3 papers
q-fin.ST2024
Causal Hierarchy in the Financial Market Network -- Uncovered by the Helmholtz-Hodge-Kodaira Decomposition
Tobias Wand, Oliver Kamps, Hiroshi Iyetomi
Granger causality can uncover the cause and effect relationships in financial networks. However, such networks can be convoluted and difficult to interpret, but the Helmholtz-Hodge…
physics.soc-ph2024
Cooperation in a non-Ergodic World on a Network -- Insurance and Beyond
Tobias Wand, Oliver Kamps, Benjamin Skjold
Cooperation between individuals is emergent in all parts of society, yet mechanistic reasons for this emergence is ill understood in the literature. A specific example of this is i…
q-fin.ST2023
Estimating Stable Fixed Points and Langevin Potentials for Financial Dynamics
Tobias Wand, Timo Wiedemann, Jan Harren +1
The Geometric Brownian Motion (GBM) is a standard model in quantitative finance, but the potential function of its stochastic differential equation (SDE) cannot include stable nonz…