相关论文: Converting the reset

The conventional formal tool to detect effects of the financial persistence is in terms of the Hurst exponent. A typical corresponding result is that its value comes out close to 0.5, as characteristic for geometric Brownian motion, with at…

In this work, we explore whether modeling recurrence into the Transformer architecture can both be beneficial and efficient, by building an extremely simple recurrent module into the Transformer. We compare our model to baselines following…

We consider an individual or household endowed with an initial capital and an income, modeled as a deterministic process with a continuous drift rate. At first, we model the discounting rate as the price of a zero-coupon bond at zero under…

Reversal of the time direction in stochastic systems driven by white noise has been central throughout the development of stochastic realization theory, filtering and smoothing. Similar ideas were developed in connection with certain…

Collective behaviours taking place in financial markets reveal strongly correlated states especially during a crisis period. A natural hypothesis is that trend reversals are also driven by mutual influences between the different stock…

Free categorical constructions characterise quantum computing as the combination of two copies of a reversible classical model, glued by the complementarity equations of classical structures. This recipe effectively constructs a…

When humans infer underlying probabilities from stochastic observations, they exhibit biases and variability that cannot be explained on the basis of sound, Bayesian manipulations of probability. This is especially salient when beliefs are…

Market expectations about AI's economic impact may influence interest rates. Previous work has shown that US bond yields decline around the release of a sample of mostly proprietary AI models (Andrews and Farboodi 2025). I extend this…

Motivated by our recent work relating canonical bases to combinatorics of Garsia-Procesi modules \cite{B}, we give an insertion algorithm that computes the catabolizability of the insertion tableau of a standard word. This allows us to…

The purpose of the present paper is to incorporate stochastic interest rates into a matrix-approach to multi-state life insurance, where formulas for reserves, moments of future payments and equivalence premiums can be obtained as explicit…

This paper introduces a novel multidimensional insurance-linked instrument: a contingent convertible bond (CoCoCat bond) whose conversion trigger is activated by predefined natural catastrophes across multiple geographical regions. We…

We generalize the momentum indicator idea taking into account the volume of transactions as a multiplicative factor. We compare returns obtained following strategies based on the classical or the generalized technical analysis, taking into…

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…

This paper investigates the impact of monetary policy surprises on U.S. Treasury bond yields and the implications for portfolio managers. Based on the supply and demand model, traditional economic theories suggest that Federal Reserve bond…

In this paper is proposed a 2 factor structural PDE model of pricing puttable bond with credit risk and derived the analytical pricing formula. To this end, first, a 2 factor structural (PDE) model of pricing zero coupon bond with credit…

We discuss the probabilistic properties of the variation based third and fourth moments of financial returns as estimators of the actual moments of the return distributions. The moment variations are defined under non-parametric assumptions…

I introduce a high-dimensional Bayesian vector autoregressive (BVAR) framework designed to estimate the effects of conventional monetary policy shocks. The model captures structural shocks as latent factors, enabling computationally…

Recent experiments have implemented resetting by means of an external trap, whereby a system relaxes to the minimum of the trap and is reset in a finite time. In this work, we set up and analyse the thermodynamics of such a protocol. We…

We introduce an approximation strategy for the discounted moments of a stochastic process that can, for a large class of problems, approximate the true moments. These moments appear in pricing formulas of financial products such as bonds…

We address the problem of long-range memory in the financial markets. There are two conceptually different ways to reproduce power-law decay of auto-correlation function: using fractional Brownian motion as well as non-linear stochastic…