A simple approach to dual representations of systemic risk measures....
We describe a general approach to obtain dual representations for systemic risk measures of the "allocate first, then aggregate"-type, which have recently received significant attention in the...
View ArticleThe Syntax of the Accounting Language: A First Step. (arXiv:1906.10865v1...
We review and interpret two basic propositions published by Ellerman (2014). The propositions address the algebraic structure of T accounts and double entry bookkeeping (DEB). The paper builds on this...
View ArticleA Triptych Approach for Reverse Stress Testing of Complex Portfolios....
The quest for diversification has led to an increasing number of complex funds with a high number of strategies and non-linear payoffs. The new generation of Alternative Risk Premia (ARP) funds are an...
View ArticleRisk measures with markets volatility. (arXiv:1806.01166v4 [q-fin.RM] UPDATED)
Since the risk in financial markets has become much more uncertain and volatile than before, the usual risk measures may be limited when dealing with the risk management. In this paper, we will study...
View ArticleMarket Making under a Weakly Consistent Limit Order Book Model....
We develop from the ground up a new market-making model tailor-made for high-frequency trading under a limit order book (LOB), based on the well-known classification of order types in market...
View ArticleNowcasting Recessions using the SVM Machine Learning Algorithm....
We introduce a novel application of Support Vector Machines (SVM), an important Machine Learning algorithm, to determine the beginning and end of recessions in real time. Nowcasting, "forecasting" a...
View ArticleCorrelators of Polynomial Processes. (arXiv:1906.11320v1 [math.PR])
A process is polynomial if its extended generator maps any polynomial to a polynomial of equal or lower degree. Then its conditional moments can be calculated in closed form, up to the computation of...
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 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 ArticleOptimal investment and consumption with forward preferences and uncertain...
This paper solves the optimal investment and consumption strategies for a risk-averse and ambiguity-averse agent in an incomplete financial market with model uncertainty. The market incompleteness...
View ArticleHow to Evaluate Trading Strategies: Single Agent Market Replay or Multiple...
We show how a multi-agent simulator can support two important but distinct methods for assessing a trading strategy: Market Replay and Interactive Agent-Based Simulation (IABS). Our solution is...
View ArticleModeling Univariate and Multivariate Stochastic Volatility in R with stochvol...
Stochastic volatility (SV) models are nonlinear state-space models that enjoy increasing popularity for fitting and predicting heteroskedastic time series. However, due to the large number of latent...
View ArticleNear-Optimal Dynamic Asset Allocation in Financial Markets with Trading...
We develop a dual control method for approximating investment strategies in incomplete environments that emerge from the presence of market frictions. Convex duality enables the approximate technology...
View ArticleAre cryptocurrency traders pioneers or just risk-seekers? Evidence from...
Are cryptocurrency traders driven by a desire to invest in a new asset class to diversify their portfolio or are they merely seeking to increase their levels of risk? To answer this question, we use...
View ArticleDealing with Stochastic Volatility in Time Series Using the R Package...
The R package stochvol provides a fully Bayesian implementation of heteroskedasticity modeling within the framework of stochastic volatility. It utilizes Markov chain Monte Carlo (MCMC) samplers to...
View ArticleA portfolio choice problem in the framework of expected utility operators....
Possibilistic risk theory starts from the hypothesis that risk is modelled by fuzzy numbers. In particular, in a possibilistic portfolio choice problem, the return of a risky asset will be a fuzzy...
View ArticleImproved Forecasting of Cryptocurrency Price using Social Signals....
Social media signals have been successfully used to develop large-scale predictive and anticipatory analytics. For example, forecasting stock market prices and influenza outbreaks. Recently, social...
View ArticleRegularities in stock markets. (arXiv:1907.00371v1 [q-fin.GN])
From the stock markets of six countries with high GDP, we study the stock indices, S&P 500 (NYSE, USA), SSE Composite (SSE, China), Nikkei (TSE, Japan), DAX (FSE, Germany), FTSE 100 (LSE, Britain)...
View ArticleExistence of affine realizations for stochastic partial differential...
The goal of this paper is to clarify when a semilinear stochastic partial differential equation driven by L\'evy processes admits an affine realization. Our results are accompanied by several examples...
View ArticleAffine realizations with affine state processes for stochastic partial...
The goal of this paper is to clarify when a stochastic partial differential equation with an affine realization admits affine state processes. This includes a characterization of the set of initial...
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