相关论文: Dynamical Structures of High-Frequency Financial D…

Financial time series have historically been assumed to be a martingale process under the Random Walk hypothesis. Instead of making investment decisions using the raw prices alone, various multimodal pattern matching algorithms have been…

We present results about financial market observables, specifically returns and traded volumes. They are obtained within the current nonextensive statistical mechanical framework based on the entropy $S_{q}=k\frac{1-\sum\limits_{i=1}^{W}…

In the current stock market, computer science and technology are more and more widely used to analyse stocks. Not same as most related machine learning stock price prediction work, this work study the predicting the tendency of the stock…

This paper investigates recursive feasibility, recursive robust stability and near-optimality properties of policy iteration (PI). For this purpose, we consider deterministic nonlinear discrete-time systems whose inputs are generated by PI…

Correlations between random variables play an important role in applications, e.g.\ in financial analysis. More precisely, accurate estimates of the correlation between financial returns are crucial in portfolio management. In particular,…

We describe a novel method for modeling non-stationary multivariate time series, with time-varying conditional dependencies represented through dynamic networks. Our proposed approach combines traditional multi-scale modeling and network…

In this paper, we analyze the time-series of minute price returns on the Bitcoin market through the statistical models of generalized autoregressive conditional heteroskedasticity (GARCH) family. Several mathematical models have been…

Intraday financial data often take the form of a collection of curves that can be observed sequentially over time, such as intraday stock price curves. These curves can be viewed as a time series of functions observed on equally spaced and…

We study a minimal model involving two species of particles interacting via quorum-sensing rules. Combining simulations of the microscopic model and linear stability analysis of the associated coarse-grained field theory, we identify a…

In this paper, we study the contextual dynamic pricing problem where the market value of a product is linear in its observed features plus some market noise. Products are sold one at a time, and only a binary response indicating success or…

We study the phase transition of dynamical herd behaviors for the yen-dollar exchange rate in the Japanese financial market. It is obtained that the probability distribution of returns satisfies the power-law behavior with three different…

Protein function does not solely depend on structure but often relies on dynamical transitions between distinct conformations. Despite this fact, our ability to characterize or predict protein dynamics is substantially less developed…

Many physical datasets are generated by collections of instruments that make measurements at regular time intervals. For such regular monitoring data, we extend the framework of half-spectral covariance functions to the case of…

Autoregressive models use chain rule to define a joint probability distribution as a product of conditionals. These conditionals need to be normalized, imposing constraints on the functional families that can be used. To increase…

Recently, we have demonstrated that our approach is a highly effective tool while analysing complex phenomena existing in networks of coupled nonlinear systems. In the present article we present the results of our investigations into a…

In this paper we explore the specific role of randomness in financial markets, inspired by the beneficial role of noise in many physical systems and in previous applications to complex socio- economic systems. After a short introduction, we…

Using ultra-high-frequency data extracted from the order flows of 23 stocks traded on the Shenzhen Stock Exchange, we study the empirical regularities of order placement in the opening call auction, cool period and continuous auction. The…

We present three classes of symmetric broadband composite pulse sequences. The composite phases are given by analytic formulas (rational fractions of $\pi$) valid for any number of constituent pulses. The transition probability is expressed…

Social dynamics is concerned primarily with interactions among individuals and the resulting group behaviors, modeling the temporal evolution of social systems via the interactions of individuals within these systems. In particular, the…

A compositional tree refers to a tree structure on a set of random variables where each random variable is a node and composition occurs at each non-leaf node of the tree. As a generalization of compositional data, compositional trees…