The financial rogue waves are reported analytically in the nonlinear option pricing model due to Ivancevic, which is nonlinear wave alternative of the Black-Scholes model. These solutions may be used to describe the possible physical mechanisms for rogue wave phenomenon in financial markets and related fields.
The coupled nonlinear volatility and option pricing model presented recently by Ivancevic is investigated, which generates a leverage effect, i.e., stock volatility is (negatively) correlated to stock returns, and can be regarded as a coupled nonlinear wave alternative of the Black-Scholes option pricing model. In this…
Method identifies financial rogue waves close to their onset.
problem Identifying extreme financial events close to their onset.
method Analogy between rogue waves in optics and financial volatility, using Schrödinger equation with potential shaped by Kerr nonlinearity.
result Numerical gradient spikes at the onset of extreme financial events.
Recently, a novel adaptive wave model for financial option pricing has been proposed in the form of adaptive nonlinear Schrödinger (NLS) equation [Ivancevic a], as a high-complexity alternative to the linear Black-Scholes-Merton model [Black-Scholes-Merton]. Its quantum-mechanical basis has been elaborated in [Ivancevi…
In this paper, we propose Rogue-Gym, a simple and classic style roguelike game built for evaluating generalization in reinforcement learning (RL). Combined with the recent progress of deep neural networks, RL has successfully trained human-level agents without human knowledge in many games such as those for Atari 2600.…
Rogue is a famous dungeon-crawling video-game of the 80ies, the ancestor of its gender. Rogue-like games are known for the necessity to explore partially observable and always different randomly-generated labyrinths, preventing any form of level replay. As such, they serve as a very natural and challenging task for rei…
Survey and new results link hydrodynamics, molecular physics, and financial engineering.
problem Understanding financial engineering topics like Asian options and volatility swaps.
method Linking Kevin waves, Klein-Kramers, and Kolmogorov equations to financial models.
result Corrected the original solution of the Kolmogorov equation.
The study finds solutions to a financial equation related to volatility.
problem Finding solutions to a financial equation related to volatility.
method Using a zero-curvature condition and soliton theory, the study derives a variant of the Harry Dym equation and finds its travelling wave solutions.
result A family of travelling wave solutions to a variant of the Harry Dym equation is found.
Adaptive wave model for financial option pricing is proposed, as a high-complexity alternative to the standard Black--Scholes model. The new option-pricing model, representing a controlled Brownian motion, includes two wave-type approaches: nonlinear and quantum, both based on (adaptive form of) the Schrödinger equatio…
New algorithm balances personalization and statistical validity in MRTs.
problem Optimizing decisions in nonstationary settings with habituation and recovery.
method ROGUE-TS Thompson Sampling with probability clipping.
result Achieves lower regret and maintains high statistical power.
A nonlinear wave alternative for the standard Black-Scholes option-pricing model is presented. The adaptive-wave model, representing 'controlled Brownian behavior' of financial markets, is formally defined by adaptive nonlinear Schrödinger (NLS) equations, defining the option-pricing wave function in terms of the stock…
AI-assisted framework detects and predicts rare extreme events.
problem Detecting rare extreme events in complex systems.
method Combining BED with DNOs for active learning and forecasting.
result Framework outperforms GPs and uncovers extremes without initial data.
The abstract explores a new wave equation linking quantum mechanics and complex adaptive systems.
problem Understanding the underlying mechanism of distribution formation in complex quantum entanglement.
method Exploring the logical relationship between Schrödinger's wave equation and Shi's trading volume-price wave equation in finance.
result A non-localized wave equation in quantum mechanics reveals the invariance of interaction as a universal law.
Hydrodynamics principles applied to finance, solving complex market models.
problem Understanding financial market dynamics using physics principles.
method Unified mathematical framework using Kelvin waves to solve differential and pseudo-differential equations.
result Solved various financial models including volatility and variance swaps.
Framework detects and ranks suspicious market manipulation using temporal convolutions and expert assessment.
problem Detecting and deterring rogue agents in financial markets.
method Weakly supervised learning, expert assessment, similarity search.
result Promising preliminary results in detecting and ranking suspicious market manipulation.
The accurate characterization of the business cycles in the nonlinear dynamic financial and economic systems in the time of globalization represents a formidable research problem. The central banks and other financial institutions make their decisions on the minimum capital requirements, countercyclical capital buffer …
Study proves interaction of three impulsive gravitational waves, showing local solution and Lipschitz continuity.
problem Interaction of three impulsive gravitational waves in Einstein vacuum equations.
method Geometric estimates and wave estimates to prove local solution and continuity.
result Local solution to Einstein vacuum equations with three impulsive gravitational waves, Lipschitz continuity.
New Galilean spacetimes found as pp-wave reductions.
problem Understanding isotropic homogeneous Galilean spacetimes.
method Null reductions of pp-wave spacetimes.
result Found novel torsional Galilean spacetimes.
Analyzes Gerstner's trochoidal waves and their geometric properties.
problem Understanding the geometry and kinematics of trochoidal waves.
method Derives velocity and arc length conditions for cycloidal, curtate, and prolate trochoids using Galilean transformations.
result Conditions for arc lengths of prolate and curtate trochoids to coincide over a wave cycle.
Wave fronts on certain surfaces become dense.
problem Density of wave fronts on surfaces.
method Proof of density for specific surfaces.
result Wave fronts become dense on flat torus, square billiard, Klein bottle, and cube surface.
Quantum theory explains price dynamics in financial markets, capturing bid-ask spread and ergodicity.
problem Nature of price formation in financial markets and bid-ask spread dynamics.
method Developed a quantum coupled-wave theory using a 2x2 price operator with eigenvalues representing bid and ask prices.
result The theory adequately models bid-ask spread and directional price movement due to quantum-chaotic interaction.
Analyzes properties of stiffness tensors for elastic wave imaging.
problem Characterizing stiffness tensor fields for elastic wave imaging.
method Finsler-geometric methods applied to anisotropic stiffness tensor fields.
result Conditions for Finsler-geometric methods to be applicable.
Deep learning model predicts wind-wave relationship.
problem Characterize ocean wave climate for engineering applications.
method Two-stage deep learning model: CNN for spatial features, LSTM for temporal dependencies.
result Predicts spatio-temporal relationship between wind and significant wave height.
Impulsive waves contradict a 1962 conjecture about pp-waves.
problem The failure of the Ehlers--Kundt conjecture in the impulsive case.
method Summarized completeness results for impulsive wave spacetimes.
result Impulsive pp-waves are complete, contradicting the conjecture.
Extends Penrose limit to Finsler spacetimes.
problem Extending Penrose limit to Finsler spacetimes.
method Introducing lightlike coordinates and adapting Lorentzian pp-wave definition.
result New examples of Finsler pp-waves presented.
New findings on plane waves in 3D spacetimes, showing non-unimodular elliptic plane waves are unique.
problem Classifying Lorentz homogeneous spaces of dimension 3, focusing on plane waves.
method Revisiting and relaxing usual completeness assumptions, characterizing homogeneous plane waves.
result Non-unimodular elliptic plane waves are unique and non-extendable, geodesically complete only if symmetric.
Classifies solutions to vacuum weighted Einstein equations on pr-waves.
problem Classifying solutions to vacuum weighted Einstein field equations on pr-waves.
method Classifying solutions using smooth metric measure spacetimes of dimension 4.
result Provides examples of solutions with special geometric properties.
High frequency limit for most of wave phenomena is known as quasiclassical limit or ray optics limit. Propagation of waves in this limit is described in terms of wave fronts and rays. Wave front is a surface of constant phase whose points are moving along rays. As it appears, their motion can be described by Hamilton e…
Study compact plane waves, showing they are essentially standard.
problem Understanding the topology and dynamics of compact plane waves.
method Analyzing quotients of homogeneous plane waves by discrete subgroups.
result Compact quotients of homogeneous plane waves are essentially standard.
New method finds precise late-time behavior of wave equations.
problem Analyzing late-time behavior of wave equations with inverse-square potentials.
method Physical-space-based method for deriving late-time asymptotics.
result Sharp, uniform decay estimates in time for asymptotic late-time tails.
We characterize singularities of focal surfaces of wave fronts in terms of differential geometric properties of the initial wave fronts. Moreover, we study relationships between geometric properties of focal surfaces and geometric invariants of the initial wave fronts.
Paper explores non-uniqueness and uniqueness class for wave equations on graphs.
problem Non-uniqueness of solutions to wave equations on infinite graphs.
method Analyticity of solutions in the uniqueness class, extension to a wide class of linear evolution equations.
result Sharp uniqueness class for solutions of wave equations on graphs.
New metrics link Kähler and pp-wave spacetimes.
problem Connecting Kähler and pp-wave spacetimes.
method Constructing families of complete almost Kähler metrics by deforming pp-waves.
result Established a one-to-one correspondence between almost Kähler metrics and pp-wave spacetimes.
We show that every n-dimensional locally homogeneous pp-wave is a plane wave, provided it is indecomposable and its curvature operator, when acting on 2-forms, has rank greater than one. As a consequence we obtain that indecomposable, Ricci-flat locally homogeneous pp-waves are plane waves. This generalises a classic…
We educe a perspective on how best to regulate the bank of tomorrow in frames of debate launched by the International Centre for Financial Regulation and Financial Times. Our goal is to create a conceptual framework for policymakers and regulators to shape the international financial system in century of globalization …
The paper shows how null hypersurfaces behave in Lorentz-Minkowski space.
problem Understanding null hypersurfaces in Lorentz-Minkowski space.
method Analyzing L-complete null hypersurfaces as wave fronts in Euclidean space. result Most null wave fronts can be realized as restrictions of certain L-complete null wave fronts. Quantum optimization for portfolios with risk and diversification constraints.
problem Implementing complex constraints in portfolio optimization for financial applications.
method Transformed portfolio optimization into a quadratic binary optimization problem suitable for quantum annealers.
result Demonstrated practical implementation of daily constraints in real data using quantum processors.
New metrics constructed dual to specific wave-like geometries.
problem Constructing metrics dual to general plane-fronted wave Lorentzian metrics.
method Explains construction of extremal and non-Kähler almost-Kähler metrics.
result Constructs canonical almost-Kähler metrics dual to general plane-fronted wave Lorentzian metrics.
Study pp-waves with lightlike parallel spinors in vacuum spacetimes.
problem Characterize pp-waves with lightlike parallel spinors in vacuum spacetimes.
method Parametrize pp-wave spacetimes, show correspondence with Riemannian metrics, prove parallel spinor condition.
result A pp-wave spacetime with a lightlike parallel spinor corresponds to a Ricci-flat metric with a parallel spinor.
Develops methods to construct harmonic and wave maps into variable-curvature surfaces.
problem Limited explicit constructions for harmonic and wave maps in variable-curvature settings.
method Reduction framework for pseudo-Riemannian surfaces, geometric ansatz, first-order ODEs.
result Constructs explicit harmonic and wave maps into ellipsoids, hyperboloids, and Schwarzschild exterior.
End-to-end portfolio optimization using quantum annealing for financial decision problems.
problem Optimizing financial portfolios with quantum computing constraints.
method Hybrid pipeline combining quantum and classical optimization.
result Quantum-assisted portfolio optimization can achieve competitive returns.
Conventional economic analysis of stringent climate change mitigation policy generally concludes various levels of economic slowdown as a result of substantial spending on low carbon technology. Equilibrium economics however could not explain or predict the current economic crisis, which is of financial nature. Meanwhi…
Unique solutions found for wave-like decaying null infinity equations.
problem Wave-like decaying null infinity equations with spherically symmetric Einstein-scalar-field.
method Local and global unique solutions for small initial data.
result Sharp decaying condition for unique solutions.
The main objective of the present paper is to investigate the curvature properties of generalized pp-wave metric. It is shown that generalized pp-wave spacetime is Ricci generalized pseudosymmetric, 2-quasi-Einstein and generalized quasi-Einstein in the sense of Chaki. As a special case it is shown that pp-wave spaceti…
Measuring wave sources uniquely identifies manifold properties.
problem Determining Riemannian manifold structure from wave observations.
method Semilinear wave equation measurements at a single point.
result Topological, differential, and geometric structure can be inferred.
We explore the plane-wave limit of homogeneous spacetimes. For plane-wave limits along homogeneous geodesics the limit is known to be homogeneous and we exhibit the limiting metric in terms of Lie algebraic data. This simplifies many calculations and we illustrate this with several examples. We also investigate the beh…
Shorter proof for wave front length in Euclidean disk
problem Wave front length in Euclidean disk
method Shorter proof and computation of oscillating corrections
result Linear asymptotics of wave front length in large time
Study finds rigid submanifolds in spacelike waves under specific conditions.
problem Understanding rigidity of submanifolds in spacelike waves.
method Proves submanifolds are contained in characteristic lightlike hypersurfaces under certain conditions.
result Complete codimension two submanifolds are wavefronts under specific conditions.