Decision Making with Machine Learning and ROC Curves. (arXiv:1905.02810v1...
The Receiver Operating Characteristic (ROC) curve is a representation of the statistical information discovered in binary classification problems and is a key concept in machine learning and data...
View ArticleFrom Sicilian mafia to Chinese "scam villages". (arXiv:1905.03108v1...
Inspired by Gambetta's theory on the origins of the mafia in Sicily, we report a geo-concentrating phenomenon of scams in China, and propose a novel economic explanation. Our analysis has some policy...
View ArticleThe mitigating role of regulation on the concentric patterns of broadband...
This article analyzes the role of Finnish regulation in achieving the broadband penetration goals defined by the National Regulatory Authority. It is well known that in the absence of regulatory...
View ArticleOnline reviews can predict long-term returns of individual stocks....
Online reviews are feedback voluntarily posted by consumers about their consumption experiences. This feedback indicates customer attitudes such as affection, awareness and faith towards a brand or a...
View ArticleA Dynamic Bayesian Model for Interpretable Decompositions of Market...
We propose a heterogeneous simultaneous graphical dynamic linear model (H-SGDLM), which extends the standard SGDLM framework to incorporate a heterogeneous autoregressive realised volatility (HAR-RV)...
View ArticleA Policy Compass for Ecological Economics. (arXiv:1905.03338v1 [q-fin.GN])
A policy compass indicates the direction in which an institution is going in terms of three general qualities. The three qualities are: suppression, harmony and passion. Any formal institution can...
View ArticleThe Likelihood of Mixed Hitting Times. (arXiv:1905.03463v1 [econ.EM])
We present a method for computing the likelihood of a mixed hitting-time model that specifies durations as the first time a latent L\'evy process crosses a heterogeneous threshold. This likelihood is...
View ArticleInitial Crypto-asset Offerings (ICOs), tokenization and corporate governance....
This paper discusses the potential impacts of the so-called `initial coin offerings', and of several developments based on distributed ledger technology (`DLT'), on corporate governance. While many...
View ArticlePrivatizaciones, fusiones y adquisiciones: las grandes empresas en M\'exico....
The present work has as principal objective analyze the evolution of the process of privatization, mergers and acquisitions of the big companies in the country in the last decades, to understand the...
View ArticleDependencies and systemic risk in the European insurance sector: Some new...
The subject of the present article is the study of correlations between large insurance companies and their contribution to systemic risk in the insurance sector. Our main goal is to analyze the...
View ArticleRepo convexity. (arXiv:1905.03316v1 [q-fin.PR])
There is an observed basis between repo discounting, implied from market repo rates, and bond discounting, stripped from the market prices of the underlying bonds. Here, this basis is explained as a...
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 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 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 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 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 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 ArticleTheory of Cryptocurrency Interest Rates. (arXiv:1904.05472v2 [q-fin.MF] UPDATED)
A term structure model in which the short rate is zero is developed as a candidate for a theory of cryptocurrency interest rates. The price processes of crypto discount bonds are worked out, along with...
View ArticleForecasting the Impact of Connected and Automated Vehicles on Energy Use A...
Connected and automated vehicles (CAVs) are expected to yield significant improvements in safety, energy efficiency, and time utilization. However, their net effect on energy and environmental outcomes...
View ArticleDemand and Welfare Analysis in Discrete Choice Models with Social...
Many real-life settings of consumer-choice involve social interactions, causing targeted policies to have spillover-effects. This paper develops novel empirical tools for analyzing demand and...
View Article