相关论文: Stocks and Cryptocurrencies: Anti-fragile or Robus…
Antifragility characterizes the benefit of a dynamical system derived from the variability in environmental perturbations. Antifragility carries a precise definition that quantifies a system's output response to input variability. Systems…
This paper defines antifragility for dynamical systems as convexity of a newly introduced "logarithmic rate". It shows how to compute this rate for positive linear systems, and it interprets antifragility in terms of pulsed alternations of…
Measuring systemic risk or fragility of financial systems is a ubiquitous task of fundamental importance in analyzing market efficiency, portfolio allocation, and containment of financial contagions. Recent attempts have shown that…
Recently, the notion of cryptocurrencies has come to the fore of public interest. These assets that exist only in electronic form, with no underlying value, offer the owners some protection from tracking or seizure by government or…
We provide a mathematical definition of fragility and antifragility as negative or positive sensitivity to a semi-measure of dispersion and volatility (a variant of negative or positive "vega") and examine the link to nonlinear effects. We…
Using recent advances in the econometrics literature, we disentangle from high frequency observations on the transaction prices of a large sample of NYSE stocks a fundamental component and a microstructure noise component. We then relate…
A system is called antifragile when damage acts as a constructive element improving the performance of a global function. In this paper, we analyze the emergence of antifragility in the movement of random walkers on networks with modular…
The present article introduces a reference framework for discussing resilience of computational systems. Rather than a property that may or may not be exhibited by a system, resilience is interpreted here as the emerging result of a dynamic…
Antifragility is a property that enhances the capability of a system in response to external perturbations. Although the concept has been applied in many areas, a practical measure of antifragility has not been developed yet. Here we…
Antifragility is a property from which systems are able to resist stress and furthermore benefit from it. Even though antifragile dynamics is found in various real-world complex systems where multiple subsystems interact with each other,…
An algorithmic stablecoin is a type of cryptocurrency managed by algorithms (i.e., smart contracts) to dynamically minimize the volatility of its price relative to a specific form of asset, e.g., US dollar. As algorithmic stablecoins have…
Algorithmic robustness refers to the sustained performance of a computational system in the face of change in the nature of the environment in which that system operates or in the task that the system is meant to perform. Below, we motivate…
The analysis of high-frequency financial data is often impeded by the presence of noise. This article is motivated by intraday return data in which market microstructure noise appears to be rough, that is, best captured by a continuous-time…
We introduce a metric for evaluating the robustness of a classifier, with particular attention to adversarial perturbations, in terms of expected functionality with respect to possible adversarial perturbations. A classifier is assumed to…
A new measure to characterize stability of complex dynamical systems against large perturbation is suggested, the stability threshold (ST). It quantifies the magnitude of the weakest perturbation capable to disrupt the system and switch it…
Cryptocurrencies are examined through the asset flow equations and experimental asset markets. Since tangible value of a typical cryptocurrency is non-existent, the theory suggests that price will gravitate toward liquidity value, i.e., the…
We present a new, scalable alternative to the structured singular value, which we call $\nu$, provide a convex upper bound, study their properties and compare them to $\ell_1$ robust control. The analysis relies on a novel result on the…
The optimal operation of transportation systems is often susceptible to unexpected disruptions. Many established control strategies reliant on mathematical models can struggle with real-world disruptions, leading to significant divergence…
Robustness of hybrid control systems to measurement noise, actuator disturbances, and more generally perturbations, is analyzed. The relationship between the robustness of a hybrid control system and of its implementations is emphasized.…
Since its conception, the cryptocurrency market has been frequently described as an immature market, characterized by significant swings in volatility and occasionally described as lacking rhyme or reason. There has been great speculation…