Dynamic Optimal Portfolios for Multiple Co-Integrated Assets....
In this paper we construct and analyse a multi-asset model to be used for long-term statistical arbitrage strategies. A key feature of the model is that all assets have \textit{co-integration}, which,...
View ArticleGlobal Fixed Income Portfolios: A Macroeconomic Invariant Solution....
Global fixed income returns span across multiple maturities and economies, that is, they naturally reside on multi-dimensional data structures referred to as tensors. In contrast to standard...
View ArticleEvaluating Pest Management Strategies: A Robust Method and its Application to...
Farmers use pesticides to reduce yield losses. The efficacies of pesticide treatments are often evaluated by analyzing the average treatment effects and risks. The stochastic efficiency with respect to...
View ArticleStochastic ordering of Gini indexes for multivariate elliptical random...
In this paper, we establish the stochastic ordering of the Gini indexes for multivariate elliptical risks which generalized the corresponding results for multivariate normal risks. It is shown that...
View ArticleAlphaStock: A Buying-Winners-and-Selling-Losers Investment Strategy using...
Recent years have witnessed the successful marriage of finance innovations and AI techniques in various finance applications including quantitative trading (QT). Despite great research efforts devoted...
View ArticleAnti-Money Laundering in Bitcoin: Experimenting with Graph Convolutional...
Anti-money laundering (AML) regulations play a critical role in safeguarding financial systems, but bear high costs for institutions and drive financial exclusion for those on the socioeconomic and...
View ArticleQuantile-Frequency Analysis and Spectral Divergence Metrics for Diagnostic...
Nonlinear dynamic volatility has been observed in many financial time series. The recently proposed quantile periodogram offers an alternative way to examine this phenomena in the frequency domain. The...
View ArticleReview of the Plan for Integrating Big Data Analytics Program for the...
This research aims to explore business processes and what the factors have major influence on electronic marketing and CRM systems? Which data needs to be analyzed and integrated in the system, and how...
View ArticleOption Pricing Under Power Laws: A Robust Heuristic. (arXiv:1908.02347v1...
We build a heuristic that takes a given option price in the tails with strike K and extends (for calls, all strikes > K, for put all strikes < K) assuming the continuation falls into what we...
View ArticleFast Pricing of Energy Derivatives with Mean-reverting Jump Processes....
The law of a mean-reverting (Ornstein-Uhlenbeck) process driven by a compound Poisson with exponential jumps is investigated in the context of the energy derivatives pricing. The said distribution...
View ArticleAnomalous diffusions in option prices: connecting trade duration and the...
Anomalous diffusions arise as scaling limits of continuous-time random walks (CTRWs) whose innovation times are distributed according to a power law. The impact of a non-exponential waiting time does...
View ArticleAn instantaneous market volatility estimation. (arXiv:1908.02847v1 [q-fin.TR])
Working on different aspects of algorithmic trading we empirically discovered a new market invariant. It links together the volatility of the instrument with its traded volume, the average spread and...
View ArticleNoncooperative dynamics in election interference. (arXiv:1908.02793v1...
Foreign power interference in domestic elections is an age-old, existential threat to societies. Manifested through myriad methods from war to words, such interference is a timely example of strategic...
View ArticleSolving high-dimensional optimal stopping problems using deep learning....
Nowadays many financial derivatives which are traded on stock and futures exchanges, such as American or Bermudan options, are of early exercise type. Often the pricing of early exercise options gives...
View ArticleLinkages and systemic risk in the European insurance sector: Some new...
This paper is part of the research on the interlinkages between insurers and their contribution to systemic risk on the insurance market. Its main purpose is to present the results of the analysis of...
View ArticleOrdinal Tax To Sustain a Digital Economy. (arXiv:1908.03287v1 [econ.GN])
Recently, the French Senate approved a law that imposes a 3% tax on revenue generated from digital services by companies above a certain size. While there is a lot of political debate about economic...
View ArticleLatency and Liquidity Risk. (arXiv:1908.03281v1 [q-fin.TR])
Latency (i.e., time delay) in electronic markets affects the efficacy of liquidity taking strategies. During the time liquidity takers process information and send marketable limit orders (MLOs) to the...
View ArticleOn the Compound Beta-Binomial Risk Model with Delayed Claims and Randomized...
In this paper, we propose the discrete time Compound Beta-Binomial Risk Model with by-claims, delayed by-claims and randomized dividends. We then analyze the Gerber-Shiu function for the cases where...
View ArticleManaging the Complexity of Processing Financial Data at Scale -- an...
Financial markets are extremely data-driven and regulated. Participants rely on notifications about significant events and background information that meet their requirements regarding timeliness,...
View ArticleFighting Uncertainty with Uncertainty: Time Value of Knowledge and the Net...
We formulate one methodology to put a value or price on knowledge, using well accepted techniques from finance. We then apply this valuation to the decision problem of selecting papers for publication...
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