The market maker plays an important role in price formation, but his/her behavior and stabilizing impact on the market are relatively unclear, in particular in speculative markets. This paper develops a financial market ...
Chiarella, C; Szidarovsky, F(Universidad de la Frontera, 2009-01)
Dynamic oligopolies are examined with continuous time scales and under the assumption that the demand at each time period is affected by earlier demands and consumptions. After the mathematical model is introduced the local ...
Hamada, M; Sherris, M; Van Der Hoek, J(Peeters, 2006-01)
Standard optimal portfolio choice models assume that investors maximise the expected utility of their future outcomes. However, behaviour which is inconsistent with the expected utility theory has often been observed. In ...
Within a continuous-time framework, this paper proposes a stochastic heterogeneous agent model (HAM) of financial markets with time delays to unify various moving average rules used in discrete-time HAMs. The time delay ...
Liu, G; Sim, K; Li, J; Wong, L(John Wiley and Sons Inc, 2009-01)
Traditional similarity measurements often become meaningless when dimensions of datasets increase. Subspace clustering has been proposed to find clusters embedded in subspaces of high-dimensional datasets. Many existing ...
We show that a unitary operation (quantum circuit) secretly chosen from a finite set of unitary operations can be determined with certainty by sequentially applying only a finite amount of runs of the unknown circuit. No ...
Chen, J; Duan, R; Ji, Z; Ying, M; Yu, J(2007-04-12)
A gate is called entangler if it transforms some (pure) product states to entangled states. A universal entangler is a gate which transforms all product states to entangled states. In practice, a universal entangler is a ...
Pearce, ND; Wand, M(Institute of Mathematical Statistics, 2009-01)
Two areas of research longitudinal data analysis and kernel machines have large, but mostly distinct, literatures. This article shows explicitly that both fields have much in common with each other. In particular, many ...
Melham, R(University of Waterloo, Ontario, Canada, 2009-01)
In 1987 Knopfmacher and Knopfmacher published new infinite product expansions for real numbers 0 < A < 1 and A > 1. They called these expansions Engel product expansions. At that time they had difficulty finding rational ...
We introduce variational Bayes methods for fast approximate inference in functional regression analysis. Both the standard cross-sectional and the increasingly common longitudinal settings are treated. The methodology ...
In this paper we present some new applications of Lie symmetry analysis to problems in stochastic calculus. The major focus is on using Lie symmetries of parabolic PDEs to obtain fundamental solutions and transition ...
We present a sequential Monte Carlo sampler algorithm for the Bayesian analysis of generalised linear mixed models (GLMMs). These models support a variety of interesting regression-type analyses, but performing inference ...
We propose simple schemes that can perfectly identify projective measurement apparatuses secretly chosen from a finite set. Entanglement is used in these schemes both to make possible the perfect identification and to ...