相关论文: Entropy Oriented Trading: A Trading Strategy Based…
Completely positive trace preserving maps are essential for the formulation of the second law of thermodynamics. The dynamics of quantum systems, correlated with their environments, are in general not described by such maps. We explore how…
We revisit the conjecture of a generalized second law of thermodynamics which states that the combined entropy of matter and horizons must grow. In an expanding universe a generalized second law restricts the equation of state. In…
Events in mesoscopic systems often take place at first-passage times, as is for instance the case for a colloidal particle that escapes a metastable state. An interesting question is how much work an external agent has done on a particle…
Entropic dynamics is a framework for defining dynamical systems that is aligned with the principles of information theory. In an entropic dynamics model for motion on a statistical manifold, we find that the rate of changes for expected…
In the context of understanding the nature of the risk transformation process of the financial system we propose an iterative risk-trading game between several agents who build their trading strategies based on a general utility setting.…
We extend the Carath\'{e}odory principle of the Second Law to quantum thermodynamics with energy levels depending on macroscopic variables, such as volume and magnetic field. This extension introduces the concept of Quantum Thermodynamic…
In this paper we present extensions to the original adaptive parallel tempering algorithm. Two different approaches are presented. In the first one we introduce state-dependent strategies using current information to perform a swap step. It…
We relate Newton's Second Law with the Second Law of Thermodynamics through the analysis of a simple model introducing a dynamic pressure concept. From this analyses we can clarify some conceptual problems resulting from several concepts of…
This paper is concerned with an optimal strategy for simultaneously trading a pair of stocks. The idea of pairs trading is to monitor their price movements and compare their relative strength over time. A pairs trade is triggered by the…
An investor with constant absolute risk aversion trades a risky asset with general It\^o-dynamics, in the presence of small proportional transaction costs. In this setting, we formally derive a leading-order optimal trading policy and the…
In economics, construction of perfect models in a way that would be comparable to the standards customary in physical sciences is generally not feasible. In particular, the observed value for an economic equilibrium may deviate…
We demonstrate that the entanglement entropy area law for free fermion ground states and the corresponding volume law for highly excited states are related by a position-momentum duality, thus of the same origin. For a typical excited state…
Elucidating fundamental limitations inherent in physical systems is a central subject in physics. For important thermodynamic operations such as information erasure, cooling, and copying, resources like time and energetic cost must be…
We discuss some features of thermodynamics in the presence of multiple conserved quantities. We prove a generalisation of Landauer principle illustrating tradeoffs between the erasure costs paid in different "currencies". We then show how…
The second law of thermodynamics uses change in free energy of macroscopic systems to set a bound on performed work. Ergotropy plays a similar role in microscopic scenarios, and is defined as the maximum amount of energy that can be…
We focus attention on some particular thermodynamic relations (PTR). Using information theory concepts we show that, for a reversible process, microscopic considerations related to these PTR make the concomitant informational contents of…
Reciprocal relations correlate fairly accurately a great variety of experimental results. Nevertheless, the concepts of statistical fluctuations, and microscopic reversibility - the bases of the accepted proof of the relations by Onsager -…
For common people, in contrast to brokers, bankers, and those who play on rising and falling prices of stocks, the stock market law is based on the simple fact that the depositors aim for financial profit at any given concrete stage. The…
This paper studies an optimal trading problem that incorporates the trader's market view on the terminal asset price distribution and uninformative noise embedded in the asset price dynamics. We model the underlying asset price evolution by…
Due to the increasing popularity of futures trading among financial market participants, the risk management of these instruments is crucial. In this paper, we introduce a model for estimating the ideal time for leaving a trading position…