Multiscale cross--correlations and triangular arbitrage opportunities in the...
Multifractal Detrended Cross-Correlation methodology is applied to the foreign exchange (Forex) market. High frequency fluctuations of exchange rates of eight major world currencies over the period...
View ArticleWhen Risks and Uncertainties Collide: Mathematical Finance for Arbitrage...
Geometric Arbitrage Theory reformulates a generic asset model possibly allowing for arbitrage by packaging all assets and their forwards dynamics into a stochastic principal fibre bundle, with a...
View ArticleMulti-Likelihood Methods for Developing Stock Relationship Networks Using...
Development of stock networks is an important approach to explore the relationship between different stocks in the era of big-data. Although a number of methods have been designed to construct the...
View ArticleSignatures of crypto-currency market decoupling from the Forex....
Based on the high-frequency recordings from Kraken, a cryptocurrency exchange and professional trading platform that aims to bring Bitcoin and other cryptocurrencies into the mainstream, the multiscale...
View ArticleEvaluating the Performance of Machine Learning Algorithms in Financial Market...
With increasing competition and pace in the financial markets, robust forecasting methods are becoming more and more valuable to investors. While machine learning algorithms offer a proven way of...
View ArticleClosed-form expansions with respect to the mixing solution for option pricing...
We consider closed-form expansions for European put option prices within several stochastic volatility frameworks with time-dependent parameters. Our methodology involves writing the put option price...
View ArticlePredicting Patent Citations to measure Economic Impact of Scholarly Research....
A crucial goal of funding research and development has always been to advance economic development. On this basis, a consider-able body of research undertaken with the purpose of determining what...
View ArticleOn the monotonicity of the eigenvector method. (arXiv:1902.10790v2 [math.OC]...
Pairwise comparisons are used in a wide variety of decision situations when the importance of different alternatives should be measured by numerical weights. One popular method to derive these...
View ArticleLoan maturity aggregation in interbank lending networks obscures mesoscale...
Since the 2007-2009 financial crisis, substantial academic effort has been dedicated to improving our understanding of interbank lending networks (ILNs). Because of data limitations or by choice, the...
View ArticleOptimal Reinsurance and Investment Strategies under Mean-Variance Criteria:...
This paper is concerned with an optimal reinsurance and investment problem for an insurance firm under the criterion of mean-variance. The driving Brownian motion and the rate in return of the risky...
View ArticleA network approach to cartel detection in public auction markets....
Competing firms can increase profits by setting prices collectively, imposing significant costs on consumers. Such groups of firms are known as cartels and because this behavior is illegal, their...
View ArticleInvestment Ranking Challenge: Identifying the best performing stocks based on...
In the IEEE Investment ranking challenge 2018, participants were asked to build a model which would identify the best performing stocks based on their returns over a forward six months window....
View ArticleOption Pricing via Multi-path Autoregressive Monte Carlo Approach....
The pricing of financial derivatives, which requires massive calculations and close-to-real-time operations under many trading and arbitrage scenarios, were largely infeasible in the past. However,...
View ArticleDecomposition formula for rough Volterra stochastic volatility models....
The research presented in this article provides an alternative option pricing approach for a class of rough fractional stochastic volatility models. These models are increasingly popular between...
View ArticleMultifractal cross-correlations between the World Oil and other Financial...
Statistical and multiscaling characteristics of WTI Crude Oil prices expressed in US dollar in relation to the most traded currencies as well as to gold futures and to the E-mini S$\&$P500 futures...
View ArticleSmall-time and large-time smile behaviour for the Rough Heston model....
We characterize the asymptotic small-time and large-time implied volatility smile for the rough Heston model introduced by El Euch, Jaisson and Rosenbaum. We show that the asymptotic short-maturity...
View ArticleBERT-based Financial Sentiment Index and LSTM-based Stock Return...
Traditional sentiment construction in finance relies heavily on the dictionary-based approach, with a few exceptions using simple machine learning techniques such as Naive Bayes classifier. While the...
View ArticleA bibliometric analysis of Bitcoin scientific production. (arXiv:1906.08933v1...
Blockchain technology, and more specifically Bitcoin (one of its foremost applications), have been receiving increasing attention in the scientific community. The first publications with Bitcoin as a...
View ArticleCostMAP: An open-source software package for developing cost surfaces....
Cost Surfaces are a quantitative means of assigning social, environmental, and engineering costs that impact movement across landscapes. Cost surfaces are a crucial aspect of route optimization and...
View ArticleMacroscopic theorem of the portfolio optimization problem with a risk-free...
The investment risk minimization problem with budget and return constraints has been the subject of research using replica analysis but there are shortcomings in the extant literature. With respect to...
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