A weighted finite difference method for subdiffusive Black Scholes Model....
In this paper we focus on the subdiffusive Black Scholes model. The main part of our work consists of the finite difference method as a numerical approach to the option pricing in the considered model....
View ArticleDetailed study of a moving average trading rule. (arXiv:1907.00212v1 [q-fin.ST])
We present a detailed study of the performance of a trading rule that uses moving average of past returns to predict future returns on stock indexes. Our main goal is to link performance and the...
View ArticleWhy so many significant Phase 3 results in clinical trials?....
Planning and execution of clinical research and publication of results should conform to the highest ethical standards, given that human lives are at stake. However, economic incentives can generate...
View ArticleTracking VIX with VIX Futures: Portfolio Construction and Performance....
We study a series of static and dynamic portfolios of VIX futures and their effectiveness to track the VIX index. We derive each portfolio using optimization methods, and evaluate its tracking...
View ArticleBranching Particle Pricers with Heston Examples. (arXiv:1907.00219v1 [q-fin.CP])
The use of sequential Monte Carlo within simulation for path-dependent option pricing is proposed and evaluated. Recently, it was shown that explicit solutions and importance sampling are valuable for...
View ArticleTime-changed \levy processes and option pricing: a critical comment....
Carr and Wu (2004), henceforth CW, developed a framework that encompasses almost all of the continuous-time models proposed in the option pricing literature. Their framework hinges on the stopping time...
View ArticleElicitability and Identifiability of Systemic Risk Measures and other...
This paper is concerned with a two-fold objective. Firstly, we establish elicitability and identifiability results for systemic risk measures introduced in Feinstein, Rudloff and Weber (2017)....
View ArticleOptimistic Bull or Pessimistic Bear: Adaptive Deep Reinforcement Learning for...
Portfolio allocation is crucial for investment companies. However, getting the best strategy in a complex and dynamic stock market is challenging. In this paper, we propose a novel Adaptive Deep...
View ArticleA Model of Presidential Debates. (arXiv:1907.01362v1 [econ.GN])
Presidential debates are thought to provide an important public good by revealing information on candidates to voters. However, this may not always be the case. We consider an endogenous model of...
View ArticleCompact embeddings for spaces of forward rate curves. (arXiv:1907.01437v1...
The goal of this note is to prove a compact embedding result for spaces of forward rate curves. As a consequence of this result, we show that any forward rate evolution can be approximated by a...
View ArticleComparative analysis of layered structures in empirical investor networks and...
Empirical investor networks (EIN) proposed by \cite{Ozsoylev-Walden-Yavuz-Bildik-2014-RFS} are assumed to capture the information spreading path among investors. Here, we perform a comparative analysis...
View ArticleOptimal Bookmaking. (arXiv:1907.01056v1 [q-fin.MF])
We introduce a general framework for continuous-time betting markets, in which a bookmaker can dynamically control the prices of bets on outcomes of random events. In turn, the prices set by the...
View ArticleSize matters for OTC market makers: viscosity approach and dimensionality...
In most OTC markets, a small number of market makers provide liquidity to clients from the buy side. More precisely, they set prices at which they agree to buy and sell the assets they cover. Market...
View ArticleSolving the Reswitching Paradox in the Sraffian Theory of Capital....
The possibility of re-switching of techniques in Piero Sraffa's intersectoral model, namely the returning capital-intensive techniques with monotonic changes in the profit rate, is traditionally...
View ArticleSmart network based portfolios. (arXiv:1907.01274v1 [q-fin.PM])
In this article we deal with the problem of portfolio allocation by enhancing network theory tools. We use the dependence structure of the correlations network in constructing some well-known...
View ArticleP2P Loan acceptance and default prediction with Artificial Intelligence....
Logistic Regression and Support Vector Machine algorithms, together with Linear and Non-Linear Deep Neural Networks, are applied to lending data in order to replicate lender acceptance of loans and...
View ArticleWeak Limits of Random Coefficient Autoregressive Processes and their...
We prove that a large class of discrete-time insurance surplus processes converge weakly to a generalized Ornstein-Uhlenbeck process, under a suitable re-normalization and when the time-step goes to 0....
View ArticleEmergence of multiplicity of time scales in the modeling of climate, matter,...
We address dfferences between characteristic times in climate change and show the universal emergence of multiple time scales in material sciences, biomedicine and economics.
View ArticleMarkovian lifts of positive semidefinite affine Volterra type processes....
We consider stochastic partial differential equations appearing as Markovian lifts of matrix valued (affine) Volterra type processes from the point of view of the generalized Feller property (see e.g.,...
View ArticleElection predictions are arbitrage-free: response to Taleb....
Taleb (2018) claimed a novel approach to evaluating the quality of probabilistic election forecasts via no-arbitrage pricing techniques and argued that popular forecasts of the 2016 U.S. Presidential...
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