Maximum Entropy, the Collective Welfare Principle and the Globalization...
Although both systems analyzed are described through two theories apparently different (quantum mechanics and game theory) it is shown that both are analogous and thus exactly equivalents. The quantum...
View ArticleQuantum Econophysics. (arXiv:physics/0609245v3 [physics.soc-ph] UPDATED)
The relationships between game theory and quantum mechanics let us propose certain quantization relationships through which we could describe and understand not only quantum but also classical,...
View ArticleThe Why of the Applicability of Statistical Physics to Economics....
We analyze the relationships between game theory and quantum mechanics and the extensions to statistical physics and information theory. We use certain quantization relationships to assign quantum...
View ArticleParameter uncertainty and reserve risk under Solvency II. (arXiv:1612.03066v1...
In this article we consider the parameter risk in the context of internal modelling of the reserve risk under Solvency II. read more...
View ArticleEarly exercise decision in American options with dividends, stochastic...
Using a fast numerical technique, we investigate a large database of investor suboptimal non-exercise of short maturity American call options on dividend-paying stocks listed on the Dow Jones. The...
View ArticleRisk averse fractional trading using the current drawdown....
In this paper the fractional trading ansatz of money management is reconsidered with special attention to chance and risk parts in the goal function of the related optimization problem. By changing the...
View ArticleFractal Optimization of Market Neutral Portfolio. (arXiv:1612.03698v1...
A fractal approach to the long-short portfolio optimization is proposed. The algorithmic system based on the composition of market-neutral spreads into a single entity has been considered. The core of...
View ArticleThe hierarchical generalized linear model and the bootstrap estimator of the...
This paper presents the hierarchical generalized linear model (HGLM) for loss reserving in a non-life insurance company. Because in this case the error of prediction is expressed by a complex...
View ArticleOptimal Kernel Estimation of Spot Volatility of Stochastic Differential...
Kernel Estimation is one of the most widely used estimation methods in non-parametric Statistics, having a wide-range of applications, including spot volatility estimation of stochastic processes. The...
View ArticleDynamic Convex Duality in Constrained Utility Maximization....
In this paper, we study a constrained utility maximization problem following the convex duality approach. After formulating the primal and dual problems, we construct the necessary and sufficient...
View ArticleS&P500 Forecasting and Trading using Convolution Analysis of Major Asset...
By monitoring the time evolution of the most liquid Futures contracts traded globally as acquired using the Bloomberg API from 03 January 2000 until 15 December 2014 we were able to forecast the...
View ArticleStylized Facts and Simulating Long Range Financial Data. (arXiv:1612.05229v1...
We propose a new method (implemented in an R-program) to simulate long-range daily stock-price data. The program reproduces various stylized facts much better than various parametric models from the...
View ArticleEuropean banking supervision, the role of stress test. Some brief...
A quick review of European financial stability institutions and the role of stress tests in the current juridical system.
View ArticlePredictability Hidden by Anomalous Observations. (arXiv:1612.05072v1 [q-fin.ST])
Testing procedures for predictive regressions with lagged autoregressive variables imply a suboptimal inference in presence of small violations of ideal assumptions. We propose a novel testing...
View ArticleDynamic Modeling of Price Responsive Demand in Real-time Electricity Market:...
In this paper, we study the price responsiveness of electricity consumption from empirical commercial and industrial load data obtained from Texas. Employing a dynamical system perspective, we show...
View ArticleA diagnostic criterion for approximate factor structure. (arXiv:1612.04990v1...
We build a simple diagnostic criterion for approximate factor structure in large cross-sectional equity datasets. Given a model for asset returns with observable factors, the criterion checks whether...
View ArticleExtreme prices in electricity balancing markets from an approach of...
An increase in energy production from renewable energy sources is viewed as a crucial achievement in most industrialized countries. read more...
View ArticleStratified regression-based variance reduction approach for weak...
In this paper we suggest a modification of the regression-based variance reduction approach recently proposed in Belomestny et al. This modification is based on the stratification technique and allows...
View ArticleThe Topology of Inter-industry Relations from the Portuguese National...
In last years, the Portuguese economy has gone through a severe adjustment process, affecting almost all industrial sectors, the building blocks of economic structures. Research on economic structural...
View ArticleThe Blockchain: A Gentle Four Page Introduction. (arXiv:1612.06244v1 [q-fin.GN])
Blockchain is a distributed database that keeps a chronologically-growing list (chain) of records (blocks) secure from tampering and revision. While computerisation has changed the nature of a ledger...
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