3 papers
q-fin.PM2026
Fast Times, Slow Times: Timescale Separation in Financial Timeseries Data
Jan Rosenzweig
Financial time series exhibit multiscale behavior, with interaction between multiple processes operating on different timescales. This paper introduces a method for separating thes…
q-fin.PM2023
A Tale of Tail Covariances (and Diversified Tails)
Jan Rosenzweig
This paper deals with tail diversification in financial time series through the concept of statistical independence by way of differential entropy and mutual information. By using…
q-fin.TR2019
Conservation Laws in a Limit Order Book
Jan Rosenzweig
We present a class of macroscopic models of the Limit Order Book to simulate the aggregate behaviour of market makers in response to trading flows. The resulting models are solved…