What are jump-diffusion models in finance? What are the applications of stochastic processes in high-frequency finance?

Jun 25, 2014 ... ... information theory. if you want to casually learn information theory, just study probability, stochastic processes, and thermodynamics. ... information flow, modeled as a stochastic volatility process, and generalize standard autoregressive conditional heteroskedasticity specifications ... Jan 20, 2022 ... ... stochastic processes, and information dynamics approaches. Our analysis revealed novel relationships between these metrics, which allowed us ... becomes surprisingly non-trivial (at least in continuous time). (More on these stochastic control aspects: Part I of the arXiv preprint: “On the informational ... Next, in Section 3, we model the HVAC problem as a Partially Observable Markov Decision Process (POMDP) with environment dependency. Section 4 shows that the ... Sep 9, 2021 ... In this tutorial we will investigate the stochastic process that is the building block of financial mathematics. This paper deals with the problem of establishing conditions under which, in the independent Gaussian case, a stochastic process can be considered to be ... stochastic volatility process (Andersen (1992b)). We now turn to the issue of nonstationarity. So far, we have assumed that volume is stationary. This ignores ... The stochastic properties of this process determine long-run learning dynamics. The challenge in establishing convergence results for <λt> stems from the ... May 23, 2022 ... Emergence and information in stochastic and deterministic processes. For systems composed of (or defined by) stochastic processes, emergence ...