The complex, time-dependent statistical structures observed in the Dow Jones Industrial Average on a typical trading day are modeled with Lorentzian functions. The resonant-like structures are characterized by the values of the basic ratio: the average lifetime of the individual states...

In this note, we investigate possible relationships between the bivariate Hurst exponent $H_{xy}$ and an average of the separate Hurst exponents $\frac{1}{2}(H_x+H_y)$. We show that two cases are well theoretically founded. These are the cases when $H_{xy}=\frac{1}{2}(H_x+H_y)$ and $H_{xy}<\frac{1}{2}(H_x+H_y)$. However, we show that the case of...</\frac{1}{2}(h_x+h_y)$.>

We propose a bootstrap-based robust high-confidence level upper bound (Robust H-CLUB) for assessing the risks of large portfolios. The proposed approach exploits rank-based and quantile-based estimators, and can be viewed as a robust extension of the H-CLUB method (Fan et al., 2015). Such an...

Recent events such as the global financial crisis have renewed the interest in the topic of economic networks. One of the main channels of shock propagation among countries is the International Trade Network (ITN). Two important models for the ITN structure, the classical gravity model of trade...

We study the solution's existence for a generalized Dynkin game of switching type which is shown to be the natural representation for general defaultable OTC contract with contingent CSA. This is a theoretical counterparty risk mitigation mechanism that allows the counterparty of a general OTC...

In this paper we develop a new form of agent-based model for limit order books based on heterogeneous trading agents, whose motivations are liquidity driven. These agents are abstractions of real market participants, expressed in a stochastic model framework. We develop an efficient way to...

In this paper we introduce a new approach to model-free path-dependent option pricing. We first introduce a general duality result for linear optimisation problems over signed measures introduced in [3] and show how the the problem of model-free option pricing can be formulated in the new...

We consider an optimal execution problem over a finite period of time during which an investor has access to both a standard exchange and a dark pool. We take the exchange to be an order-driven market and propose a continuous-time setup for the best bid price and the market spread, both modelled...

A concept of martingale-fair index of return, consistent with Arbitrage Free Pricing Theory, is introduced. An explicit formula for the average rate of return of a group of investment/pension funds in a discrete time stochastic model is derived and several properties of this index are shown. In...

In this paper, we analyze Nash equilibria between electricity producers selling their production on an electricity market and buying CO2 emission allowances on an auction carbon market. The producers' strategies integrate the coupling of the two markets via the cost functions of the electricity...