1 citations · 2 across the 8 of their papers we have counts for
10 papers
Biased Risk Parity with Fractal Model of Risk
Sergey Kamenshchikov, Ilia Drozdov
For the past two decades investors have observed long memory and highly correlated behavior of asset classes that does not fit into the framework of Modern Portfolio Theory. Custom…
Fractal Optimization of Market Neutral Portfolio
Sergey Kamenshchikov, Ilia Drozdov
A fractal approach to the long-short portfolio optimization is proposed. The algorithmic system based on the composition of market-neutral spreads into a single entity was consider…
Bifurcation patterns of market regime transition
Sergey Kamenshchikov
In this paper mechanisms of reversion - momentum transition are considered. Two basic nonlinear mechanisms are highlighted: a slow and fast bifurcation. A slow bifurcation leads to…
Phase liquid turbulence as novel quantum approach
Sergey Kamenshchikov
In this paper we consider a nonlinear stochastic approach to the description of quantum systems. It is shown that a possibility to derive quantum properties - spectrum quantization…
Transport catastrophe analysis as an alternative to a fractal description: theory and application to financial crisis time series
Sergey A. Kamenshchikov
The goal of this investigation was to overcome limitations of a persistency analysis, introduced by Benoit Mandelbrot for fractal Brownian processes: nondifferentiability, Brownian…
Extended Fokker Planck model: properties and solutions
Sergey Kamenshchikov
In the current paper Fokker Planck model of random walks has been extended to non conservative cases characterized by explicit dependence of diffusion and energy on time. A given g…