Ensemble approach to market correlations - the eCORR index of current correlations
We employ averaging over statistical ensemble of assets to derive an index characterizing the level of correlations in a financial market...
Coupled-wave theory of price formation
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...
Risk valuation for securities with limited liquidity
Professional market participants have to deal with illiquid securities on a constant basis. For such securities traditional risk...
Express measurement of market volatility using ergodicity concept
We propose a number of volatility measures that are based on ensemble averaging instead of time averaging. These measures allow fast...
Quantum theory of securities price formation in financial markets
We develop a theory of securities price formation and dynamics based on quantum approach without presuming any similarities with quantum...
