Common Decomposition of Correlated Brownian Motions and its Financial...
In this paper, we develop a theory of common decomposition for two correlated Brownian motions, in which, by using change of time method, the correlated Brownian motions are represented by a triple of...
View ArticleAn alternative approach on the existence of affine realizations for HJM term...
We propose an alternative approach on the existence of affine realizations for HJM interest rate models. It is applicable to a wide class of models, and simultaneously it is conceptually rather...
View ArticleIdentification of short-term and long-term time scales in stock markets and...
The paper presents the comparative study of the nature of stock markets in short-term and long-term time scales with and without structural break in the stock data. Structural break point has been...
View ArticleDynamic Mean-Variance Portfolio Optimisation. (arXiv:1907.03093v1 [q-fin.PM])
The portfolio optimisation problem, first raised by Harry Markowitz in 1952, has been a fundamental and central topic to understanding the stock market and making decisions. There has been plenty of...
View ArticleSystemic Optimal Risk Transfer Equilibrium. (arXiv:1907.04257v1 [q-fin.MF])
We propose a novel concept of a Systemic Optimal Risk Transfer Equilibrium (SORTE), which is inspired by the B\"uhlmann's classical notion of an Equilibrium Risk Exchange. We provide sufficient...
View ArticleA Multifractal Analysis of Asian Foreign Exchange Markets. (arXiv:0801.1475v2...
We analyze the multifractal spectra of daily foreign exchange rates for Japan, Hong-Kong, Korea, and Thailand with respect to the United States Dollar from 1991 to 2005. We find that the return time...
View ArticleTax- and expense-modified risk-minimization for insurance payment processes....
We study the problem of determining risk-minimizing investment strategies for insurance payment processes in the presence of taxes and expenses. We consider the situation where taxes and expenses are...
View ArticleA Class of Solvable Multidimensional Stopping Problems in the Presence of...
We investigate the impact of Knightian uncertainty on the optimal timing policy of an ambiguity averse decision maker in the case where the underlying factor dynamics follow a multidimensional Brownian...
View ArticleNonlinear price dynamics of S&P 100 stocks. (arXiv:1907.04422v1 [q-fin.GN])
The methodology presented provides a quantitative way to characterize investor behavior and price dynamics within a particular asset class and time period. The methodology is applied to a data set...
View ArticleRelationships between different Macroeconomic Variables using VECM....
Through this paper, an attempt has been made to quantify the underlying relationships between the leading macroeconomic indicators. More clearly, an effort has been made in this paper to assess the...
View ArticleDeep Reinforcement Learning in Financial Markets. (arXiv:1907.04373v1...
In this paper we explore the usage of deep reinforcement learning algorithms to automatically generate consistently profitable, robust, uncorrelated trading signals in any general financial market. In...
View ArticleAdaptive Pricing in Insurance: Generalized Linear Models and Gaussian Process...
We study the application of dynamic pricing to insurance. We view this as an online revenue management problem where the insurance company looks to set prices to optimize the long-run revenue from...
View ArticleMathematical Analysis of Dynamic Risk Default in Microfinance....
In this work we will develop a new approach to solve the non repayment problem in microfinance due to the problem of asymmetric information. This approach is based on modeling and simulation of...
View ArticleDistributions of Historic Market Data -- Relaxation and Correlations....
We show that, for a class of mean-reverting models, the correlation function of stochastic variance (squared volatility) contains only one -- relaxation -- parameter. We generalize and simplify the...
View ArticleExponential stock models driven by tempered stable processes....
We investigate exponential stock models driven by tempered stable processes, which constitute a rich family of purely discontinuous L\'{e}vy processes. With a view of option pricing, we provide a...
View ArticleTempered stable distributions and processes. (arXiv:1907.05141v1 [math.PR])
We investigate the class of tempered stable distributions and their associated processes. Our analysis of tempered stable distributions includes limit distributions, parameter estimation and the study...
View ArticleReal-world forward rate dynamics with affine realizations....
We investigate the existence of affine realizations for L\'{e}vy driven interest rate term structure models under the real-world probability measure, which so far has only been studied under an assumed...
View ArticleA global economic policy uncertainty index from principal component analysis....
This paper constructs a global economic policy uncertainty index through the principal component analysis of the economic policy uncertainty indices for twenty primary economies around the world. We...
View ArticleStatistical mechanics of time series. (arXiv:1907.04925v1 [q-fin.ST])
Countless natural and social multivariate systems are studied through sets of simultaneous and time-spaced measurements of the observables that drive their dynamics, i.e., through sets of time series....
View ArticleArtificial Intelligence Alter Egos: Who benefits from Robo-investing?....
Artificial intelligence, or AI, enhancements are increasingly shaping our daily lives. Financial decision-making is no exception to this. We introduce the notion of AI Alter Egos, which are shadow...
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