3 papers
q-fin.MF2021
Analysis of bank leverage via dynamical systems and deep neural networks
Fabrizio Lillo, Giulia Livieri, Stefano Marmi +2
We consider a model of a simple financial system consisting of a leveraged investor that invests in a risky asset and manages risk by using Value-at-Risk (VaR). The VaR is estimate…
math.DS2016
On isomorphism problem for von Neumann flows with one discontinuity
Adam Kanigowski, Anton V. Solomko
A von Neumann flow is a special flow over an irrational rotation of the circle and under a piecewise roof function with a non-zero sum of jumps. We prove that the absolute va…
math.DS2014
Simple mixing actions with uncountably many prime factors
Alexandre I. Danilenko, Anton V. Solomko
Via (C,F)-construction we produce a 2-fold simple mixing transformation which has uncountably many non-trivial proper factors and all of them are prime.