相关论文: Entropy Oriented Trading: A Trading Strategy Based…

The second law of nonequilibrium thermodynamics within the open system paradigm (a small system coupled to one or multiple baths) is derived. This is done by showing positivity of entropy production for arbitrary Hamiltonian dynamics for a…

The Second Law of Thermodynamics states that the entropy of a closed system is non-decreasing. Discussing the Second Law in the quantum world poses new challenges and provides new opportunities, involving fundamental…

The Second Law of Thermodynamics asserts that the physical entropy of an adiabatic system is an increasing function in time. In this paper we will study a more stringent version of this law, according to which the entropy should not only…

In a previous work (M. Campisi. Stud. Hist. Phil. M. P. 36 (2005) 275-290) we have addressed the mechanical foundations of equilibrium thermodynamics on the basis of the Generalized Helmholtz Theorem. It was found that the volume entropy…

The example provided in the comment [arXiv:0803.2241] concerns a situation where the system is initially at negative temperature. It is known that in such cases the Law of Entropy Decrease holds. Nevertheless, this does not challenge the…

Energy storage resources must consider both price uncertainties and their physical operating characteristics when participating in wholesale electricity markets. This is a challenging problem as electricity prices are highly volatile, and…

In this study, we introduce a physical model inspired by statistical physics for predicting price volatility and expected returns by leveraging Level 3 order book data. By drawing parallels between orders in the limit order book and…

This is the third paper in a series concerning the game-theoretic aspects of position-building while in competition. The first paper set forth foundations and laid out the essential goal, which is to minimize implementation costs in light…

We propose a new formulation of stochastic thermodynamics for systems subjected to nonequilibrium constraints (i.e. broken detailed balance at steady state) and furthermore driven by external time-dependent forces. A splitting of the second…

A dynamic herding model with interactions of trading volumes is introduced. At time $t$, an agent trades with a probability, which depends on the ratio of the total trading volume at time $t-1$ to its own trading volume at its last trade.…

Algorithmic trading, due to its inherent nature, is a difficult problem to tackle; there are too many variables involved in the real world which make it almost impossible to have reliable algorithms for automated stock trading. The lack of…

By treating the financial market as a thermodynamic system, we establish a one-to-one correspondence between thermodynamic variables and economic quantities. Measured by the expected loss under the worst-case scenario, financial risk caused…

The second law of thermodynamics points to the existence of an `arrow of time', along which entropy only increases. This arises despite the time-reversal symmetry (TRS) of the microscopic laws of nature. Within quantum theory, TRS underpins…

For a small driven system coupled strongly to a heat bath, internal energy and exchanged heat are identified such that they obey the usual additive form of the first law. By identifying this exchanged heat with the entropy change of the…

It is shown that a heat energy can be transformed in an electric energy of direct current by the use of an inhomogeneous superconducting ring. This trasformation is possible both at an iterative change of temperature and at an unaltered…

Recent work using tools from quantum information theory has shown that at the nanoscale where quantum effects become prevalent, there is not one thermodynamical second law but many. Derivations of these laws assume that an experimenter has…

We study the problem of option pricing and hedging strategies within the frame-work of risk-return arguments. An economic agent is described by a utility function that depends on profit (an expected value) and risk (a variance). In the…

The second law of thermodynamics can be formulated as a restriction on the evolution of the entropy of any system undergoing Markovian dynamics. Here I show that this form of the second law is strengthened for multi-dimensional, complex…

Biological and engineered systems operate by coupling function to the transfer of heat and/or particles down a thermal or chemical gradient. In idealized \textit{deterministically} driven systems, thermodynamic control can be exerted…

In a macroscopic (quantum or classical) Hamiltonian system, we prove the second law of thermodynamics in the forms of the minimum work principle and the law of entropy increase, under the assumption that the initial state is described by a…