相关论文: Limits of Semistatic Trading Strategies

To profit from price oscillations, investors frequently use threshold-type strategies where changes in the portfolio position are triggered by some indicators reaching prescribed levels. In this paper, we investigate threshold-type…

The objective of this work is to present the existence result of for the non- steady compressible Navier-Stokes equations via time discretization. We consider the two-dimensional case with a slip boundary conditions. First, the existence of…

In this paper, the survival function of waiting times between orders and the corresponding trades in a double-auction market is studied both by means of experiments and of empirical data. It turns out that, already at the level of order…

We consider a Schr\"odinger particle on a graph consisting of $\,N\,$ links joined at a single point. Each link supports a real locally integrable potential $\,V_j\,$; the self--adjointness is ensured by the $\,\delta\,$ type boundary…

This work focuses on the mathematical study of constant function market makers. We rigorously establish the conditions for optimal trading under the assumption of a quasilinear, but not necessarily convex (or concave), trade function. This…

This work represents a first systematic attempt to create a common ground for semi-classical and time-frequency analysis. These two different areas combined together provide interesting outcomes in terms of Schr\"odinger type equations.…

We consider a simple but important class of metastable discrete time Markov chains, which we call perturbed Markov chains. Basically, we assume that the transition matrices depend on a parameter $\varepsilon$, and converge as $\varepsilon$.…

Linear stability of solitary waves near transcritical bifurcations is analyzed for the generalized nonlinear Schroedinger equations with arbitrary forms of nonlinearity and external potentials in arbitrary spatial dimensions. Bifurcation of…

In this paper, we study quasi-stationary distributions of nonlinearly perturbed semi-Markov processes in discrete time. This type of distributions is of interest for the analysis of stochastic systems which have finite lifetimes, but are…

We analyze the semiclassical $d$-dimensional Schr\"{o}dinger operator in the continuum $ \frac{1}{2} \Delta + \lambda_N^2 V$ discretized on a mesh with spacing proportional to $1/N$. The semi-classical parameter $\lambda_N$ is chosen as…

We revisit classical asymptotics when testing for a structural break in linear regression models by obtaining the limit theory of residual-based and Wald-type processes. First, we establish the Brownian bridge limiting distribution of these…

We introduce a trade strategy representation theorem for performance measurement and portable alpha in high frequency trading, by embedding a robust trading algorithm that describe portfolio manager market timing behavior, in a canonical…

Barrier billiards are simple examples of pseudo-integrable models which form an appealing but poorly investigated subclass of dynamical systems. The paper examines the semiclassical limit of the exact quantum transfer operator for barrier…

We consider the problem of steering a linear stochastic system between two end-point degenerate Gaussian distributions in finite time. This accounts for those situations in which some but not all of the state entries are uncertain at the…

We study the optimal portfolio liquidation problem over a finite horizon in a limit order book with bid-ask spread and temporary market price impact penalizing speedy execution trades. We use a continuous-time modeling framework, but in…

Dzhaparidze and Spreij [5] showed that the quadratic variation of a semimartingale can be approximated using a randomized periodogram. We show that the same approximation is valid for a special class of continuous stochastic processes. This…

In this article we prove global propagation of analyticity in finite time for solutions of semilinear Schr\"odinger equations with analytic nonlinearity from a region $\omega$ where the Geometric Control Condition holds. Our approach…

The aim of this paper is to provide uniform estimates for the eigenvalue spacings of one-dimensional semiclassical Schr\"odinger operators with singular potentials on the half-line. We introduce a new development of semiclassical measures…

We prove the existence of ballistic transport for the Schr\"odinger operator with limit-periodic or quasi-periodic potential in dimension two. This is done under certain regularity assumptions on the potential which have been used in prior…

Using the Fermi Golden Rule analysis developed in several results by the first author, we prove asymptotic stability of asymmetric nonlinear bound states bifurcating from linear bound states for a quintic nonlinear Schr\"odinger operator…