相关论文: Microeconomic co-evolution model for financial tec…
We make an attempt to map a simple economically motivated model for the price evolution [J. Phys. A: Gen. Math 33, 3637 (2000)] to the phenomenological renormalization group scaling of stock markets. This mapping gives insight into the…
New fast estimation methods stemming from control theory lead to a fresh look at time series, which bears some resemblance to "technical analysis". The results are applied to a typical object of financial engineering, namely the forecast of…
This note focuses on the optimization of neural architectures for stock index movement forecasting following a major market disruption or crisis. Given that such crises may introduce a shift in market dynamics, this study aims to…
Much of modern practice in financial forecasting relies on technicals, an umbrella term for several heuristics applying visual pattern recognition to price charts. Despite its ubiquity in financial media, the reliability of its signals…
We study here the Bak and Sneppen model, a prototype model for the study of Self-Organized Criticality. In this model several species interact and undergo extinction with a power law distribution of activity bursts. Species are defined…
Macro-economic models describe the dynamics of economic quantities. The estimations and forecasts produced by such models play a substantial role for financial and political decisions. In this contribution we describe an approach based on…
The consistent and computationally efficient stochastic statistical approach (SSA) is suggested to study kinetics of nucleation and evolution of nano-sized precipitates in alloys. An important parameter of the theory is the size of locally…
Firm financials are well established as return predictors, being the inspiration for a large set of anomalies in the asset pricing literature. Employing topological data analysis we revisit the question of association between seven of the…
Social, technological and economic time series are divided by events which are usually assumed to be random albeit with some hierarchical structure. It is well known that the interevent statistics observed in these contexts differs from the…
We study the Bak-Sneppen model in the probabilistic framework of the Run Time Statistics (RTS). This model has attracted a large interest for its simplicity being a prototype for the whole class of models showing Self-Organized Criticality.…
Modern evolvements of the technologies have been leading to a profound influence on the financial market. The introduction of constituents like Exchange-Traded Funds, and the wide-use of advanced technologies such as algorithmic trading,…
Topological data analysis (TDA) is a tool from data science and mathematics that is beginning to make waves in environmental science. In this work, we seek to provide an intuitive and understandable introduction to a tool from TDA that is…
Using the framework of factor models, we establish the general expression of the coefficient of tail dependence between the market and a stock (i.e., the probability that the stock incurs a large loss, assuming that the market has also…
We introduce a new quantity, average fitness, into the Bak-Sneppen evolution model. Through the new quantity, a different hierarchy of avalanches is observed. The gap equation, in terms of the average fitness, is presented to describe the…
This article gives a brief introduction to the mathematical modeling of large-scale biological evolution and extinction. We give three examples of simple models in this field: the coevolutionary avalanche model of Bak and Sneppen, the…
The optimal (`equilibrium') macroscopic properties of an economy with $N$ industries endowed with different technologies, $P$ commodities and one consumer are derived in the limit $N\to\infty$ with $n=N/P$ fixed using the replica method.…
Stochastic modelling provides an indispensable tool for understanding how random events at the molecular level influence cellular functions. In practice, the common challenge is to calibrate a large number of model parameters against the…
There are inefficiencies in financial markets, with unexploited patterns in price, volume, and cross-sectional relationships. While many approaches use large-scale transformers, we take a domain-focused path: feed-forward and recurrent…
Under the banner of `Big Data', the detection and classification of structure in extremely large, high dimensional, data sets, is, one of the central statistical challenges of our times. Among the most intriguing approaches to this…
We study the collective behavior of interacting agents in a simple model of market economics originally introduced by N{\o}rrelykke and Bak. A general theoretical framework for interacting traders on an arbitrary network is presented, with…