106 citations · 361 across the 16 of their papers we have counts for
16 papers
The Reverse of The Law of Large Numbers
Kieran Kelly, Przemyslaw Repetowicz, Seosamh macReamoinn
The Law of Large Numbers tells us that as the sample size (N) is increased, the sample mean converges on the population mean, provided that the latter exists. In this paper, we inv…
On the Equilibrium Fluctuations of an Isolated System
Kieran Kelly, Przemysław Repetowicz, Seosamh macRéamoinn
Traditionally, it is understood that fluctuations in the equilibrium distribution are not evident in thermodynamic systems of large (the number of particles in the system) \cit…
Sector analysis for a FTSE portfolio of stocks
R. Coelho, S. Hutzler, P. Repetowicz +1
Using a portfolio of stocks from the London Stock Exchange FTSE100 index (FTSE), we study both the time dependence of their correlations and the normalized tree length of the assoc…
Pricing of options on stocks driven by multi-dimensional operator stable Levy processes
Przemyslaw Repetowicz, Peter Richmond
We model the price of a stock via a Langévin equation with multi-dimensional fluctuations coupled in the price and in time. We generalize previous models in that we assume that the…
The Wick theorem for non-Gaussian distributions and its application for noise filtering of correlated q-Exponentialy distributed random variables
Przemyslaw Repetowicz, Peter Richmond
We derive the Wick theorem for the q-Exponential distribution. We use the theorem to derive an algorithm for finding parameters of the correlation matrix of q-Exponentialy distribu…
Modelling the term structure of interest rates á la Heath-Jarrow-Morton but with non Gaussian fluctuations
Przemyslaw Repetowicz, Brian Lucey, Peter Richmond
We consider a generalization of the Heath Jarrow Morton model for the term structure of interest rates where the forward rate is driven by Paretian fluctuations. We derive a genera…