Value adjustments and dynamic hedging of reinsurance counterparty risk....
Reinsurance counterparty credit risk (RCCR) is the risk of a loss arising from the fact that a reinsurance company is unable to fulfill her contractual obligations towards the ceding insurer. RCCR is...
View ArticleEmpirical investigation of state-of-the-art mean reversion strategies for...
Recent studies have shown that online portfolio selection strategies that exploit the mean reversion property can achieve excess return from equity markets. This paper empirically investigates the...
View ArticleTaxing dissent: The impact of a social media tax in Uganda....
We examine the impact of a new tool for suppressing the expression of dissent---a daily tax on social media use. Using a synthetic control framework, we estimate that the tax reduced the number of...
View ArticleValidating Weak-form Market Efficiency in United States Stock Markets with...
The Efficient Market Hypothesis has been a staple of economics research for decades. In particular, weak-form market efficiency -- the notion that past prices cannot predict future performance -- is...
View Article'Continuous' Time Random Walk in Continuous Time Random Walk.The crucial role...
We are introducing the new family of the Continuous Time Random Walks (CTRW) with long-term memory within consecutive waiting times. This memory is introduced to the model by the assumption that...
View ArticleDirect and Indirect Effects based on Changes-in-Changes. (arXiv:1909.04981v1...
We propose a novel approach for causal mediation analysis based on changes-in-changes assumptions restricting unobserved heterogeneity over time. This allows disentangling the causal effect of a binary...
View ArticleEstimating the volatility of Bitcoin using GARCH models. (arXiv:1909.04903v1...
In this paper, an application of three GARCH-type models (sGARCH, iGARCH, and tGARCH) with Student t-distribution, Generalized Error distribution (GED), and Normal Inverse Gaussian (NIG) distribution...
View ArticleBayesian Inference on Volatility in the Presence of Infinite Jump Activity...
Volatility estimation based on high-frequency data is key to accurately measure and control the risk of financial assets. A L\'{e}vy process with infinite jump activity and microstructure noise is...
View ArticleLinear Equilibria for Dynamic LQG Games with Asymmetric Information and...
We consider a non-zero-sum linear quadratic Gaussian (LQG) dynamic game with asymmetric information. Each player observes privately a noisy version of a (hidden) state of the world $V$, resulting in...
View ArticleDistorted stochastic dominance: a generalized family of stochastic orders....
We study a generalized family of stochastic orders, semiparametrized by a distortion function H, namely H-distorted stochastic dominance, which may determine a continuum of dominance relations from the...
View ArticleModelling election dynamics and the impact of disinformation....
Complex dynamical systems driven by the unravelling of information can be modelled effectively by treating the underlying flow of information as the model input. Complicated dynamical behaviour of the...
View ArticleWeak comonotonicity. (arXiv:1812.04827v2 [q-fin.RM] UPDATED)
The classical notion of comonotonicity has played a pivotal role when solving diverse problems in economics, finance, and insurance. In various practical problems, however, this notion of extreme...
View ArticleMortality rate forecasting: can recurrent neural networks beat the Lee-Carter...
This article applies a long short-term memory recurrent neural network to mortality rate forecasting. The model can be trained jointly on the mortality rate history of different countries, ages, and...
View ArticlePricing Reliability Options under different electricity prices' regimes....
Reliability Options are capacity remuneration mechanisms aimed at enhancing security of supply in electricity systems. They can be framed as call options on electricity sold by power producers to...
View ArticleThe Emergence of Innovation Complexity at Different Geographical and...
We define a novel quantitative strategy inspired by the ecological notion of nestedness to single out the scale at which innovation complexity emerges from the aggregation of specialized building...
View ArticleA new concept of technology with systemic-purposeful perpsective: theory,...
Although definitions of technology exist to explain the patterns of technological innovations, there is no general definition that explain the role of technology for humans and other animal species in...
View ArticleDeep Prediction of Investor Interest: a Supervised Clustering Approach....
We propose a novel deep learning architecture suitable for the prediction of investor interest for a given asset in a given timeframe. This architecture performs both investor clustering and modelling...
View ArticleOptimal investment and contingent claim valuation with exponential disutility...
We consider indifference pricing of contingent claims consisting of payment flows in a discrete time model with proportional transaction costs and under exponential disutility. This setting covers...
View ArticleShallow Self-Learning for Reject Inference in Credit Scoring....
Credit scoring models support loan approval decisions in the financial services industry. Lenders train these models on data from previously granted credit applications, where the borrowers' repayment...
View ArticleGeneralized Duality for Model-Free Superhedging given Marginals....
In a discrete-time financial market, a generalized duality is established for model-free superhedging, given marginal distributions of the underlying asset. Contrary to prior studies, we do not require...
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