相关论文: A Probability Density Function for Google's stocks

We obtain Calder{\'o}n-Zygmund estimates for some degenerate equations of Kolmogorov type with inhomogeneous coefficients. We then derive the well-posedness of the martingale problem associated to related degenerate operators, and therefore…

In this note, we consider general growth-fragmentation equations from a probabilistic point of view. Using Foster-Lyapunov techniques, we study the recurrence of the associated Markov process depending on the growth and fragmentation rates.…

A computational technique borrowed from the physical sciences is introduced to obtain accurate closed-form approximations for the transition probability of arbitrary diffusion processes. Within the path integral framework the same technique…

The stock market is a crucial component of the financial system, but predicting the movement of stock prices is challenging due to the dynamic and intricate relations arising from various aspects such as economic indicators, financial…

We introduce a model for the short-term dynamics of financial assets based on an application to finance of quantum gauge theory, developing ideas of Ilinski. We present a numerical algorithm for the computation of the probability…

A new model for stock price fluctuations is proposed, based upon an analogy with the motion of tracers in Gaussian random fields, as used in turbulent dispersion models and in studies of transport in dynamically disordered media. Analytical…

A parametric method similar to autoregressive spectral estimators is proposed to determine the probability density function (pdf) of a random set. The method proceeds by maximizing the likelihood of the pdf, yielding estimates that perform…

We develop a general framework for applying the Kelly criterion to stock markets. By supplying an arbitrary probability distribution modeling the future price movement of a set of stocks, the Kelly fraction for investing each stock can be…

In this work, we consider the discretization of some nonlinear Fokker-Planck-Kolmogorov equations. The scheme we propose preserves the non-negativity of the solution, conserves the mass and, as the discretization parameters tend to zero,…

We present a new calculation for the evolution of the 1-point Probability Distribution Function (PDF) of the cosmological density field based on an exact statistical treatment. Using the Chapman-Kolmogorov equation and second-order Eulerian…

AI stocks trade at extraordinary valuations. We develop an asset pricing model in which investors use AI stocks to hedge against an AI singularity that displaces their consumption. Because markets are incomplete -- investors cannot trade…

We check the claims that data from Google Trends contain enough data to predict future financial index returns. We first discuss the many subtle (and less subtle) biases that may affect the backtest of a trading strategy, particularly when…

Prediction of future movement of stock prices has always been a challenging task for the researchers. While the advocates of the efficient market hypothesis (EMH) believe that it is impossible to design any predictive framework that can…

The article is devoted to the estimation of the rate of convergence of integral functionals of a Markov process. Under the assumption that the given Markov process admits a transition probability density which is differentiable in $t$ and…

Widely used closed product-form networks have emerged recently as a primary model of stochastic growth of sub-cellular structures, e.g., cellular filaments. In the baseline model, homogeneous monomers attach and detach stochastically to…

While market is a social field where information flows over the interacting agents, there have been not so many methods to observe the spreading information in the prices comprising the market. By incorporating the entropy transfer in…

We model the dynamics of asset prices and associated derivatives by consideration of the dynamics of the conditional probability density process for the value of an asset at some specified time in the future. In the case where the price…

It is known that the probability is not a conserved quantity in the stock market, given the fact that it corresponds to an open system. In this paper we analyze the flow of probability in this system by expressing the ideal Black-Scholes…

We present a finite-dimensional version of the quantum model for the stock market proposed in [C. Zhang and L. Huang, A quantum model for the stock market, Physica A 389(2010) 5769]. Our approach is an attempt to make this model consistent…

Computational aspects of the optimal consumption and investment with the partially observed stochastic volatility of the asset prices are considered. The new quantization approach to filtering - density quantization - is introduced which…