The question of information cascades in finance appears in the literature. We use the dynamics of Kolmogorov's 1962 (K62) turbulence model, an example of multiaffine scaling, to illustrate how evidence for diffusion from large to small length scales, or correspondingly an information cascade...

Interest in thermodynamic analogies in economics is older than the idea of von Neumann to look for market entropy in liquidity, advice that was not taken in any thermodynamic analogy presented so far in the literature. In this paper, we go further and use a standard strategy from trading theory...

In their path-finding 1973 paper, Black and Scholes presented two separate derivations of their famous option pricing partial differential equation. The second derivation was from the standpoint that was Black's original motivation, namely, the capital asset pricing model (CAPM). We show here,...

This paper reports several entirely new results on financial market dynamics and option pricing. We observe that empirical distributions of returns are much better approximated by an exponential distribution than by a Gaussian. This exponential distribution of asset prices can be used to develop...

Extending previous work on non-equilibrium option pricing theory (Eur. Phys. J. 14 (2000) 383–394), a mean field approach is developed to understand the curvature of (implied by Black–Scholes (BS)) volatility surfaces (curves) as a function of moneyness (strike price divided by price). The...

The global foreign exchange (FX) market represents a critical and sizeable component of our financial system. It is a market where firms and investors engage in both speculative trading and hedging. Over the years, there has been a growing interest in FX modeling and prediction. Recently,...

In the field of mortality, the Lee–Carter based approach can be considered the milestone to forecast mortality rates among stochastic models. We could define a “Lee–Carter model family” that embraces all developments of this model, including its first formulation (1992) that remains the...

This paper proposes a generalized deep learning approach for predicting claims developments for non-life insurance reserving. The generalized approach offers more flexibility and accuracy in solving actuarial reserving problems. It predicts claims outstanding weighted by exposure instead of loss...

Given the computational challenges associated with valuing large variable annuity (VA) portfolios, a variety of data mining frameworks, including metamodeling and active learning, have been proposed in recent years. Active learning, a promising alternative to metamodeling, enhances the...