This paper studies the continuous-time q-learning in mean-field jump-diffusion models when the population distribution is not directly observable. We propose the integrated q-function in decoupled form (decoupled Iq-function) from the representative agent's perspective and establish its martingale characterization, which provides a unified policy evaluation rule for both mean-field game (MFG) and mean-field control (MFC) problems. Moreover, we consider the learning procedure where the representative agent updates the population distribution based on his own state values. Depending on the task to solve the MFG or MFC problem, we can employ the decoupled Iq-function differently to characterize the mean-field equilibrium policy or the mean-field optimal policy respectively. Based on these theoretical findings, we devise a unified q-learning algorithm for both MFG and MFC problems by utilizing test policies and the averaged martingale orthogonality condition. For several financial applications in the jump-diffusion setting, we obtain the exact parameterization of the decoupled Iq-functions and the value functions, and illustrate our q-learning algorithm with satisfactory performance.

We study the dynamics of the out-of-equilibrium nonlinear q-voter model with two types of susceptible voters and zealots, introduced in [EPL 113, 48001 (2016)]. In this model, each individual supports one of two parties and is either a susceptible voter of type $q_1$ or $q_2$, or is an inflexible zealot. At each time step, a $q_i$-susceptible voter ($i = 1,2$) consults a group of $q_i$ neighbors and adopts their opinion if all group members agree, while zealots are inflexible and never change their opinion. This model violates detailed balance whenever $q_1 \neq q_2$ and is characterized by two distinct regimes of low and high density of zealotry. Here, by combining analytical and numerical methods, we investigate the non-equilibrium stationary state of the system in terms of its probability distribution, non-vanishing currents and unequal-time two-point correlation functions. We also study the switching times properties of the model by exploiting an approximate mapping onto the model of [Phys. Rev. E 92, 012803 (2015)] that satisfies the detailed balance, and also outline some properties of the model near criticality.

Measures of tree balance play an important role in the analysis of phylogenetic trees. One of the oldest and most popular indices in this regard is the Colless index for rooted bifurcating trees, introduced by Colless (1982). While many of its statistical properties under different probabilistic models for phylogenetic trees have already been established, little is known about its minimum value and the trees that achieve it. In this manuscript, we fill this gap in the literature. To begin with, we derive both recursive and closed expressions for the minimum Colless index of a tree with $n$ leaves. Surprisingly, these expressions show a connection between the minimum Colless index and the so-called Blancmange curve, a fractal curve. We then fully characterize the tree shapes that achieve this minimum value and we introduce both an algorithm to generate them and a recurrence to count them. After focusing on two extremal classes of trees with minimum Colless index (the maximally balanced trees and the greedy from the bottom trees), we conclude by showing that all trees with minimum Colless index also have minimum Sackin index, another popular balance index.

A self-exciting point process with a continuous-time autoregressive moving average intensity process, named CARMA(p,q)-Hawkes model, has recently been introduced. The model generalizes the Hawkes process by substituting the Ornstein-Uhlenbeck intensity with a CARMA(p,q) model where the associated state process is driven by the counting process itself. The proposed model preserves the same degree of tractability as the Hawkes process, but it can reproduce more complex time-dependent structures observed in several market data. The paper presents a new model of asset price dynamics based on the CARMA(p,q) Hawkes model. It is constructed using a compound version of it with a random jump size that is independent of both the counting and the intensity processes and can be employed as the main block for pure jump and (stochastic volatility) jump-diffusion processes. The numerical results for pricing European options illustrate that the new model can replicate the volatility smile observed in financial markets. Through an empirical analysis, which is presented as a calibration exercise, we highlight the role of higher order autoregressive and moving average parameters in pricing options.

Modeling financial markets based on empirical data poses challenges in selecting the most appropriate models. Despite the abundance of empirical data available, researchers often face difficulties in identifying the best-fitting model. Long-range memory and self-similarity estimators, commonly used for this purpose, can yield inconsistent parameter values, as they are tailored to specific time series models. In our previous work, we explored order disbalance time series from the broader perspective of fractional L'{e}vy stable motion, revealing a stable anti-correlation in the financial market order flow. However, a more detailed analysis of empirical data indicates the need for a more specific order flow model that incorporates the power-law distribution of limit order cancellation times. When considering a series in event time, the limit order cancellation times follow a discrete probability mass function derived from the Tsallis q-exponential distribution. The combination of power-law distributions for limit order volumes and cancellation times introduces a novel approach to modeling order disbalance in the financial markets. Moreover, this proposed model has the potential to serve as an example for modeling opinion dynamics in social systems. By tailoring the model to incorporate the unique statistical properties of financial market data, we can improve the accuracy of our predictions and gain deeper insights into the dynamics of these complex systems.

We study optimal control in models with latent factors where the agent controls the distribution over actions, rather than actions themselves, in both discrete and continuous time. To encourage exploration of the state space, we reward exploration with Tsallis Entropy and derive the optimal distribution over states - which we prove is $q$-Gaussian distributed with location characterized through the solution of an FBS$Δ$E and FBSDE in discrete and continuous time, respectively. We discuss the relation between the solutions of the optimal exploration problems and the standard dynamic optimal control solution. Finally, we develop the optimal policy in a model-agnostic setting along the lines of soft $Q$-learning. The approach may be applied in, e.g., developing more robust statistical arbitrage trading strategies.

In a two-period financial market where a stock is traded dynamically and European options at maturity are traded statically, we study the so-called martingale Schrödinger bridge Q*; that is, the minimal-entropy martingale measure among all models calibrated to option prices. This minimization is shown to be in duality with an exponential utility maximization over semistatic portfolios. Under a technical condition on the physical measure P, we show that an optimal portfolio exists and provides an explicit solution for Q*. This result overcomes the remarkable issue of non-closedness of semistatic strategies discovered by Acciaio, Larsson and Schachermayer. Specifically, we exhibit a dense subset of calibrated martingale measures with particular properties to show that the portfolio in question has a well-defined and integrable option position.

In most cases, insurance contracts are linked to the financial markets, such as through interest rates or equity-linked insurance products. To motivate an evaluation rule in these hybrid markets, Artzner et al. (2022) introduced the notion of insurance-finance arbitrage. In this paper we extend their setting by incorporating model uncertainty. To this end, we allow statistical uncertainty in the underlying dynamics to be represented by a set of priors $\mathscr{P}$. Within this framework we introduce the notion of robust asymptotic insurance-finance arbitrage and characterize the absence of such strategies in terms of the concept of ${Q}\mathscr{P}$-evaluations. This is a nonlinear two-step evaluation which guarantees no robust asymptotic insurance-finance arbitrage. Moreover, the ${Q}\mathscr{P}$-evaluation dominates all two-step evaluations as long as we agree on the set of priors $\mathscr{P}$ which shows that those two-step evaluations do not allow for robust asymptotic insurance-finance arbitrages. Furthermore, we introduce a doubly stochastic model under uncertainty for surrender and survival. In this setting, we describe conditional dependence by means of copulas and illustrate how the ${Q}\mathscr{P}$-evaluation can be used for the pricing of hybrid insurance products.

The prospects of assessing neural complexity (NC) by $q$-statistics of the systemic organization of different types and levels of brain activity were studied. In 70 adult subjects, NC was assessed via the parameter $q$ of $q$-statistics, applied to the ongoing and EEG and its spectral power of 20 scalp points (channels). The NC were estimated both globally for all channels (AllCh) and locally (for each single channel) in different Functional States (FSs). The values of $q$ was compared among FSs and single channels, as well they were correlated with the power of $θ$ (4-8Hz), $β_1$ (15-25Hz) and others EEG bands, in each FS. The value of $q$ across all FSs was higher for AllCh than for the single channels FSs. Consistently with previous studies, we found a negative correlation between NC and age. The FSs did not influence the $q$ of the EEG in AllCh, although locally the FS modulated $q$ in a consistent manner (e.g., reducing $q$ in posterior sites with eyes closed). The $q$ was correlated positively with the power of the $θ$ and negatively with that of the $β_1$ band in general. These findings support the idea that, as a first approach, $q$-statistics can describe the human NC. The relationship between $q$ and $θ$ power aligns with greater NC during FSs such as listening music and resting with eyes open, which is consistent with high-order representations rather than low-informative attentional tasks (OddBall).

The inverse problem of statistical mechanics involves finding the minimal Hamiltonian that is consistent with some observed set of correlation functions. This problem has received renewed interest in the analysis of biological networks; in particular, several such networks have been described successfully by maximum entropy models consistent with pairwise correlations. These correlations are usually weak in an absolute sense (e.g., correlation coefficients ~ 0.1 or less), and this is sometimes taken as evidence against the existence of interesting collective behavior in the network. If correlations are weak, it should be possible to capture their effects in perturbation theory, so we develop an expansion for the entropy of Ising systems in powers of the correlations, carrying this out to fourth order. We then consider recent work on networks of neurons [Schneidman et al., Nature 440, 1007 (2006); Tkacik et al., arXiv:0912.5409 [q-bio.NC] (2009)], and show that even though all pairwise correlations are weak, the fact that these correlations are widespread means that their impact on the network as a whole is not captured in the leading orders of perturbation theory. More positively, this means that recent successes of maximum entropy approaches are not simply the result of correlations being weak.