Empirical bias and efficiency of alpha-auctions: experimental evidence....
We experimentally evaluate the comparative performance of the winner-bid, average-bid, and loser-bid auctions for the dissolution of a partnership. The recently introduced empirical equilibrium...
View ArticleData-based Automatic Discretization of Nonparametric Distributions....
Although using non-Gaussian distributions in economic models has become increasingly popular, currently there is no systematic way for calibrating a discrete distribution from the data without imposing...
View ArticleApplications of a New Self-Financing Equation. (arXiv:1905.04137v1 [q-fin.TR])
The goal of this note is to illustrate the impact of a self-financing condition recently introduced by the authors. We present the analyses of two specific applications usually considered in more...
View ArticleAsset Pricing with General Transaction Costs: Theory and Numerics....
We study risk-sharing equilibria with general convex costs on the agents' trading rates. For an infinite-horizon model with linear state dynamics and exogenous volatilities, the equilibrium returns...
View ArticleOptimal multi-asset trading with linear costs: a mean-field approach....
Optimal multi-asset trading with Markovian predictors is well understood in the case of quadratic transaction costs, but remains intractable when these costs are $L_1$. We present a mean-field approach...
View ArticleAvoiding Backtesting Overfitting by Covariance-Penalties: an empirical...
Systematic trading strategies are rule-based procedures which choose portfolios and allocate assets. In order to attain certain desired return profiles, quantitative strategists must determine a large...
View ArticleA Note on Bayesian Long-Term S&P 500 Factor Investing....
We fit a dynamic factor model: monthly inflation-adjusted S\&P 500 returns vs 10-year trailing earnings yield (the inverse of Shiller price-to-earnings ratio), 10-year trailing dividend yield, and...
View ArticleIs Volatility Rough ?. (arXiv:1905.04852v1 [math.ST])
Rough volatility models are continuous time stochastic volatility models where the volatility process is driven by a fractional Brownian motion with the Hurst parameter less than half, and have...
View ArticleImpact is not just volatility. (arXiv:1905.04569v1 [q-fin.TR])
The notion of market impact is subtle and sometimes misinterpreted. Here we argue that impact should not be misconstrued as volatility. In particular, the so-called ``square-root impact law'', which...
View ArticleThe role of pawnshops in risk coping in early twentieth-century Japan....
This study examines the role of pawnshops as a risk-coping strategy in Japan in the prewar period when poor people were highly vulnerable. Using data on pawnshop loans in more than 250 municipalities...
View ArticleA Stock Selection Method Based on Earning Yield Forecast Using Sequence...
Long-term investors, different from short-term traders, focus on examining the underlying forces that affect the well-being of a company. They rely on fundamental analysis which attempts to measure the...
View ArticleImpacts of Japan's Automobile NOx Law of 1992. (arXiv:1905.04417v1 [econ.GN])
This study investigates the impacts of the Automobile NOx Law of 1992 on four pollutants in Japan. By utilizing monitoring data between 1897 and 1997, we found that the regulation decreased the level...
View ArticleERRATUM: Stochastic evolution equations for large portfolios of stochastic...
In the article "Stochastic evolution equations for large portfolios of Stochastic Volatility models" (Arxiv:1701.05640) there is a mistake in the proof of Theorem 3.1. In this erratum we establish a...
View ArticleA Three-state Opinion Formation Model for Financial Markets....
We propose a three-state microscopic opinion formation model for the purpose of simulating the dynamics of financial markets. In order to mimic the heterogeneous composition of the mass of investors in...
View ArticleA Solvable Two-dimensional Optimal Stopping Problem in the Presence of...
According to conventional wisdom, ambiguity accelerates optimal timing by decreasing the value of waiting in comparison with the unambiguous benchmark case. We study this mechanism in a...
View ArticleMerton's portfolio problem with power utility under Volterra Heston model....
This paper investigates Merton's portfolio problem in a rough stochastic environment described by Volterra Heston model. The model has a non-Markovian and non-semimartingale structure. By considering...
View ArticleApproximation of Optimal Transport problems with marginal moments...
Optimal Transport (OT) problems arise in a wide range of applications, from physics to economics. Getting numerical approximate solution of these problems is a challenging issue of practical...
View ArticleOn the consistency of jump-diffusion dynamics for FX rates under inversion....
In this note we investigate the consistency under inversion of jump diffusion processes in the Foreign Exchange (FX) market. In other terms, if the EUR/USD FX rate follows a given type of dynamics,...
View ArticleSustainable Investing and the Cross-Section of Maximum Drawdown....
We use supervised learning to identify factors that predict the cross-section of maximum drawdown for stocks in the US equity market. Our data run from January 1980 to June 2018 and our analysis...
View ArticleReduced Form Capital Optimization. (arXiv:1905.05911v1 [q-fin.PR])
We formulate banks' capital optimization problem as a classic mean variance optimization, by leveraging an accurate linear approximation to the Shapely or Constrained Aumann-Shapley (CAS) allocation of...
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