相关论文: Hidden Forces and Fluctuations from Moving Average…

Dynamic pricing is both an opportunity and a challenge to the demand side. It is an opportunity as it better reflects the real time market conditions and hence enables an active demand side. However, demand's active participation does not…

This article provides an overview on the statistical modeling of complex data as increasingly encountered in modern data analysis. It is argued that such data can often be described as elements of a metric space that satisfies certain…

In the so-called "microscopic" models of vehicular traffic, attention is paid explicitly to each individual vehicle each of which is represented by a "particle"; the nature of the "interactions" among these particles is determined by the…

The use of kinetic modelling based on partial differential equations for the dynamics of stock price formation in financial markets is briefly reviewed. The importance of behavioral aspects in market booms and crashes and the role of…

We extend our previous study of scaling range properties done for detrended fluctuation analysis (DFA) \cite{former_paper} to other techniques of fluctuation analysis (FA). The new technique called Modified Detrended Moving Average Analysis…

We propose a novel family of test statistics to detect the presence of changepoints in a sequence of dependent, possibly multivariate, functional-valued observations. Our approach allows to test for a very general class of changepoints,…

Homeowners, first-time buyers, banks, governments and construction companies are highly interested in following the state of the property market. Currently, property price indexes are published several months out of date and hence do not…

We consider a dynamic pricing problem under unknown demand models. In this problem a seller offers prices to a stream of customers and observes either success or failure in each sale attempt. The underlying demand model is unknown to the…

The marginal price of electricity traditionally depends on the dual variables associated with relevant optimization goals. Particularly, in the optimal power flow realm, prices represent the cost of supplying an additional unit of power at…

Estimating and controlling large risks has become one of the main concern of financial institutions. This requires the development of adequate statistical models and theoretical tools (which go beyond the traditionnal theories based on…

Hidden regular variation is a sub-model of multivariate regular variation and facilitates accurate estimation of joint tail probabilities. We generalize the model of hidden regular variation to what we call hidden domain of attraction. We…

Many applications require that we learn the parameters of a model from data. EM is a method used to learn the parameters of probabilistic models for which the data for some of the variables in the models is either missing or hidden. There…

We propose and study a simple stochastic model for the dynamics of a limit order book, in which arrivals of market order, limit orders and order cancellations are described in terms of a Markovian queueing system. Through its analytical…

An interesting phenomenon that occurs in projectile motion, the "coming and going", is analyzed considering linear air resistance force. By performing both approximate and numerical analysis, it is showed how a determined critical angle and…

We modify the standard model of price competition with horizontally differentiated products, imperfect information, and search frictions by allowing consumers to flexibly acquire information about a product's match value during their…

We consider the problem of indirect comparison, where a treatment arm of interest is absent by design in one randomized controlled trial but available in the other. The former is the target trial, and the latter is the source trial. The…

Any collection can be ranked. Sports and games are common examples of ranked systems: players and teams are constantly ranked using different methods. The statistical properties of rankings have been studied for almost a century in a…

In this chapter we review some recent results on the dynamics of price formation in financial markets and its relations with the efficient market hypothesis. Specifically, we present the limit order book mechanism for markets and we…

We apply the potential force estimation method to artificial time series of market price produced by a deterministic dealer model. We find that dealers' feedback of linear prediction of market price based on the latest mean price changes…

Accuracy of economic theories and efficiency of economic policy strictly depend on the choice of the economic variables and processes mostly liable for description of economic reality. That states the general problem of assessment of any…