Market fragmentation and market consolidation: Multiple steady states in...
Technological progress is leading to proliferation and diversification of trading venues, thus increasing the relevance of the long-standing question of market fragmentation versus consolidation. To...
View ArticleChange of Measure in Midcurve Pricing. (arXiv:1812.07415v2 [q-fin.PR] UPDATED)
We derive measure change formulae required to price midcurve swaptions in the forward swap annuity measure with stochastic annuities' ratios. We construct the corresponding linear and exponential...
View ArticleA New Solution to Market Definition: An Approach Based on Multi-dimensional...
Market definition is an important component in the premerger investigation, but the models used in the market definition have not developed much in the past three decades since the Critical Loss...
View ArticleSemi-tractability of optimal stopping problems via a weighted stochastic mesh...
In this article we propose a Weighted Stochastic Mesh (WSM) Algorithm for approximating the value of a discrete and continuous time optimal stopping problem. We prove that in the discrete case the WSM...
View ArticleBusiness Taxonomy Construction Using Concept-Level Hierarchical Clustering....
Business taxonomies are indispensable tools for investors to do equity research and make professional decisions. However, to identify the structure of industry sectors in an emerging market is...
View ArticleRelative Bound and Asymptotic Comparison of Expectile with Respect to...
Expectile bears some interesting properties in comparison to the industry wide expected shortfall in terms of assessment of tail risk. We study the relationship between expectile and expected shortfall...
View ArticleIdentify and understand pay-it-forward reciprocity using millions of online...
Pay-it-forward reciprocity encourages the spread of prosocial behavior. However, existing empirical evidence of pay-it-forward behavior has been largely based on laboratory experiments, which are...
View ArticleLong Run Feedback in the Broker Call Money Market. (arXiv:1906.10084v1...
I unravel the basic long run dynamics of the broker call money market, which is the pile of cash that funds margin loans to retail clients (read: continuous time Kelly gamblers). Call money is assumed...
View ArticleSemi-parametric Realized Nonlinear Conditional Autoregressive Expectile and...
A joint conditional autoregressive expectile and Expected Shortfall framework is proposed. The framework is extended through incorporating a measurement equation which models the contemporaneous...
View ArticleDynamic time series clustering via volatility change-points....
This note outlines a method for clustering time series based on a statistical model in which volatility shifts at unobserved change-points. The model accommodates some classical stylized features of...
View ArticleLead-lag Relationships in Foreign Exchange Markets. (arXiv:1906.10388v1...
Lead-lag relationships among assets represent a useful tool for analyzing high frequency financial data. However, research on these relationships predominantly focuses on correlation analyses for the...
View ArticleSystemic risk measures with markets volatility. (arXiv:1812.06185v3...
As systemic risk has become a hot topic in the financial markets, how to measure, allocate and regulate the systemic risk are becoming especially important. However, the financial markets are becoming...
View ArticleQuasiconvex risk measures with markets volatility. (arXiv:1806.08701v4...
Since the quasiconvex risk measures is a bigger class than the well known convex risk measures, the study of quasiconvex risk measures makes sense especially in the financial markets with volatility....
View ArticleOn Capital Allocation under Time and Information Constraints....
Attempts to allocate capital to a selection of different investment objects often face the problem that investors' decisions are made under limited information (no historical return data) and an...
View ArticleHybrid symbiotic organisms search feedforward neural net-works model for...
The prediction of stock prices is an important task in economics, investment and financial decision-making. It has for several decades, spurred the interest of many researchers to design stock price...
View ArticleAgainst the Norm: Modeling Daily Stock Returns with the Laplace Distribution....
Modeling stock returns is not a new task for mathematicians, investors, and portfolio managers, but it remains a difficult objective due to the ebb and flow of stock markets. One common solution is to...
View ArticleInfinitesimal perturbation analysis for risk measures based on the Smith...
When using risk or dependence measures based on a given underlying model, it is essential to be able to quantify the sensitivity or robustness of these measures with respect to the model parameters. In...
View ArticleA Pyramid Scheme Model Based on "Consumption Rebate" Frauds....
There are various types of pyramid schemes which have inflicted or are inflicting losses on many people in the world. We propose a pyramid scheme model which has the principal characters of many...
View ArticleMulti-Agent Deep Reinforcement Learning for Liquidation Strategy Analysis....
Liquidation is the process of selling a large number of shares of one stock sequentially within a given time frame, taking into consideration the costs arising from market impact and a trader's risk...
View ArticleThe Coevolution of Banks and Corporate Securities Markets: The Financing of...
Recent developments in the literature on financial architecture suggest that banks and markets not only coexist, but also coevolve in ways that are non-neutral from the viewpoint of optimality. This...
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