We employ averaging over statistical ensemble of assets to derive an index characterizing the level of correlations in a financial market – the eCORR index. This index does not require lengthy historical data and reacts immediately to any changes in correlations. Study...

When we first published our paper "Express Measurement of Market Volatility Using Ergodicity Concept" we received criticism for "assuming an uncorrelated market". Among some was Risk Magazine, that solicited a similar paper from us only to reject it, mentioning correla...

We develop a theory of bid and ask price dynamics where the two prices form due to interaction of buy and sell orders. In this model the two prices are represented by eigenvalues of a 2x2 price operator corresponding to“bid” and “ask” eigenstates. Matrix elements of pr...

Professional market participants have to deal with illiquid securities on a constant basis. For such securities traditional risk assessment techniques fail. This can lead to underestimated and distorted results for the entire investment portfolio, and ultimately to ina...

We propose a number of volatility measures that are based on ensemble averaging instead of time averaging. These measures allow fast measurement of current volatility without relying on series of past data (realized volatility) of future expectations (implied volatilit...

We develop a theory of securities price formation and dynamics based on quantum approach without presuming any similarities with quantum mechanics. Disorder introduced by trading environment leads to probability distribution of returns that is not a smooth curve, but a...