相关论文: Ergodic aspects of trading with threshold strategi…

This paper considers the problem of randomized influence maximization over a Markovian graph process: given a fixed set of nodes whose connectivity graph is evolving as a Markov chain, estimate the probability distribution (over this fixed…

We study almost sure limiting behavior of extreme and intermediate order statistics arising from strictly stationary sequences. First, we provide sufficient dependence conditions under which these order statistics converges almost surely to…

The purpose of this paper is to study a Markovian metapopulation model on a directed graph with edge-supported transfers and deterministic intra-nodal population dynamics. We first state tractable stability conditions for two typical…

Ergodic optimization aims to describe dynamically invariant probability measures that maximize the integral of a given function. The Dyck and Motzkin shifts are well-known examples of transitive subshifts over a finite alphabet that are not…

We obtain bounds on the distribution of the maximum of a martingale with fixed marginals at finitely many intermediate times. The bounds are sharp and attained by a solution to $n$-marginal Skorokhod embedding problem in Ob{\l}\'oj and…

A class of heterogeneous agent models is investigated where investors switch trading position whenever their motivation to do so exceeds some critical threshold. These motivations can be psychological in nature or reflect behaviour…

We study a Markov process with two components: the first component evolves according to one of finitely many underlying Markovian dynamics, with a choice of dynamics that changes at the jump times of the second component. The second…

Using the renewal approach we prove exponential inequalities for additive functionals and empirical processes of ergodic Markov chains, thus obtaining counterparts of inequalities for sums of independent random variables. The inequalities…

I provide necessary and sufficient conditions for an agent's preferences to be represented by a unique ergodic transformation. Put differently, if an agent seeks to maximize the time average growth of their wealth, what axioms must their…

We prove the convergence at an exponential rate towards the invariant probability measure for a class of solutions of stochastic differential equations with finite delay. This is done, in this non-Markovian setting, using the cluster…

For classification of the high frequency trading quantities, waiting times, price increments within and between sessions are referred to as the a-, b-, and c-increments. Statistics of the a-b-c-increments are computed for the Time & Sales…

We analyze the properties of degree-preserving Markov chains based on elementary edge switchings in undirected and directed graphs. We give exact yet simple formulas for the mobility of a graph (the number of possible moves) in terms of its…

We give a complete solution to the problem of minimizing the expected liquidity costs in presence of a general drift when the underlying market impact model has linear transient price impact with exponential resilience. It turns out that…

Necessary and sufficient conditions for a Markov chain to be ergodic are that the chain is irreducible and aperiodic. This result is manifest in the case of random walks on finite groups by a statement about the support of the driving…

This paper describes the dependence of market-based statistical moments of returns on statistical moments and correlations of the current and past trade values. We use Markowitz's definition of value weighted return of a portfolio as the…

We consider the problem of robustly maximizing the growth rate of investor wealth in the presence of model uncertainty. Possible models are all those under which the assets' region $E$ and instantaneous covariation $c$ are known, and where…

We study the optimal scheduling problem for a Markovian multiclass queueing network with abandonment in the Halfin--Whitt regime, under the long run average (ergodic) risk sensitive cost criterion. The objective is to prove asymptotic…

We obtain a lower asymptotic bound on the decay rate of the probability of a portfolio's underperformance against a benchmark over a large time horizon. It is assumed that the prices of the securities are governed by geometric Brownian…

We introduce a statistical mechanics formalism for the study of constrained graph evolution as a Markovian stochastic process, in analogy with that available for spin systems, deriving its basic properties and highlighting the role of the…

Abstract In Extreme Value methodology the choice of threshold plays an important role in efficient modelling of observations exceeding the threshold. The threshold must be chosen high enough to ensure an unbiased extreme value index but…