相关论文: Converting the reset
Over the past decade, random forest models have become widely used as a robust method for high-dimensional data regression tasks. In part, the popularity of these models arises from the fact that they require little hyperparameter tuning…
In a continuous time stochastic economy, this paper considers the problem of consumption and investment in a financial market in which the representative investor exhibits a change in the discount rate. The investment opportunities are a…
In this survey paper we discuss recent advances on short interest rate models which can be formulated in terms of a stochastic differential equation for the instantaneous interest rate (also called short rate) or a system of such equations…
The effects of Poissonian resetting at a constant rate $r$ on the reaction time between a Brownian particle and a stochastically gated target are studied. The target switches between a reactive state and a non-reactive one. We calculate the…
As a firm varies the price of a product, consumers exhibit reference effects, making purchase decisions based not only on the prevailing price but also the product's price history. We consider the problem of learning such behavioral…
We consider the problem of modelling the term structure of defaultable bonds, under minimal assumptions on the default time. In particular, we do not assume the existence of a default intensity and we therefore allow for the possibility of…
Rate change calculations in the literature involve deterministic methods that measure the change in premium for a given policy. The definition of rate change as a statistical parameter is proposed to address the stochastic nature of the…
To convert standard Brownian motion $Z$ into a positive process, Geometric Brownian motion (GBM) $e^{\beta Z_t}, \beta >0$ is widely used. We generalize this positive process by introducing an asymmetry parameter $ \alpha \geq 0$ which…
Using a reverse-engineering approach on the time-distorted solution in a reference potential, we work out the external driving potential to be applied to a Brownian system in order to slow or accelerate the dynamics, or even to invert the…
We investigate the robustness of the microscopic reversibility in open quantum systems which is discussed by Monnai [arXiv:1106.1982 (2011)]. We derive an exact relation between the forward transition probability and the reversed transition…
The purpose of these notes is to provide a systematic quantitative framework - in what is intended to be a "pedagogical" fashion - for discussing mean-reversion and optimization. We start with pair trading and add complexity by following…
We analyze analytic approximation formulae for pricing zero-coupon bonds in the case when the short-term interest rate is driven by a one-factor mean-reverting process with a volatility nonlinearly depending on the interest rate itself. We…
Transformer models have become increasingly popular in financial applications, yet their potential risk making and biases remain under-explored. The purpose of this work is to audit the reliance of the model on volatile data for…
This paper studies the effect of quarterly earnings reports on the stock price. The profitability of the stock is modelled by geometric Brownian diffusion and the Constant Elasticity of Variance model. We fit several variations of…
In this paper we introduce a general stochastic representation for an important class of processes with resetting. It allows to describe any stochastic process intermittently terminated and restarted from a predefined random or non-random…
We introduce a class of randomly time-changed fast mean-reverting stochastic volatility models and, using spectral theory and singular perturbation techniques, we derive an approximation for the prices of European options in this setting.…
We discuss the class of "Quadratic Normal Volatility" models, which have drawn much attention in the financial industry due to their analytic tractability and flexibility. We characterize these models as the ones that can be obtained from…
The effect of refractory periods in partial resetting processes is studied. Under Poissonian partial resets, a state variable jumps to a value closer to the origin by a fixed fraction at constant rate, $x\to a x$. Following each reset, a…
Stochastic resetting describes dynamics which are reinitialized to a reference state at random times. These protocols are attracting significant interest: they can stabilize nonequilibrium stationary states, generate correlations in…
This paper proposes a novel model of financial prices where: (i) prices are discrete; (ii) prices change in continuous time; (iii) a high proportion of price changes are reversed in a fraction of a second. Our model is analytically…