arXiv research

Optimizes train schedules and maintenance using CP and QA.

Optimally estimates stability in Lorentzian isoperimetric inequalities.

We apply the formalism of the continuous time random walk to the study of financial data. The entire distribution of prices can be obtained once two auxiliary densities are known. These are the probability densities for the pausing time between successive jumps and the corresponding probability density for the magnitud…

Detailed study of multifractal characteristics of the financial time series of asset values and of its returns is performed using a collection of the high frequency Deutsche Aktienindex data. The tail index ($α$), the Renyi exponents based on the box counting algorithm for the graph ($d_q$) and the generalized Hurst ex…

Quantum oracles help identify counterfactuals better than classical ones.

This paper empirically analyses risk in the Euro relative to other currencies. Comparisons are made between a sub period encompassing the final transitional stage to full monetary union with a sub period prior to this. Stability in the face of speculative attack is examined using Extreme Value Theory to obtain estimate…

Effects connected with the world globalization affect also the financial markets. On a way towards quantifying the related characteristics we study the financial empirical correlation matrix of the 60 companies which both the Deutsche Aktienindex (DAX) and the Dow Jones (DJ) industrial average comprised during the year…

Using a relationship between the moments of the probability distribution of times between the two consecutive trades (intertrade time distribution) and the moments of the distribution of a daily number of trades we show, that the underlying point process generating times of the trades is an essentially non-markovian lo…

Using a relationship between the moments of the probability distribution of times between the two consecutive trades (intertrade time distribution) and the moments of the distribution of a daily number of trades we show, that the underlying point process is essentially non-markovian. A detailed analysis of all trades i…

The correlation matrix formalism is used to study temporal aspects of the stock market evolution. This formalism allows to decompose the financial dynamics into noise as well as into some coherent repeatable intraday structures. The present study is based on the high-frequency Deutsche Aktienindex (DAX) data over the t…

Financial empirical correlation matrices of all the companies which both, the Deutsche Aktienindex (DAX) and the Dow Jones comprised during the time period 1990-1999 are studied using a time window of a limited, either 30 or 60, number of trading days. This allows a clear identification of the resulting correlations. O…

We investigate intra-day foreign exchange (FX) time series using the inverse statistic analysis developed in [1,2]. Specifically, we study the time-averaged distributions of waiting times needed to obtain a certain increase (decrease) $ρ$ in the price of an investment. The analysis is performed for the Deutsch mark (DM…

By applying the multifractal detrended fluctuation analysis to the high-frequency tick-by-tick data from Deutsche Börse both in the price and in the time domains, we investigate multifractal properties of the time series of logarithmic price increments and inter-trade intervals of time. We show that both quantities rev…

A novel application of the correlation matrix formalism to study dynamics of the financial evolution is presented. This formalism allows to quantify the memory effects as well as some potential repeatable intradaily structures in the financial time-series. The present study is based on the high-frequency Deutsche Aktie…

The dynamics of prices in financial markets has been studied intensively both experimentally (data analysis) and theoretically (models). Nevertheless, a complete stochastic characterization of volatility is still lacking. What it is well known is that absolute returns have memory on a long time range, this phenomenon i…

Contingent Convertible bonds (CoCos) are debt instruments that convert into equity or are written down in times of distress. Existing pricing models assume conversion triggers based on market prices and on the assumption that markets can always observe all relevant firm information. But all Cocos issued so far have tri…

Quantum Fourier Transform aids machine learning inference.

In this work we investigate tick-by-tick data provided by the TRTH database for several stocks on three different exchanges (Paris - Euronext, London and Frankfurt - Deutsche Börse) and on a 5-year span. We use a simple algorithm that helps the synchronization of the trades and quotes data sources, providing enhancemen…

FinBloom enhances LLMs for real-time financial queries.

<ENGLISH> Consider a closed, smooth manifold M of nonpositive sectional curvature. Write p:UM-> M for the unit tangent bundle over M and let R_> denote the subset consisting of all vectors of higher rank. This subset is closed and invariant under the geodesic flow on UM. We will define the structured dimension sdim(R_>…