Instead of controlling "symmetric" risks measured by central moments of investment return or terminal wealth, more and more portfolio models have shifted their focus to manage "asymmetric" downside risks that the investment return is below certain threshold. Among the existing downside risk...

In this paper the introduction of notion of reference vector paves the way for a combination of classical and social approaches in the framework of referential preferences given by matrix groups. It is shown that individual demand issue from rational decision does not depend on that reference.

The inequality of wealth distribution is a universal phenomenon in the civilized nations, and it is often imputed to the Matthew effect, that is, the rich get richer and the poor get poorer. Some philosophers unjustified this phenomenon and tried to put the human civilization upon the evenness...

A stochastic model with hidden discrete Markov processes is constructed to understand the behavior of debtors.

The design and implementation of the Thomas algorithm optimised for hardware acceleration on an FPGA is presented. The hardware based algorithm combined with custom data flow and low level parallelism available in an FPGA reduces the overall complexity from 8N down to 5N arithmetic operations,...

This paper addresses the question of how an arbitrage-free semimartingale model is affected when stopped at a random horizon. We focus on No-Unbounded-Profit-with-Bounded-Risk (called NUPBR hereafter) concept, which is also known in the literature as the first kind of non-arbitrage. For this...

We propose a unified framework for equity and credit risk modeling, where the default time is a doubly stochastic random time with intensity driven by an underlying affine factor process. This approach allows for flexible interactions between the defaultable stock price, its stochastic...

We fill a void in merging empirical and phenomenological characterisation of the dynamical phase transitions in complex systems by identifying three of them on real-life financial markets. We extract and interpret the empirical, numerical, and semi-analytical evidences for the existence of these...

We present and discuss a stochastic model of financial assets dynamics based on the idea of an inverse renormalization group strategy. With this strategy we construct the multivariate distributions of elementary returns based on the scaling with time of the probability density of their...

This paper consists of two parts. The first part is devoted to empirical analysis of consolidated order book (COB) for the index RTS futures. In the second part we consider Poissonian multi--agent model of the COB. By varying parameters of different groups of agents submitting orders to the book...