Empirical facts characterizing banking crises: an analysis via binary time...
Various works have already showed that common shocks and cross-country financial linkages caused the banking systems of several countries to be highly interconnected with the result that during bad...
View ArticleModel-Free Reinforcement Learning for Financial Portfolios: A Brief Survey....
Financial portfolio management is one of the problems that are most frequently encountered in the investment industry. Nevertheless, it is not widely recognized that both Kelly Criterion and Risk...
View ArticleFractal Time Series Analysis of Social Network Activities....
In the work, a comparative correlation and fractal analysis of time series of Bitcoin crypto currency rate and community activities in social networks associated with Bitcoin was conducted. A...
View ArticlePDE models for the valuation of a non callable defaultable coupon bond under...
We consider a two-factor model for the valuation of a non callable defaultable bond which pays coupons at certain given dates. The model under consideration is the Jump to Default Constant Elasticity...
View ArticleOptimal execution with dynamic risk adjustment. (arXiv:1901.00617v2...
This paper considers the problem of optimal liquidation of a position in a risky security in a financial market, where price evolution are risky and trades have an impact on price as well as...
View ArticleContinuous-Time Mean-Variance Portfolio Selection: A Reinforcement Learning...
We approach the continuous-time mean-variance (MV) portfolio selection with reinforcement learning (RL). The problem is to achieve the best tradeoff between exploration and exploitation, and is...
View ArticleImpact of Artificial Intelligence on Businesses: from Research, Innovation,...
The fast pace of artificial intelligence (AI) and automation is propelling strategists to reshape their business models. This is fostering the integration of AI in the business processes but the...
View ArticleA Binomial Asset Pricing Model in a Categorical Setting. (arXiv:1905.01894v1...
Adachi and Ryu introduced a category Prob of probability spaces whose objects are all probability spaces and whose arrows correspond to measurable functions satisfying an absolutely continuous...
View ArticleEfficient Computation of Various Valuation Adjustments Under Local L\'evy...
Various valuation adjustments, or XVAs, can be written in terms of non-linear PIDEs equivalent to FBSDEs. In this paper we develop a Fourier-based method for solving FBSDEs in order to efficiently and...
View ArticleModel-free pricing and hedging in discrete time using rough path signatures....
We make use of a family of primitive securities, in the spirit of Arrow-Debreu, to price and hedge in a model-free way path-dependent exotic derivatives in discrete time. These primitive securities are...
View ArticleEvidence for Gross Domestic Product growth time delay dependence over Foreign...
This paper considers an often forgotten relationship, the time delay between a cause and its effect in economies and finance. We treat the case of Foreign Direct Investment (FDI) and economic growth, -...
View ArticleFundamental Theorem of Asset Pricing under fixed and proportional transaction...
We show that the lack of arbitrage in a model with both fixed and proportional transaction costs is equivalent to the existence of a family of absolutely continuous single-step probability measures...
View ArticleComputing a Data Dividend. (arXiv:1905.01805v1 [cs.GT])
Quality data is a fundamental contributor to success in statistics and machine learning. If a statistical assessment or machine learning leads to decisions that create value, data contributors may want...
View ArticleCo-jumping of Treasury Yield Curve Rates. (arXiv:1905.01541v1 [q-fin.ST])
We study the role of co-jumps in the interest rate futures markets. To disentangle continuous part of quadratic covariation from co-jumps, we localize the co-jumps precisely through wavelet...
View ArticleCharacterizing non-myopic information cascades in Bayesian learning....
We consider an environment where a finite number of players need to decide whether to buy a certain product (or adopt a trend) or not. The product is either good or bad, but its true value is not known...
View ArticleWhere does active travel fit within local community narratives of mobility...
Encouraging sustainable mobility patterns is at the forefront of policymaking at all scales of governance as the collective consciousness surrounding climate change continues to expand. Not every...
View ArticleHigh-performance stock index trading: making effective use of a deep LSTM...
We present a deep long short-term memory (LSTM)-based neural network for predicting asset prices, together with a successful trading strategy for generating profits based on the model's predictions....
View ArticleRelevant Stylized Facts About Bitcoin: Fluctuations, First Return...
Bitcoin is a digital financial asset that is devoid of a central authority. This makes it distinct from traditional financial assets in a number of ways. For instance, the total number of tokens is...
View ArticleEconomic Performance Through Time: A Dynamical Theory. (arXiv:1905.02956v1...
The central problems of Development Economics are the explanation of the gross disparities in the global distribution, $\cal{D}$, of economic performance, $\cal{E}$, and the persistence, $\cal{P}$, of...
View ArticleDoes Environmental Economics lead to patentable research?....
In this feasibility study, the impact of academic research from social sciences and humanities on technological innovation is explored through a study of citations patterns of journal articles in...
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