The exchange algorithm is studied for its convergence and asymptotic variance.
problem Theoretical limitations of the exchange algorithm in sampling from doubly-intractable distributions.
method Theoretical analysis of the exchange algorithm's convergence speed and asymptotic variance.
result The exchange algorithm converges at a geometric rate and satisfies a Central Limit Theorem.
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.
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.
Nonparametric Bayesian models are often based on the assumption that the objects being modeled are exchangeable. While appropriate in some applications (e.g., bag-of-words models for documents), exchangeability is sometimes assumed simply for computational reasons; non-exchangeable models might be a better choice for a…
Framework for systemic risk modeling using jointly exchangeable arrays.
problem Systemic risk in insurance portfolios with interactions.
method Jointly exchangeable arrays, central limit theorems, simulation-based validation.
result Asymptotic approximations for total portfolio losses in large portfolios over long time horizons.
The team predicts foreign exchange rates using clustering and attention models.
problem Complexity and unexpected events in foreign exchange markets.
method Clustering and attention models applied to historical data.
result Improved event-driven price prediction for oversold scenarios.
How do individuals accumulate wealth as they interact economically? We outline the consequences of a simple microscopic model in which repeated pairwise exchanges of assets between individuals build the wealth distribution of a population. This distribution is determined for generic exchange rules --- transactions that…
IUS framework predicts EUR/USD exchange rate with improved accuracy.
problem Accurate forecasting of EUR/USD exchange rate.
method Combines large language models for sentiment analysis, deep learning for forecasting, and feature selection.
result Optuna-optimized Bi-LSTM model reduces MAE and RMSE by 10.69% and 9.56% respectively.
A known failing of many popular random graph models is that the Aldous-Hoover Theorem guarantees these graphs are dense with probability one; that is, the number of edges grows quadratically with the number of nodes. This behavior is considered unrealistic in observed graphs. We define a notion of edge exchangeability …
Directed graphs occur throughout statistical modeling of networks, and exchangeability is a natural assumption when the ordering of vertices does not matter. There is a deep structural theory for exchangeable undirected graphs, which extends to the directed case via measurable objects known as digraphons. Using digraph…
Model estimates foreign exchange reserve compositions of undisclosed central banks.
problem Limited information on central bank reserve compositions hinders analysis.
method Hidden Markov Model relating portfolio valuation to exchange rates.
result China's reserve composition likely matches global average, while Singapore holds fewer US dollars.
We introduce an autoregressive-type model with self-modulation effects for a foreign exchange rate by separating the foreign exchange rate into a moving average rate and an uncorrelated noise. From this model we indicate that traders are mainly using strategies with weighted feedbacks of the past rates in the exchange …
XSPNs combine SPNs and MEVMs for efficient inference in data with repeated parts.
problem Efficient inference in data with repeated interchangeable parts.
method Introducing Exchangeability-Aware Sum-Product Networks (XSPNs) that combine SPNs and MEVMs.
result XSPNs can be more accurate than conventional SPNs when data contains repeated parts.
We use insight from a model of earth tectonic plate movement to obtain a new understanding of the build up and release of stress in the price dynamics of the worlds stock exchanges. Nonlinearity enters the model due to a behavioral attribute of humans reacting disproportionately to big changes. This nonlinear response …
We first show that there are in fact triangular arbitrage opportunities in the spot foreign exchange markets, analyzing the time dependence of the yen-dollar rate, the dollar-euro rate and the yen-euro rate. Next, we propose a model of foreign exchange rates with an interaction. The model includes effects of triangular…
Paper compares MCMC-based copula methods for exchange option pricing.
problem Pricing exchange options using copulas and MCMC.
method Risk-neutral pricing, copulas, and MCMC algorithm.
result Different copula models provide similar option prices except Gumbel.
Many popular network models rely on the assumption of (vertex) exchangeability, in which the distribution of the graph is invariant to relabelings of the vertices. However, the Aldous-Hoover theorem guarantees that these graphs are dense or empty with probability one, whereas many real-world graphs are sparse. We prese…
Unbiased wealth exchanges always lead to inequality.
problem Understanding wealth distribution in unbiased binary exchange systems.
method Analytical demonstration of unbiased binary exchanges leading to perfect inequality.
result Any system driven by unbiased binary exchanges will reach perfect inequality and zero mobility.
A dynamical model of capital exchange is introduced in which a specified amount of capital is exchanged between two individuals when they meet. The resulting time dependent wealth distributions are determined for a variety of exchange rules. For ``greedy'' exchange, an interaction between a rich and a poor individual r…
The paper models exchange rate risk premium using mean-reverting dynamics.
problem Empirical failure of uncovered interest parity (UIP).
method Modeling risk premium using Ornstein-Uhlenbeck (OU) process embedded in stochastic differential equation for exchange rate.
result The model shows strong predictive performance at short and long horizons, but underperforms at intermediate horizons.
Model studies money exchange stability in social networks.
problem Stability and wealth equality in money exchange systems.
method Evolved Deffuant model to study money exchange.
result Asymptotic stability and wealth equality conditions identified.
Simple agent based exchange models are a commonplace in the study of wealth distribution of artificial societies. Generally, each agent is characterized by its wealth and by a risk-aversion factor, and random exchanges between agents allow for a redistribution of the wealth. However, the detailed influence of the amoun…
In this work, we develop a new approach to generative density estimation for exchangeable, non-i.i.d. data. The proposed framework, FlowScan, combines invertible flow transformations with a sorted scan to flexibly model the data while preserving exchangeability. Unlike most existing methods, FlowScan exploits the intra…
A variety of machine learning tasks---e.g., matrix factorization, topic modelling, and feature allocation---can be viewed as learning the parameters of a probability distribution over bipartite graphs. Recently, a new class of models for networks, the sparse exchangeable graphs, have been introduced to resolve some imp…
Study finds GBM model accurately predicts stock prices on Ghana Stock Exchange.
problem Investigating the suitability of GBM for modeling stock price dynamics.
method Geometric Brownian Motion model applied to weekly and monthly returns of equities listed on the Ghana Stock Exchange.
result GBM model accurately forecasts stock prices with minimal deviations, as evidenced by MSE evaluations.
Paper detects anomalous edges in social networks using edge exchangeability.
problem Detecting anomalous edges in directed social networks.
method Exploits edge exchangeability and uses conformal prediction theory.
result Proposed anomaly detector has a guaranteed upper bound for false positives.
This study examines how DEXs impact traders' behavior in perpetual futures contracts.
problem Understanding trader behavior in decentralized exchanges.
method Categorizing DEX models and analyzing their impact on trading patterns.
result DEXs, particularly those using VAMM, show differential effects on long and short positions.
EBPs model exchangeable data with flexible distributions.
problem Current energy-based models restrict set cardinality and limited distribution forms.
method Introduced Energy-Based Processes (EBPs) that extend energy models to exchangeable data with neural network parameterizations.
result EBPs can express more flexible distributions over sets without cardinality restrictions.
Model shows incentives in shared order book can lead to free-rider problem.
problem Incentives in shared order books can lead to free-rider problem.
method Developed a Principal-Agent model with CARA utility functions.
result Equilibrium analysis shows incentives can lead to reduced competition.
BBE simulates betting exchanges to generate synthetic data for AI research.
problem Lack of real data for AI/ML in betting exchanges.
method Agent-based simulation model of a sports-betting exchange.
result Generates large, high-resolution synthetic data for AI/ML.
Derives Black-Scholes model without stochastic calculus or PDEs.
problem Deriving the Black-Scholes model without advanced math.
method Continuum limit of Binomial tree approach.
result Derives Black-Scholes model and exchange-option generalization.
The article prices exchange options using variance gamma-like models.
problem Pricing exchange options under specific stochastic processes.
method Derives formulas for variance gamma and variance gamma++ processes, constructs multidimensional versions, calibrates parameters with real data.
result Closed formulas and numerical methods for evaluating exchange options.
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.
Neural ARFIMA model improves exchange rate forecasting for BRIC economies.
problem Forecasting exchange rates for emerging markets with long-term memory and nonlinear dynamics.
method Integrates ARFIMA for long-memory with neural networks for nonlinear approximation.
result NARFIMA model outperforms benchmarks in BRIC exchange rate forecasting.
Simple models outperformed sophisticated ones in forecasting Turkish lira exchange rates.
problem Forecasting Turkish lira exchange rates through univariate techniques.
method Used several models including simple exponential smoothing to predict daily exchange rates.
result Simple exponential smoothing model outperformed all other alternatives.
Study improves exchange rate forecasting using machine learning and interpretable methods.
problem Complexity and ambiguity in financial and economic systems make precise exchange rate predictions difficult.
method Developed a fundamental-based model using machine learning and interpretability methods.
result Crude oil is the leading factor determining exchange rate dynamics, with significant events affecting its contribution.
Study finds significant price declines and capital reallocation from centralized to decentralized exchanges after FTX collapse.
problem Quantifying trust dynamics and redistribution between centralized and decentralized exchanges.
method Interdisciplinary approach combining causal inference and computational text analysis.
result Significant price declines and capital reallocation from centralized to decentralized exchanges following the FTX collapse.
Study explores how wealth dynamics change with preferential interactions in kinetic exchange models.
problem Investigate how preferential interactions affect wealth dynamics and distributions in kinetic exchange models.
method Conducted Monte Carlo simulations to explore two types of preferential interactions: one with random selection and another with wealth difference constraint.
result Emergence of quasi-oligarchic societies and segregation into economic classes observed in preferential interactions.
In this paper an econophysics model for the currency exchange operations with commission is proposed. With this purpose some analogies and similarities of the processes that take place in the frame of the electrochemical system made from electrodes sunk into a solution of electrolytes and the process of the currency ex…
Numerical method for pricing exchange options with stochastic volatility and jumps.
problem Pricing exchange options under stochastic volatility and jump-diffusion dynamics.
method Method of lines (MOL) approach to simplify and solve the PDEs.
result Characterization of near-maturity American exchange option boundary and impact of model parameters.
It is known that asset exchange models with symmetric interaction between agents show either a Gibbs/log-normal distribution of assets among the agents or condensation of the entire wealth in the hands of a single agent, depending upon the rules of exchange. Here we explore the effects of introducing asymmetry in the i…
New framework models non-exchangeable networks with latent orders and graphons.
problem Modeling non-exchangeable network data with complex dependencies.
method Latent orders and graphon-based approach for adjacency matrix probabilities.
result Consistent estimation and clustering of latent network structure.
Model shows triangular arbitrage key to cross-currency correlations in forex markets.
problem Understanding cross-currency correlations in forex markets.
method Agent-based model of market interactions.
result Triangular arbitrage is primary driver of cross-currency correlations.
Study uses exchangeable GPs for staggered-adoption policy evaluation in panel data.
problem Evaluating the impact of staggered treatments in panel data settings.
method Exchangeable multi-task Gaussian processes (GPs) with flexible kernels.
result Flexible tool for policy evaluation in panel data settings.
In this paper, we introduce a matrix-valued time series model for foreign exchange market. We then formulate trading matrices, foreign exchange options and return options (matrices), as well as on-line portfolio strategies. Moreover, we attempt to predict returns of portfolios by developing a cross rate method. This le…
The paper identifies key macroeconomic events affecting exchange rate volatility.
problem Understanding which macroeconomic events impact exchange rate volatility.
method Data-driven approach to select relevant macroeconomic events using sparsity-based methods.
result The identified macroeconomic events significantly impact exchange rate volatility.
Study on pricing American Exchange options using Lévy processes.
problem Pricing American Exchange options driven by Lévy processes.
method Represented American Exchange options as European options plus early exercise premium; studied properties of free boundary and provided an approximative formula.
result Developed an approximative formula for American Exchange options.
Modeling DEX liquidity with heterogeneous LPs and MEV bots.
problem Understanding and predicting the dynamics of decentralized cryptocurrency exchanges.
method Mean-field game approach to model liquidity providers' optimal strategies and interactions.
result Calibrated model produces consistent pool exchange rate dynamics and liquidity evolution.