Informe-pais Brasil. (arXiv:1909.08564v1 [econ.GN])
Structural socioeconomic analysis of Brazil. All basic information about this South American country is gathered in a comprehensive outlook that includes the challenges Brazil faces, as well as their...
View ArticleAn Empirical Study on Arrival Rates of Limit Orders and Order Cancellation...
Order book dynamics play an important role in both execution time and price formation of orders in an exchange market. In this study, we aim to model the limit order arrival rates in the vicinity of...
View ArticleOption pricing under normal dynamics with stochastic volatility....
In this paper, we derive the price of a European call option of an asset following a normal process assuming stochastic volatility. The volatility is assumed to follow the Cox Ingersoll Ross (CIR)...
View ArticleMultimodal Deep Learning for Finance: Integrating and Forecasting...
In today's increasingly international economy, return and volatility spillover effects across international equity markets are major macroeconomic drivers of stock dynamics. Thus, information regarding...
View ArticleThe Effect of Oil Price on United Arab Emirates Goods Trade Deficit with the...
We seek to investigate the effect of oil price on UAE goods trade deficit with the U.S. The current increase in the price of oil and the absence of significant studies in the UAE economy are the main...
View ArticleCorruption Risk in Contracting Markets: A Network Science Perspective....
We use methods from network science to analyze corruption risk in a large administrative dataset of over 4 million public procurement contracts from European Union member states covering the years...
View ArticleTo Detect Irregular Trade Behaviors In Stock Market By Using Graph Based...
To detect the irregular trade behaviors in the stock market is the important problem in machine learning field. These irregular trade behaviors are obviously illegal. To detect these irregular trade...
View ArticleLegal Architecture and Design for Gulf Cooperation Council Economic...
The Cooperation Council for the Arab States of the Gulf (GCC) is generally regarded as a success story for economic integration in Arab countries. The idea of regional integration gained ground by...
View ArticleThe Design and Operation of Rules of Origin in Greater Arab Free Trade Area:...
Rules of origin (ROO) are pivotal element of the Greater Arab Free Trade Area (GAFTA). ROO are basically established to ensure that only eligible products receive preferential tariff treatment. Taking...
View ArticleGenerational political dynamics of retirement pensions systems: An agent...
The increasing difficulties in financing the welfare state and in particular public retirement pensions have been one of the outcomes both of the decrease of fertility and birth rates combined with the...
View ArticleNew Policy Design for Food Accessibility to the People in Need....
Food insecurity is a term used to measure hunger and food deprivation of a large population. As per the 2015 statistics provided by Feeding America - one of the largest domestic hunger-relief...
View ArticleDoes the leverage effect affect the return distribution?. (arXiv:1909.08662v1...
The leverage effect refers to the generally negative correlation between the return of an asset and the changes in its volatility. There is broad agreement in the literature that the effect should be...
View ArticleReinforcement Learning for Portfolio Management. (arXiv:1909.09571v1 [q-fin.PM])
In this thesis, we develop a comprehensive account of the expressive power, modelling efficiency, and performance advantages of so-called trading agents (i.e., Deep Soft Recurrent Q-Network (DSRQN) and...
View ArticleOptimal Dividend for Insurance Group with External Default Contagion....
This paper studies the optimal dividend for a multi-line insurance group, in which each insurance company is exposed to some external credit default risk. The external default contagion is considered...
View ArticleSystemic Cascades On Inhomogeneous Random Financial Networks....
This systemic risk paper introduces inhomogeneous random financial networks (IRFNs). Such models are intended to describe parts, or the entirety, of a highly heterogeneous network of banks and their...
View ArticleMethods, Models, and the Evolution of Moral Psychology. (arXiv:1909.09198v1...
Why are we good? Why are we bad? Questions regarding the evolution of morality have spurred an astoundingly large interdisciplinary literature. Some significant subset of this body of work addresses...
View ArticleDouble-Robust Identification for Causal Panel Data Models....
We study identification and estimation of causal effects of a binary treatment in settings with panel data. We highlight that there are two paths to identification in the presence of unobserved...
View ArticleHow to design a derivatives market?. (arXiv:1909.09257v1 [q-fin.TR])
We consider the problem of designing a derivatives exchange aiming at addressing clients needs in terms of listed options and providing suitable liquidity. We proceed into two steps. First we use a...
View ArticleGradient Boost with Convolution Neural Network for Stock Forecast....
Market economy closely connects aspects to all walks of life. The stock forecast is one of task among studies on the market economy. However, information on markets economy contains a lot of noise and...
View ArticleCME Iceberg Order Detection and Prediction. (arXiv:1909.09495v1 [q-fin.TR])
We propose a method for detection and prediction of native and synthetic iceberg orders on Chicago Mercantile Exchange. Native (managed by the exchange) icebergs are detected using discrepancies...
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