Analyzing order flows in limit order books with ratios of Cox-type...
We introduce a Cox-type model for relative intensities of orders flows in a limit order book. The model assumes that all intensities share a common baseline intensity, which may for example represent...
View ArticleQuantum Algorithms for Portfolio Optimization. (arXiv:1908.08040v1 [math.OC])
We develop the first quantum algorithm for the constrained portfolio optimization problem. The algorithm has running time $\widetilde{O} \left( n\sqrt{r} \frac{\zeta \kappa}{\delta^2} \log...
View Article`Regression Anytime' with Brute-Force SVD Truncation. (arXiv:1908.08264v1...
We propose a new least-squares Monte Carlo algorithm for the approximation of conditional expectations in the presence of stochastic derivative weights. The algorithm can serve as a building block for...
View ArticleIntra-day Equity Price Prediction using Deep Learning as a Measure of Market...
In finance, the weak form of the Efficient Market Hypothesis asserts that historic stock price and volume data cannot inform predictions of future prices. In this paper we show that, to the contrary,...
View ArticleForecasting e-scooter competition with direct and access trips by mode and...
Given the lack of demand forecasting models for e-scooter sharing systems, we address this research gap using data from Portland, OR, and New York City. A log-log regression model is estimated for...
View ArticleImplementing result-based agri-environmental payments by means of modelling....
From a theoretical point of view, result-based agri-environmental payments are clearly preferable to action-based payments. However, they suffer from two major practical disadvantages: costs of...
View ArticleA lognormal type stochastic volatility model with quadratic drift....
This paper presents a novel one-factor stochastic volatility model where the instantaneous volatility of the asset log-return is a diffusion with a quadratic drift and a linear dispersion function. The...
View ArticleThe emergence of critical stocks in market crash. (arXiv:1908.07244v1...
In complex systems like financial market, risk tolerance of individuals is crucial for system resilience.The single-security price limit, designed as risk tolerance to protect investors by avoiding...
View ArticleDynamic Programming with State-Dependent Discounting. (arXiv:1908.08800v1...
This paper extends the core results of discrete time infinite horizon dynamic programming theory to the case of state-dependent discounting. The traditional constant-discount condition requires that...
View ArticleDeep Learning Volatility. (arXiv:1901.09647v2 [q-fin.MF] UPDATED)
We present a neural network based calibration method that performs the calibration task within a few milliseconds for the full implied volatility surface. The framework is consistently applicable...
View ArticleOn deep calibration of (rough) stochastic volatility models....
Techniques from deep learning play a more and more important role for the important task of calibration of financial models. The pioneering paper by Hernandez [Risk, 2017] was a catalyst for...
View ArticleA nonlinear optimisation model for constructing minimal drawdown portfolios....
In this paper we consider the problem of minimising drawdown in a portfolio of financial assets. Here drawdown represents the relative opportunity cost of the single best missed trading opportunity...
View ArticleGovernment Expenditure on Research Plans and their Diversity....
In this study, we consider research and development investment by the government. Our study is motivated by the bias in the budget allocation owing to the competitive funding system. In our model, each...
View ArticleHeterogeneous Earnings Effects of the Job Corps by Gender Earnings: A...
Several studies of the Job Corps tend to nd more positive earnings effects for males than for females. This effect heterogeneity favouring males contrasts with the results of the majority of other...
View ArticleEconomically rational sample-size choice and irreproducibility....
Several systematic studies have suggested that a large fraction of published research is not reproducible. One probable reason for low reproducibility is insufficient sample size, resulting in low...
View ArticleStrategic Insider Trading Equilibrium with a Non-fiduciary Market Maker....
The continuous-time version of Kyle's (1985) model is studied, in which market makers are not fiduciaries. They have some market power which they utilize to set the price to their advantage, resulting...
View ArticleSpatial pattern and city size distribution. (arXiv:1908.09706v1 [econ.GN])
Many large cities are found at locations with certain first nature advantages. Yet, those exogenous locational features may not be the most potent forces governing the spatial pattern of cities. In...
View ArticleRevenue Sharing in the Internet: A Moral Hazard Approach and a Net-neutrality...
Revenue sharing contracts between Content Providers (CPs) and Internet Service Providers (ISPs) can act as leverage for enhancing the infrastructure of the Internet. ISPs can be incentivized to make...
View ArticleA multi-factor polynomial framework for long-term electricity forwards with...
We propose a multi-factor polynomial framework to model and hedge long-term electricity contracts with delivery period. This framework has various advantages: the computation of forwards and...
View ArticleExpansion method for pricing foreign exchange options under stochastic...
Some expansion methods have been proposed for approximately pricing options which has no exact closed formula. Benhamou et al. (2010) presents the smart expansion method that directly expands the...
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