The rapid changes in the finance industry due to the increasing amount of data have
revolutionized the techniques on data processing and data analysis and brought new …

Multifractality is ubiquitously observed in complex natural and socioeconomic systems.
Multifractal analysis provides powerful tools to understand the complex nonlinear nature of …

Modeling financial time series by stochastic processes is a challenging task and a central
area of research in financial mathematics. As an alternative, we introduce Quant GANs, a …

Financial time-series modeling is a challenging problem as it retains various complex
statistical properties and the mechanism behind the process is unrevealed to a large extent …

Limit order books (LOBs) match buyers and sellers in more than half of the world's financial
markets. This survey highlights the insights that have emerged from the wealth of empirical …

This short review presents a selected history of the mutual fertilization between physics and
economics—from Isaac Newton and Adam Smith to the present. The fundamentally different …

Using the eigenvalues and eigenvectors of correlations matrices of some of the main
financial market indices in the world, we show that high volatility of markets is directly linked …

China has experienced an outstanding economic expansion during the past decades,
however, literature on non-monetary metrics that reveal the status of China's regional …

We develop a high frequency (HF) trading strategy where the HF trader uses her superior
speed to process information and to post limit sell and buy orders. By introducing a …

We propose a framework for studying optimal market-making policies in a limit order book
(LOB). The bid–ask spread of the LOB is modeled by a tick-valued continuous-time Markov …