arXiv research

Trained MLPs' weights are exchangeable, leading to stable kernel behavior.

In this paper we attempt to introduce an econophysics approach to evaluate some aspects of the risks in financial markets. For this purpose, the thermodynamical methods and statistical physics results about entropy and equilibrium states in the physical systems are used. Some considerations on economic value and financ…

An expanding literature articulates the view that Taylor rules are helpful in predicting exchange rates. In a changing world however, Taylor rule parameters may be subject to structural instabilities, for example during the Global Financial Crisis. This paper forecasts exchange rates using such Taylor rules with Time V…

Bayesian classifiers converge under certain exchangeability conditions with more 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…

Numerical method for pricing exchange options with stochastic volatility and jumps.

New model generates clusters with sublinear growth, useful for sparse multigraphs.

It is known since 40 years old paper by M. Keane that minimality is a generic (i.e. holding with probability one) property of an irreducible interval exchange transformation. If one puts some integral linear restrictions on the parameters of the interval exchange transformation, then minimality may become an "exotic" p…

New wealth distribution model based on $κ$-deformation of Gamma distribution.

The paper shows exchanging estimates over networks is effective for learning sparse signals.

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…

The geometric Lévy model (GLM) is a natural generalisation of the geometric Brownian motion model (GBM) used in the derivation of the Black-Scholes formula. The theory of such models simplifies considerably if one takes a pricing kernel approach. In one dimension, once the underlying Lévy process has been specified, th…

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…

Replica exchange Langevin diffusion accelerates nonconvex optimization.

We characterize the class of exchangeable feature allocations assigning probability $V_{n,k}\prod_{l=1}^{k}W_{m_{l}}U_{n-m_{l}}$ to a feature allocation of $n$ individuals, displaying $k$ features with counts $(m_{1},\ldots,m_{k})$ for these features. Each element of this class is parametrized by a countable matrix $V$…

Asynchronous framework improves distributed learning performance.

Sequence models quantify uncertainty over latent concepts.

Exchange improves liquidity by using different bid and ask tick sizes.

New model allocates features sublinearly, improving model fit and performance.

The article prices exchange options using variance gamma-like models.

The paper explains practical insights for sparse network modeling.

Study finds GBM model accurately predicts stock prices on Ghana Stock Exchange.

Two methods are proposed to filter correlations in DCC-GARCH residuals for foreign exchange rates.

Study reveals lead-lag patterns between onshore and offshore RMB exchange rates.

Based on the stochastic model proposed by Patriarca-Kaski-Chakraborti that describes the exchange of wealth between $n$ economic agents, we analyze the evolution of the corresponding economies under the assumption of a Gaussian background, modeling the exchange parameter $ε$. We demonstrate, that within Gaussian noise,…

Model shows incentives in shared order book can lead to free-rider problem.

Develops a new model for cross-currency derivatives pricing.

Bayesian nonparametric approach for clustering non-exchangeable groups.

This study finds similarities between currency exchange dynamics and supercooled systems.

We study the Immediate Exchange model, recently introduced by Heinsalu and Patriarca [Eur. Phys. J. B 87: 170 (2014)], who showed by simulations that the wealth distribution in this model converges to a Gamma distribution with shape parameter $2$. Here we justify this conclusion analytically, in the infinite-population…

Study proposes a method to construct copulas using corrected Hermite polynomial expansion for estimating foreign exchange volatility.

Central bank optimizes exchange rate interventions to minimize costs.

Capital distribution curve is defined as log-log plot of normalized stock capitalizations ranked in descending order. The curve displays remarkable stability over periods of time. Theory of exchangeable distributions on set partitions, developed for purposes of mathematical genetics and recently applied in non-parametr…

The herd behavior of returns is investigated in Korean futures exchange market. It is obtained that the probability distribution of returns for three types of herding parameter scales as a power law $R^{-β}$ with the exponents $β=3.6$(KTB203) and 2.9(KTB209) in two kinds of Korean treasury bond. For our case since the…

The herd behaviors of returns for the won-dollar exchange rate and the KOSPI are analyzed in Korean financial markets. It is shown that the probability distribution $P(R)$ of price returns $R$ for three values of the herding parameter tends to a power-law behavior $P(R) \simeq R^{-β}$ with the exponents $β=2.2$(the wo…

To execute a trade, participants in electronic equity markets may choose to submit limit orders or market orders across various exchanges where a stock is traded. This decision is influenced by the characteristics of the order flow and queue sizes in each limit order book, as well as the structure of transaction fees a…

New framework models non-exchangeable networks with latent orders and graphons.

Proposes new Monte Carlo methods for calibrating local volatility models with stochastic components.

Adaptive conformal inference without data exchangeability assumptions.

The QLBS model is enhanced with a large trader's impact, leading to optimal hedging strategies.

Privacy-preserving crypto exchanges adjust prices based on Gaussian noise.

This paper compares traditional econometric and contemporary machine/deep learning techniques for forecasting foreign exchange rates.

We investigate the relation between economic growth and equality in a modified version of the agent-based asset exchange model (AEM). The modified model is a driven system that for a range of parameter space is effectively ergodic in the limit of an infinite system. We find that the belief that "a rising tide lifts all…

We propose a novel kinetic exchange model differing from previous ones in two main aspects. First, the basic dynamics is modified in order to represent economies where immediate wealth exchanges are carried out, instead of reshufflings or uni-directional movements of wealth. Such dynamics produces wealth distributions …

New algorithm detects block-exchangeable structure in large correlation matrices.

The article presents calculations that prove practical importance of the earlier derived theoretical relationship between the interest rate on the interbank credit market, volume of investment and the quantity of securities tradable on the stock exchange.

Exchange uses incentives to optimize limit order book dynamics.

The gauge theory of arbitrage was introduced by Ilinski in [arXiv:hep-th/9710148] and applied to fast money flows in [arXiv:cond-mat/9902044]. The theory of fast money flow dynamics attempts to model the evolution of currency exchange rates and stock prices on short, e.g.\ intra-day, time scales. It has been used to ex…