The article provides representations of exchange option prices under SVJD dynamics.
problem Modeling and pricing exchange options under stochastic volatility and jumps.
method Develops representations for European and American exchange options using SVJD dynamics and equivalent martingale measures.
result Derives integro-partial differential equations and representations for exchange option prices.
New measures capture tail dependence and non-exchangeability in financial data.
problem Underestimation of tail dependence and inability to capture non-exchangeable tail dependence.
method Tail copulas and novel tail dependence measures (MTCM, ATCM) are proposed.
result Captures non-exchangeable tail dependence and provides analytical forms for various copulas.
Investigates relationships between concordance measures and non-exchangeability in copulas.
problem Understanding the relationship between concordance measures and non-exchangeability in copulas.
method Examines five concordance measures (Spearman's rho, Kendall's tau, Gini's gamma, Blomqvist's beta, and footrule) and their connection to non-exchangeability in copulas.
result New method proposed for exploring the relationship between copula properties and measures of dependence.
Develops methods to construct exchangeable sequences of random multisets.
problem Creating models for random multisets with unknown base measures.
method Uses exchangeable sequences of point processes and conditional-i.i.d. negative binomial processes.
result Provides constructions for negative binomial processes with random base measures.
New models reduce regional inequality by adjusting exchange range and asset distribution bias.
problem Reduction of regional inequality in economic systems.
method Proposed new asset exchange models with spatial exchange range and local support bias to adjust asset distribution and circulation rates.
result Achieved asset distribution from over-concentration to exponential and eventually normal, reducing Gini coefficient.
New edge-exchangeable model allows sparse graphs.
problem Sparse graphs in real-world networks.
method Introduced edge-exchangeable graphs, a new model for sparse graphs.
result Edge-exchangeable models can exhibit sparsity.
Study inequality measures in wealth exchange models and compare with empirical data.
problem Analyzing inequality in wealth distribution models.
method Calculated Gini index and k-index, found bounds, and computed exact quantities for specific distributions.
result Found lower and upper bounds for inequality indices and discussed model efficiencies.
We show that there exists an interval exchange and a point so that the orbit of the point equidistributes for a measure that is not ergodic.
A natural generalization of interval exchange maps are linear involutions, first introduced by Danthony and Nogueira. Recurrent train tracks with a single switch which we call non-classical interval exchanges, form a subclass of linear involutions without flips. They are analogs of classical interval exchanges, and are…
Bayesian nonparametric approach for clustering non-exchangeable groups.
problem Clustering grouped data with dependencies among groups.
method Graphical Dirichlet process modeling with Markov property.
result Efficient posterior inference algorithm developed.
Study approximates operators on labelled conditional distributions for non-exchangeable systems.
problem Approximating operators on constrained probability measures for non-exchangeable systems.
method Combines cylindrical approximations and DeepONet-type neural architecture for finite-dimensional representations.
result Establishes a universal approximation theorem for continuous operators on Mλ. Since risky positions in multivariate portfolios can be offset by various choices of capital requirements that depend on the exchange rules and related transaction costs, it is natural to assume that the risk measures of random vectors are set-valued. Furthermore, it is reasonable to include the exchange rules in the a…
New model measures changing strength of currency relationships over time.
problem Understanding how currency markets have become more or less synchronized over time.
method Presented a time-varying cointegration model for foreign exchange rates, allowing the loading matrix to change over time.
result Market comovement has strengthened over the past quarter century, but the rate of strengthening has slowed.
We study the ergodic properties of compositions of interval exchange transformations and rotations. We show that for any interval exchange transformation T, there is a full measure set of αin [0, 1) so that T composed with R_α is uniquely ergodic, where R_α is rotation by α.
The paper analyzes algorithmic trading in cryptocurrency exchanges, finding a profitable strategy involving indirect conversions.
problem Lack of empirical analysis of algorithmic trading in cryptocurrency exchanges.
method Empirical analysis using historical trades data from Binance.
result A triangular arbitrage strategy yields a 14.4 basis point advantage over direct exchanges.
We construct an infinitely exchangeable process on the set $\cate$ of subsets of the power set of the natural numbers N via a Poisson point process with mean measure Λ on the power set of N. Each $E\in\cate$ has a least monotone cover in $\catf$, the collection of monotone subsets of $\cate$, an…
We study the tick dynamical behavior of the yen-dollar exchange rate using the rescaled range analysis in financial market. It is found that the multifractal Hurst exponents with the short and long-run memory effects can be obtained from the yen-dollar exchange rate. This exists one crossover for the Hurst exponents at…
Model for sparse networks with overlapping communities.
problem Sparse and modular graph structures with overlapping communities.
method Exchangeable point process and completely random measures.
result Can recover interpretable structure from real-world networks.
Bayesian nonparametric model for priors on directed graphs.
problem Constructing priors for exchangeable directed graphs.
method Infinite relational digraphon model (di-IRM) for constructing priors.
result Demonstrated inference on synthetic data.
Using a Levy process we generalize formulas in Bo et al.(2010) for the Esscher transform parameters for the log-normal distribution which ensure the martingale condition holds for the discounted foreign exchange rate. Using these values of the parameters we find a risk-neural measure and provide new formulas for the di…
Machine learning and deep learning infer surface/groundwater exchange from temperature data.
problem Inferring surface/groundwater exchange from temperature data with high temporal resolution.
method Application of machine learning and deep learning algorithms to infer surface/groundwater exchange flux from subsurface temperature observations.
result DL methods outperform ML methods in interpreting noisy temperature data, especially with a smoothing filter.
This paper compares AMMs and LOBs in exchange mechanisms, formalizing complexity vs. expressiveness trade-offs.
problem Designing efficient exchange mechanisms between assets.
method Formalizes a complexity-approximation trade-off for CFMMs and LOBs, introducing an exchange complexity measure.
result Optimally expressive mechanisms can be designed with minimal complexity, allowing for arbitrary demand curves.
Study detects unusual trading patterns on crypto exchanges using complexity measures.
problem Detecting artificial trading activity on cryptocurrency exchanges.
method Complexity and statistical-structure measures derived from high-frequency trade-level data.
result Unusual trading patterns detected on Bitget for BTC and ETH after mid-May 2025.
A quantitative check of weak efficiency in US dollar/German mark exchange rates is developed using high frequency data. We show the existence of long term return anomalies. We introduce a technique to measure the available information and show it can be profitable following a particular trading rule.
This paper uses bivariate time series to analyze currency similarity in the foreign exchange market.
problem Analyzing similarity among currencies in the foreign exchange market.
method Applies Escoufier's RV coefficient to measure similarity between bivariate time series of currency exchange rates.
result Demonstrates the advantages of using RV coefficient for analyzing currency topological structure.
Quantum computers can optimize foreign exchange reserves management.
problem Optimizing foreign exchange reserves management using quantum computing.
method Demonstrated through quantum Monte Carlo risk measurement and quantum algorithms for portfolio optimization.
result Quantum computers can theoretically optimize FX reserves management in the future.
New algorithm learns nonlinear phenomena from noisy local measurements without data exchange.
problem Learning nonlinear phenomena from noisy local measurements in a decentralized network.
method Non-parametric learning algorithm that spreads information only between neighboring nodes.
result Non-asymptotic estimation error bounds for the proposed method.
The study examines relationships between assets in foreign exchange markets using new measures.
problem Quantifying relationships between assets in non-stationary markets.
method Developed transformation equations for means and covariances under changing numeraire.
result Partial correlations between assets remain invariant under numeraire change.
Statistical network modeling has focused on representing the graph as a discrete structure, namely the adjacency matrix, and considering the exchangeability of this array. In such cases, the Aldous-Hoover representation theorem (Aldous, 1981;Hoover, 1979} applies and informs us that the graph is necessarily either dens…
Modeling exchange rates and options using entropic dynamics.
problem Modeling the dynamics of exchange rates and European options.
method Entropic Dynamics, entropic inference, scale invariance, logarithm of exchange rate.
result Derives the Geometric Brownian Motion and the Garman-Kohlhagen model for European options.
A natural generalization of interval exchange maps are linear involutions, first introduced by Danthony and Nogueira. Recurrent train tracks with a single switch provide a subclass of linear involutions. We call such linear involutions non-classical interval exchanges. They are related to measured foliations on orienta…
We prove a computable version of de Finetti's theorem on exchangeable sequences of real random variables. As a consequence, exchangeable stochastic processes expressed in probabilistic functional programming languages can be automatically rewritten as procedures that do not modify non-local state. Along the way, we pro…
Conformal Test Martingales can be 'blind' to significant changes in data distribution.
problem The converse of exchangeability does not hold, leading to potential blindness of CTMs.
method Explicit construction of A-cryptic change-point using bivariate Gaussian distributions. result CTMs can be perfectly cryptic to a significant change in marginal means.
A new method for pricing exchange options under stochastic volatility and jumps.
problem Pricing European and American exchange options with stochastic volatility and jumps.
method Equivalent martingale measure, numeraire choice, integral transforms, Kolmogorov backward equation, integral equations.
result Reduced exchange option pricing to a one-dimensional problem of a call option.
Study shows demonetization strengthened Indian currency and stock market.
problem Impact of demonetization on Indian stock market and foreign exchange rate.
method Daily rate of return analysis of foreign exchange rate and Nifty 50 index, use of dummy variable for demonetization period.
result Demonetization led to an upward trend in Indian stock market and strengthened the Indian currency (decreased foreign exchange rate).
New clustering algorithms for sensor networks reduce data exchange.
problem Minimize data exchange in decentralized sensor networks.
method Propose two clustering algorithms working on compressed data without prior cluster count.
result Reduce data exchange by at least 2x compared to K-means and DB-Scan.
This paper explores non-exchangeability in copulas from shock models and computes asymmetry bounds.
problem Understanding the non-exchangeability of copulas from shock models.
method Analyzes and computes asymmetry bounds for various copulas families.
result Sharp bounds for asymmetry measures of Marshall, maxmin, and RMM copulas.
New wealth distribution model based on κ-deformation of Gamma distribution.
problem Modeling wealth distribution in heterogeneous kinetic exchange models.
method Proposed a new four-parameter statistical distribution based on κ-deformation of the Generalized Gamma distribution. result The new distribution accurately represents wealth distribution in heterogeneous kinetic exchange models.
PRIME models cryptocurrency exchange market impact.
problem Understanding and predicting market impact in cryptocurrency exchanges.
method Developed a multi-agent simulation to model market impact.
result Allows better estimation of market slippage and knock-on consequences.
Study compares market microstructure between two South African exchanges.
problem Understanding price response dynamics and market microstructure differences between two South African exchanges.
method Comparative analysis of returns distributions, auto-correlations, price impact, and trading costs on different time scales.
result Similar stylized facts emerge as measurement time scale increases, but price responses vary significantly.
We derived similar to Bo et al. (2010) results but in the case when the dynamics of the FX rate is driven by a general Merton jump-diffusion process. The main results of our paper are as follows: 1) formulas for the Esscher transform parameters which ensure that the martingale condition for the discounted foreign excha…
BLADE uses Bayesian methods to discover complex systems from scarce data.
problem Efficiently discovering governing equations of complex dynamical systems from limited data.
method Combines replica-exchange stochastic gradient Langevin Monte Carlo with active learning.
result Reduces measurement requirements by 60% for Lotka-Volterra and 40% for Burgers' equation.
Dependent nonparametric processes extend distributions over measures, such as the Dirichlet process and the beta process, to give distributions over collections of measures, typically indexed by values in some covariate space. Such models are appropriate priors when exchangeability assumptions do not hold, and instead …
Study shows diversification potential in Australian stock market declined before and during financial crises.
problem Assessing diversification potential in a single market.
method Four methods, including PCA, applied to Australian stock exchange data.
result Diversification potential declined before and during financial crises.
Proposes copulas for heteroskedastic time series with improved volatility measures.
problem Capturing serial dependence in stationary time series with varying volatility.
method Developed parametric copulas for Markov and multivariate series, derived volatility proxy copulas, and proposed new volatility dependence measures.
result Proposed copulas outperform GARCH models in capturing volatility and producing accurate risk forecasts.
Study shows long-term debt impacts financial growth of non-financial firms listed at Nairobi Securities Exchange.
problem Declining financial performance and reluctance to lend to non-financial firms listed at Nairobi Securities Exchange.
method Descriptive and panel data analysis of 45 non-financial firms over 10 years.
result Long-term debt positively and significantly influences financial growth measured by earnings per share and market capitalization.
Study complexity in financial market using Shannon entropy.
problem Measuring complexity in financial market information traffic.
method Reconstructing financial dynamics from share prices, calculating Shannon entropy.
result Shannon entropy quantifies complexity in financial market information.
Study reveals multifractal nature in Chinese stock markets and predicts future returns.
problem Predicting future stock market returns using multifractal characteristics.
method Multifractal detrended fluctuation analysis (MF-DFA) on high-frequency stock data.
result Spectral width Δα is a significant predictor of future stock returns.