arXiv · arXiv q-fin · 2010
This communication is based on an original approach linking economical factors to technical and methodological ones. This work is applied to the decision process for mix production. This approach is relevant for costing driving systems. The main interesting point is that the quotation factors (linked to time indicators for each step of the industrial process) allow the complete evaluation and control of, on the one h…
Alain Bernard, Nicolas Perry, Jean-Charles Delplace, Serge Gabriel
arXiv · arXiv q-fin · 2023
In this paper, we present a novel trading strategy that integrates reinforcement learning methods with clustering techniques for portfolio management in multi-period trading. Specifically, we leverage the clustering method to categorize stocks into various clusters based on their financial indices. Subsequently, we utilize the algorithm Asynchronous Advantage Actor-Critic to determine the trading actions for stocks w…
Zhengyong Jiang, Jeyan Thiayagalingam, Jionglong Su, Jinjun Liang
arXiv · arXiv q-fin · 2007
In this manuscript we analyse the leading statistical properties of fluctuations of (log) 3-month US Treasury bill quotation in the secondary market, namely: probability density function, autocorrelation, absolute values autocorrelation, and absolute values persistency. We verify that this financial instrument, in spite of its high liquidity, shows very peculiar properties. Particularly, we verify that log-fluctuatio…
Silvio M. Duarte Queiros
arXiv · arXiv q-fin · 2025
The SABR model is a cornerstone of interest rate volatility modeling, but its practical application relies heavily on the analytical approximation by Hagan et al., whose accuracy deteriorates for high volatility, long maturities, and out-of-the-money options, admitting arbitrage. While machine learning approaches have been proposed to overcome these limitations, they have often been limited by simplified SABR dynamic…
Giorgia Rensi, Pietro Rossi, Marco Bianchetti
arXiv · arXiv q-fin · 2023
In this article we discuss the application of the Heath-Jarrow-Morton framework Heath et al. [26] to energy markets. The goal of the article is to give a detailed overview of the topic, focusing on practical aspects rather than on theory, which has been widely studied in literature. This work aims to be a guide for practitioners and for all those who deal with the practical issues of this approach to energy market. I…
Matteo Gardini, Edoardo Santilli
arXiv · arXiv q-fin · 2022
To take into account the temporal dimension of uncertainty in stock markets, this paper introduces a cross-sectional estimation of stock market volatility based on the intrinsic entropy model. The proposed cross-sectional intrinsic entropy (CSIE) is defined and computed as a daily volatility estimate for the entire market, grounded on the daily traded prices: open, high, low, and close prices (OHLC), along with the d…
Claudiu Vinte, Marcel Ausloos
arXiv · arXiv q-fin · 2017
We propose a novel approach that allows to calculate Hilbert transform based complex correlation for unevenly spaced data. This method is especially suitable for high frequency trading data, which are of a particular interest in finance. Its most important feature is the ability to take into account lead-lag relations on different scales, without knowing them in advance. We also present results obtained with this app…
Mateusz Wilinski, Yuichi Ikeda, Hideaki Aoyama
arXiv · arXiv q-fin · 2016
The author seeks to develop a model to alter the bid-offer spread, currently quoted by market makers, that varies with the market and trading conditions. The dynamic nature of financial markets and trading, as with the rest of social sciences, where changes can be observed and decisions can be made by participants to influence the system, means that this model has to be adaptive and include a feedback loop that alter…
Ravi Kashyap
arXiv · arXiv q-fin · 2014
A simple and elegant arrangement of stock components of a portfolio (market index-DJIA) in a recent paper [1], has led to the construction of crossing of stocks diagram. The crossing stocks method revealed hidden remarkable algebraic and geometrical aspects of stock market. The present paper continues to uncover new mathematical structures residing from crossings of stocks diagram by introducing topological propertie…
Ovidiu Racorean
arXiv · arXiv q-fin · 2014
It seems to be very unlikely that all relevant information in the stock market could be fully encoded in a geometrical shape. Still,the present paper will reveal the geometry behind the stock market transactions. The prices of market index (DJIA) stock components are arranged in ascending order from the smallest one in the left to the highest in the right. In such arrangement, as stock prices changes due to daily mar…
Ovidiu Racorean
arXiv · arXiv q-fin · 2012
We investigate quotation and transaction activities in the foreign exchange market for every week during the period of June 2007 to December 2010. A scaling relationship between the mean values of number of quotations (or number of transactions) for various currency pairs and the corresponding standard deviations holds for a majority of the weeks. However, the scaling breaks in some time intervals, which is related t…
Aki-Hiro Sato, Takaki Hayashi, Janusz A. Hołyst
arXiv · arXiv q-fin · 2012
A spin model relating physical to financial variables is presented. This work is the first to introduce the concept of negative absolute temperature into stock market dynamics by establishing a rigorous formal analogy between physical and financial variables. Based on this model, an algorithm evaluating negative temperatures was applied to an analysis of New York Stock Exchange quotations from November 2002 up to the…
J. L. Subias
arXiv · arXiv q-fin · 2007
Empirical analysis of the foreign exchange market is conducted based on methods to quantify similarities among multi-dimensional time series with spectral distances introduced in [A.-H. Sato, Physica A, 382 (2007) 258--270]. As a result it is found that the similarities among currency pairs fluctuate with the rotation of the earth, and that the similarities among best quotation rates are associated with those among q…
Aki-Hiro Sato
arXiv · arXiv · 2011
In the paper, we study numerically the projections of the real exchange rate dynamics onto the string-like topology. Our approach is inspired by the contemporary movements in the string theory. The string map of data is defined here by the boundary conditions, characteristic length, real valued and the method of redistribution of information. As a practical matter, this map represents the detrending and data standard…
D. Horvath, R. Pincak
arXiv · arXiv · 2016
Due to the lack of reliable market information, building financial term-structures may be associated with a significant degree of uncertainty. In this paper, we propose a new term-structure interpolation method that extends classical spline techniques by additionally allowing for quantification of uncertainty. The proposed method is based on a generalization of kriging models with linear equality constraints (market-…
Areski Cousin, Hassan Maatouk, Didier Rullière