and investment in a financial market in which the representative investor exhibits a change in the discount rate. The investment opportunities are a…
This paper studies the pricing of European-style Asian options when the price dynamics of the underlying risky asset are assumed to follow a Markov- modulated geometric Brownian motion; that is, the appreciation rate and the volatility of…
It is a common belief that in any environment where life is possible, life will be generated. Here it is suggested that the cause for a spontaneous generation of complex systems is probability driven processes. Based on equilibrium…
We present a new outlook on the climate system thermodynamics, studying some of its macroscopic properties in terms of the 1st and 2nd laws of thermodynamics. We review and clarify the notion of efficiency of the climate system by…
This thesis applies entropy as a model independent measure to address three research questions concerning financial time series. In the first study we apply transfer entropy to drawdowns and drawups in foreign exchange rates, to study their…
A pair of symmetric expressions for the second law of thermodynamics is put forward. The conservation and transfer of entropy is discussed and applied to problems like biology, culture and life itself. A new explanation is given to the…
We use the internal-variable, effective-temperature thermodynamics developed in two preceding papers to reformulate the shear-transformation-zone (STZ) theory of amorphous plasticity. As required by the preceding analysis, we make explicit…
The development of reinforced learning methods has extended application to many areas including algorithmic trading. In this paper trading on the stock exchange is interpreted into a game with a Markov property consisting of states,…
I argue that if a special science satisfies certain key assumptions that are familiar from physicalist accounts of the special sciences and from physics, then its causal regularities have an associated notion of entropy, and that this…
This paper studies four trading algorithms of a professional trader at a multilateral trading facility, observing a realistic two-sided limit order book whose dynamics are driven by the order book events. The identity of the trader can be…
In classical phenomenological thermodynamics the first and second laws can be regarded as independent statements. Statistical mechanics provides a microscopic substratum that explains thermodynamics in probabilistic terms via a microstate…
Entropy is a measure of self-information which is used to quantify losses. Entropy was developed in thermodynamics, but is also used to compare probabilities based on their deviating information content. Corresponding model uncertainty is…
The first (Russian) edition of the book was among the first monographs on econophysics. The book gives an explanation of several intriguing phenomena, providing new insights and answers to some deeply vexing questions. Why the economic…