相关论文: On a Boltzmann type price formation model

In this paper we analyze a nonlinear Black--Scholes model for option pricing under variable transaction costs. The diffusion coefficient of the nonlinear parabolic equation for the price $V$ is assumed to be a function of the underlying…

We derive a continuous time model for the joint evolution of the mid price and the bid-ask spread from a multiscale analysis of the whole limit order book (LOB) dynamics. We model the LOB as a multiclass queueing system and perform our…

We consider the problem of finding a consistent upper price bound for exotic options whose payoff depends on the stock price at two different predetermined time points (e.g. Asian option), given a finite number of observed call prices for…

We investigate possible origins of trends using a deterministic threshold model, where we refer to long-term variabilities of price changes (price movements) in financial markets as trends. From the investigation we find two phenomena. One…

Traditionally, traders and quantitative analysts address alpha decay by manually crafting formulaic alphas, mathematical expressions that identify patterns or signals in financial data, through domain expertise and trial-and-error. This…

This paper studies nonparametric identification and counterfactual bounds for heterogeneous firms that can be ranked in terms of productivity. Our approach works when quantities and prices are latent, rendering standard approaches…

In this paper, we focus on option pricing models based on space-time fractional diffusion. We briefly revise recent results which show that the option price can be represented in the terms of rapidly converging double-series and apply these…

This paper develops a model for the bid and ask prices of a European type asset by formulating a stochastic control problem. The state process is governed by a modified geometric Brownian motion whose drift and diffusion coefficients depend…

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…

We establish an explicit pricing formula for the class of L\'evy-stable models with maximal negative asymmetry (Log-L\'evy model with finite moments and stability parameter $1<\alpha\leq 2$) in the form of rapidly converging series. The…

We calculate the boundary correlation function of fixed-to-free boundary condition changing operators in the square-lattice Ising model. The correlation function is expressed in four different ways using $2\times2$ block Toeplitz…

This paper develops a strategic model of trade between two regions in which, depending on the relation among output, financial resources and transportation costs, the adjustment of prices towards an equilibrium is studied. We derive…

We derive asymptotic expansions for the prices of a variety of European and barrier-style claims in a general local-stochastic volatility setting. Our method combines Taylor series expansions of the diffusion coefficients with an expansion…

In this paper, we are concerned with the two-dimensional steady supersonic combustion flows with a contact discontinuity moving through a nozzle of finite length. Mathematically, it can be formulated as a free boundary value problem…

We study a class of iterative combinatorial auctions which can be viewed as subgradient descent methods for the problem of pricing bundles to balance supply and demand. We provide concrete convergence rates for auctions in this class,…

In this paper, a lattice Boltzmann (LB) model with double distribution functions is proposed for two-phase flow in porous media where one distribution function is used for pressure governed by the Poisson equation, and the other is applied…

Entropic lattice Boltzmann methods have been developed to alleviate intrinsic stability issues of lattice Boltzmann models for under-resolved simulations. Its reliability in combination with moving objects was established for various…

We explore nature of price formation in financial markets and develop a theory of bid and ask price dynamics in which the two prices form due to quantum-chaotic interaction between buy and sell orders. In this model bid and ask prices are…

The existence theory for solutions to the Boltzmann equation in bounded domains has primarily been developed within uniformly bounded function classes, such as $L^{\infty}_{x,v}$, as in [Duan-Huang-Wang-Yang,2017], [Duan-Wang,2019],…

We study network formation with the bilateral link formation rule (Jackson and Wolinsky 1996) with $n$ players and link cost $\alpha>0$. After the network is built, an adversary randomly destroys one link according to a certain probability…