The scope of the paper is to find signatures of the forces controlling complex systems modeled by Langevin equations, by recourse to information-theory quantifiers. We evaluate in detail the permutation entropy (PE) and the permutation statistical complexity (PSC) measures for two similarity...

An efficient computational algorithm to price financial derivatives is presented. It is based on a path integral formulation of the pricing problem. It is shown how the path integral approach can be worked out in order to obtain fast and accurate predictions for the value of a large class of...

Orthodox economic theory (utility maximization, rational agents, efficient markets in equilibrium) is based on arbitrarily postulated, nonempiric notions. The disagreement between economic reality and a key feature of neo-classical economic theory was criticized empirically by Osborne. I show...

In this paper we present a method for determining optimal trading strategies for Itô diffusion processes. By framing the problem in terms of the first passage time for the process we derive distribution and density functions for the trade length and use these functions to calculate the expected...

We complement the theory of tick-by-tick dynamics of financial markets based on a continuous-time random walk (CTRW) model recently proposed by Scalas et al. (Physica A 284 (2000) 376), and we point out its consistency with the behaviour observed in the waiting-time distribution for BUND future...

We compare two well-known examples of stochastic volatility models, the Heston model and the Hull–White model. We derive the stationary probability density distribution of the variance. In addition, we apply this stationary solution to the probability density distribution of the logarithmic...