162 citations · 486 across the 19 of their papers we have counts for
5 papers · 1 filter
Probability tree algorithm for general diffusion processes
L. Ingber, C. Chen, R. P. Mondescu +2
Motivated by path-integral numerical solutions of diffusion processes, PATHINT, we present a new tree algorithm, PATHTREE, which permits extremely fast accurate computation of prob…
Optimization of Trading Physics Models of Markets
Lester Ingber, Radu Paul Mondescu
We describe an end-to-end real-time S&P futures trading system. Inner-shell stochastic nonlinear dynamic models are developed, and Canonical Momenta Indicators (CMI) are derived fr…
Path-integral evolution of multivariate systems with moderate noise
Lester Ingber
A non Monte Carlo path-integral algorithm that is particularly adept at handling nonlinear Lagrangians is extended to multivariate systems. This algorithm is particularly accurate…
Canonical momenta indicators of financial markets and neocortical EEG
Lester Ingber
A paradigm of statistical mechanics of financial markets (SMFM) is fit to multivariate financial markets using Adaptive Simulated Annealing (ASA), a global optimization algorithm,…
High-resolution path-integral development of financial options
Lester Ingber
The Black-Scholes theory of option pricing has been considered for many years as an important but very approximate zeroth-order description of actual market behavior. We generalize…