A model-free backward and forward nonlinear PDEs for implied volatility....
We derive a backward and forward nonlinear PDEs that govern the implied volatility of a contingent claim whenever the latter is well-defined. This would include at least any contingent claim written on...
View ArticleSelf Organizing Supply Chains for Micro-Prediction: Present and Future uses...
A multi-agent system is trialed as a means of crowd-sourcing inexpensive but high quality streams of predictions. Each agent is a microservice embodying statistical models and endowed with economic...
View ArticleBrownian bridge with random length and pinning point for modelling of...
Developed countries are increasingly relying on gas storage to ensure security of supply. In this article we consider an approach to gas storage valuation in which the information about the time at...
View ArticlePowershare Mechanics. (arXiv:1907.07975v1 [econ.GN])
This paper proposes the governance framework of a gamified social network for charity crowdfunding fueled by public computing. It introduces optimal scarce resource allocation model, technological...
View ArticleBehavioural Macroeconomic Policy: New perspectives on time inconsistency....
This paper brings together divergent approaches to time inconsistency from macroeconomic policy and behavioural economics. Behavioural discount functions from behavioural microeconomics are embedded...
View ArticleRisk-dependent centrality in economic and financial networks....
Node centrality is one of the most important and widely used concepts in the study of complex networks. Here, we extend the paradigm of node centrality in financial and economic networks to consider...
View ArticleFormal verification of trading in financial markets. (arXiv:1907.07885v1...
We introduce a formal framework for analyzing trades in financial markets. An exchange is where multiple buyers and sellers participate to trade. These days, all big exchanges use computer algorithms...
View ArticleL\'evy-Ito Models in Finance. (arXiv:1907.08499v1 [q-fin.MF])
We propose a class of financial models in which the prices of assets are L\'evy-Ito processes driven by Brownian motion and a dynamic Poisson random measure. Each such model consists of a pricing...
View ArticleAnticipated impacts of Brexit scenarios on UK food prices using structured...
Introduction: Food insecurity has been associated with increased risk for several health conditions and poor management of chronic disease. Key determinants for household food insecurity are income and...
View ArticleHeterogeneous Impact of the Minimum Wage: Implications for Changes in...
Workers who earn at or below the minimum wage in the United States are mostly either less educated, young, or female. Little is known, however, concerning the extent to which the minimum wage...
View ArticleStochastic Spread Pairs Trading in the Indian Commodity Market....
In this study, we applied a stochastic spread pairs trading strategy on the Indian commodity market. The complete set of commodities were taken whose spot price was available for the period of January...
View ArticleA Model of the Optimal Selection of Crypto Assets. (arXiv:1906.09632v1...
We propose a modelling framework for the optimal selection of crypto assets. Crypto assets differ by two essential features: security (technological) and stability (governance). Investors make choices...
View ArticleThe Size Effect Revisited. (arXiv:1907.08911v1 [q-fin.ST])
We compare performance of US stocks based on their size (market capitalization). We regress alpha and beta over size and other factors for individual stocks in Standard & Poor 500, for randomly...
View ArticleMid-price Prediction Based on Machine Learning Methods with Technical and...
Stock price prediction is a challenging task, but machine learning methods have recently been used successfully for this purpose. In this paper, we extract over 270 hand-crafted features (factors)...
View ArticleGeneralized statistical arbitrage concepts and related gain strategies....
Generalized statistical arbitrage concepts are introduced corresponding to trading strategies which yield positive gains on average in a class of scenarios rather than almost surely. The relevant...
View ArticleConsistent upper price bounds for exotic options given a finite number of...
We consider the problem of finding a consistent upper price bound for exotic options whose payoff depends on the stock price at two different predetermined time points (e.g. Asian option), given a...
View ArticleThe Impact of Execution Delay on Kelly-Based Stock Trading: High-Frequency...
Stock trading based on Kelly's celebrated Expected Logarithmic Growth (ELG) criterion, a well-known prescription for optimal resource allocation, has received considerable attention in the literature....
View ArticleOn occupation times in the red of L\'evy risk models. (arXiv:1903.03721v2...
In this paper, we obtain analytical expression for the distribution of the occupation time in the red (below level $0$) up to an (independent) exponential horizon for spectrally negative L\'{e}vy risk...
View ArticleDiscrete dividend payments in continuous time. (arXiv:1805.05077v2 [math.OC]...
We propose a model in which dividend payments occur at regular, deterministic intervals in an otherwise continuous model. This contrasts traditional models where either the payment of continuous...
View ArticleTrading via Image Classification. (arXiv:1907.10046v1 [cs.CV])
The art of systematic financial trading evolved with an array of approaches, ranging from simple strategies to complex algorithms all relying, primary, on aspects of time-series analysis. Recently,...
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