Wavelet-based methods for high-frequency lead-lag analysis....
We propose a novel framework to investigate lead-lag relationships between two financial assets. Our framework bridges a gap between continuous-time modeling based on Brownian motion and the existing...
View ArticleA Multifaceted Panel Data Gravity Model Analysis of Peru's Foreign Trade....
Peru's abundant natural resources and friendly trade policies has made the country a major economic player in both South America and the global community. Consequently, exports are playing an...
View ArticleA Model of Synchronization for Self-Organized Crowding Behavior....
This paper proposes a general model for synchronized crowding behavior. An order parameter is introduced to quantify the level of synchronization which is shown a function of percentage of agents in...
View ArticleLong-Term Growth Rate of Expected Utility for Leveraged ETFs: Martingale...
This paper studies the long-term growth rate of expected utility from holding a leveraged exchanged-traded fund (LETF), which is a constant proportion portfolio of the reference asset. Working with the...
View ArticleHow many market makers does a market need?. (arXiv:1612.00981v1 [q-fin.MF])
We consider a simple model for the evolution of a limit order book in which limit orders of unit size arrive according to independent Poisson processes. The frequency of buy limit orders below a given...
View ArticleMulti-Purpose Binomial Model: Fitting all Moments to the Underlying Geometric...
We construct a binomial tree model fitting all moments to the approximated geometric Brownian motion. Our construction generalizes the classical Cox-Ross-Rubinstein, the Jarrow-Rudd, and the Tian...
View ArticleStability of calibration procedures: fractals in the Black-Scholes model....
Usually, in the Black-Scholes pricing theory the volatility is a positive real parameter. Here we explore what happens if it is allowed to be a complex number. The function for pricing a European...
View ArticleUniversal Exponential Structure of Income Inequality: Evidence from 60...
Economic competition between humans leads to income inequality, but, so far, there has been little understanding of underlying quantitative mechanisms governing such a collective behavior. We analyze...
View ArticleGame options with gradual exercise and cancellation under proportional...
Game (Israeli) options in a multi-asset market model with proportional transaction costs are studied in the case when the buyer is allowed to exercise the option and the seller has the right to cancel...
View ArticleFinancial market with no riskless (safe) asset. (arXiv:1612.02112v1 [q-fin.MF])
We study markets with no riskless (safe) asset. We derive the corresponding Black-Scholes-Merton option pricing equations for markets where there are only risky assets which have the following price...
View ArticleImpossible Inference in Econometrics: Theory and Applications to Regression...
This paper presents necessary and sufficient conditions for tests to have trivial power. By inverting these impractical tests, we demonstrate that the bounded confidence regions have error probability...
View ArticleEvaluating the Performance of ANN Prediction System at Shanghai Stock Market...
This research evaluates the performance of an Artificial Neural Network based prediction system that was employed on the Shanghai Stock Exchange for the period 21-Sep-2016 to 11-Oct-2016. It is a...
View ArticleThe distribution dynamics of Carbon Dioxide Emission intensity across Chinese...
This paper examines the distribution dynamics of carbon dioxide (CO2) emission intensity across 30 Chinese provinces using a weighted distribution dynamics approach. The results show that CO2 emission...
View ArticleHow do Chinese cities grow? A distribution dynamics approach....
This paper examines the dynamic behavior of city size using a distribution dynamics approach with Chinese city data for the period 1984-2010. Instead of convergence, divergence or paralleled growth,...
View ArticleThe demand for road transport in China: imposing theoretical regularity and...
Road transport sector is found to be one of the major emitters, and responsible for serious air pollution and huge pubic health losses. One important parameter for determining the consequences of...
View ArticleChina building energy consumption: definitions and measures from an...
There is an increasing awareness of the significance of Chinese building energy consumption(BEC). However, something worth discussing is that estimate the building energy consumption adopting the...
View ArticleAre Chinese transport policies effective? A new perspective from direct...
The air pollution has become a serious challenge in China. Emissions from motor vehicles have been found as one main source of air pollution. Although the Chinese government has taken numerous policies...
View ArticleOrder statistics of horse racing and the randomly broken stick....
We find a remarkable agreement between the statistics of a randomly divided interval and the observed statistical patterns and distributions found in horse racing betting markets. We compare the...
View ArticleOptimality of hybrid continuous and periodic barrier strategies in the dual...
Avanzi et al. (2016) recently studied the optimal dividend problem where dividends can be paid both periodically and continuously at different transaction costs. In the Brownian model with Poissonian...
View ArticleCommon Markets, Strong Currencies & the Collective Welfare....
The so called "globalization" process (i.e. the inexorable integration of markets, currencies, nation-states, technologies and the intensification of consciousness of the world as a whole) has a...
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