2 papers
math.ST2025
Theoretical analysis of phase-rectified signal averaging (PRSA) algorithm
Jiro Akahori, Joseph Najnudel, Hau-Tieng Wu +1
Phase-rectified signal averaging (PRSA) is a widely used algorithm to analyze nonstationary biomedical time series. The method operates by identifying hinge points in the time seri…
q-fin.MF2024
An arbitrage driven price dynamics of Automated Market Makers in the presence of fees
Joseph Najnudel, Shen-Ning Tung, Kazutoshi Yamazaki +1
We present a model for price dynamics in the Automated Market Makers (AMM) setting. Within this framework, we propose a reference market price following a geometric Brownian motion…