相关论文: The matrix rate of return

In their activity, the traders approximate the rate of return by integer multiples of a minimal one. Therefore, it can be regarded as a quantized variable. On the other hand, there is the impossibility of observing the rate of return and…

We define recurrence matrices and study a few properties (links with automatic sequences, branch groups etc.) of them.

In this paper we describe market in projective geometry language and give definition of a matrix of market rate, which is related to the matrix rate of return and the matrix of judgements in the Analytic Hierarchy Process (AHP). We use…

In a discrete time stochastic model of a pension investment funds market Gajek and Kaluszka(2000a) have provided a definition of the average rate of return which satisfies a set of economic correctnes postulates. In this paper the average…

Modern technology often generates data with complex structures in which both response and explanatory variables are matrix-valued. Existing methods in the literature are able to tackle matrix-valued predictors but are rather limited for…

In this paper, a time series model with coefficients that take values from random matrix ensembles is proposed. Formal definitions, theoretical solutions, and statistical properties are derived. Estimation and forecast methodologies for…

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…

Inspired from modern out-of-equilibrium statistical physics models, a matrix product based framework permits the formal definition of random vectors (and random time series) whose desired joint distributions are a priori prescribed. Its key…

Motivated by recent progresses in nonequilibrium Fluctuation Relations, we present a generalized time reversal for stochastic master equation systems with discrete states that is defined as a splitting of the rate matrix into irreversible…

A parameterization that is a modified version of a previous work is proposed for the returns and correlation matrix of financial time series and its properties are studied. This parameterization allows easy introduction of non-stationarity…

Factor models have become a common and valued tool for understanding the risks associated with an investing strategy. In this report we describe Exabel's factor model, we quantify the fraction of the variability of the returns explained by…

This paper investigates the financial economics of simple periodic systems. Well-established financial procedures appear to be complicated, and lead to partially biased results. Probability theory is applied, and the focus is on the…

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…

Pricing of high-dimensional options is a deep problem of the Theoretical Financial Mathematics. In this article we present a new class of L\'{e}vy driven models of stock markets. In our opinion, any market model should be based on a…

Random matrices are used in fields as different as the study of multi-orthogonal polynomials or the enumeration of discrete surfaces. Both of them are based on the study of a matrix integral. However, this term can be confusing since the…

We investigate the phenomenon of non-recursive trade-offs between descriptional systems in an abstract fashion. We aim at categorizing non-recursive trade-offs by bounds on their growth rate, and show how to deduce such bounds in general.…

The distribution of price returns for a class of uncorrelated diffusive dynamics is considered. The basic assumptions are (1) that there is a "consensus" value associated with a stock, and (2) that the rate of diffusion depends on the…

An investment portfolio consists of $n$ algorithmic trading strategies, which generate vectors of positions in trading assets. Sign opposite trades (buy/sell) cross each other as strategies are combined in a portfolio. Then portfolio…

The future value of a security is described as a random variable. Distribution of this random variable is the formal image of risk uncertainty. On the other side, any present value is defined as a value equivalent to the given future value.…

Cyclic monotone independence is an algebraic notion of noncommutative independence, introduced in the study of multi-matrix random matrix models with small rank. Its algebraic form turns out to be surprisingly close to monotone…