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Academy of Mathematics and Systems Science, CAS Colloquia & Seminars：Dynamic Learning and Modelling of Nonlinear Spatio-Temporal Network Data: theory with an application to the EU energy markets
非线性 时空网络数据 动态学习 建模
2023/4/28
Nonlinear modelling of dynamic spatio-temporal network data is often a challenge with various issues, in particular due to irregularly observed locations and location-wide non-stationarity. In this pa...
Global Ocean Markets
Global Ocean Markets
2015/8/4
It is only in recent times that nations have begun to recognize the size, diversity and complexity of the ocean industries and their importance to all. To many people marine equals shipping, which is ...
Investment/consumption problem in illiquid markets with regimes switching
Optimal consumption liquidity effects regime-switching models viscosity solutions integro-differential system
2011/10/9
Abstract: We consider an illiquid financial market with different regimes modeled by a continuous-time finite-state Markov chain. The investor can trade a stock only at the discrete arrival times of a...
Scaling properties of first-passage time probabilities in financial markets
financial markets first-passage time probability Statistical Finance
2011/9/29
Abstract: Financial markets provide an ideal frame for the study of first-passage time events of non-Gaussian correlated dynamics mainly because large data sets are available. Tick-by-tick data of six...
The Fundamental Theorem of Asset Pricing, the Hedging Problem and Maximal Claims in Financial Markets with Short Sales Prohibitions
Fundamental Theorem of Asset Pricing Hedging Problem Maximal claims Supermartingale
2011/3/2
This paper consists of two parts. In the first part, by building on the work of Jouini
and Kallal in [26], Sch¨urger in [37], Frittelli in [15], Pham and Touzi in [34] and Napp in [33], we prove the ...
Kinetic models for socio-economic dynamics of speculative markets
kinetic models opinion formation stock market power laws behavioral finance
2010/12/16
In this paper we introduce a simple model for a financial market characterized by a sin-
gle stock or good and an interplay between two different traders populations, chartists and
fundamentalists, ...
We study how information perturbations can destabilize two-sided matching mar-kets. In our model, agents arrive on the market over two periods, while agents in the first period do not know the types o...
We derive a mesoscopic description of the behavior of a simple financial market where the agents can create their own portfolio between two investment alternatives: a stock and a bond. The model is de...
Large-volatility dynamics in financial markets
Large-volatility dynamics financial markets
2010/4/27
We investigate the large-volatility dynamics in financial markets, based on the minutely and daily data of the Chinese Indices and German DAX. The dynamic relaxation both before and after large volati...
I prove that if markets are weak-form efficient, meaning current prices fully reflect all information available in past prices, then P = NP, meaning every computational problem whose solution can be v...
Reverse Engineering Financial Markets with Majority and Minority Games using Genetic Algorithms
agent-based models Genetic Algorithms
2010/4/27
Using virtual stock markets with artificial interacting software investors, aka agent-based models (ABMs), we present a method to reverse engineer real-world financial time series. We model financial ...
Diagnosis and Prediction of Tipping Points in Financial Markets: Crashes and Rebounds
fnancial bubble crash negative bubble rebound prediction log-periodic power law positive feedback errordiagram
2010/4/27
By combining (i) the economic theory of rational expectation bubbles, (ii) behavioral finance on imitation and herding of investors and traders and (iii) the mathematical and statistical physics of ...
Statistical properties of agent-based models in markets with continuous double auction mechanism
Econophysics Financial stylized facts Agent-based simulation Complex networks Continuous double action
2010/4/27
Real world markets display power-law features in variables such as price fluctuations in stocks. To further understand market behavior, we have conducted a series of market experiments on our web-base...
Pricing options in illiquid markets: optimal systems, symmetry reductions and exact solutions
illiquid market nonlinearity explicit solutions Liegroup analysis
2010/4/27
We study a class of nonlinear pricing models which involves the feedback effect from the dynamic hedging strategies on the price of asset introduced by Sircar and Papanicolaou. We are first to study t...
Jump-diffusion modeling in emission markets
stochastic modeling for emission trading environmental finance risk-neutral pricing market equilibrium jump-diffusion models
2010/4/27
Mandatory emission trading schemes are being established around the world. Participants of such market schemes are always exposed to risks. This leads to the creation of an accompanying market for emi...