Does Trump's election victory divide US stock market into winners and...
Many analysts, who had anticipated a great market anxiety resulting in market-wide stock price losses over the event of a Trump presidential victory, remain puzzling through why the market rebounded...
View ArticleA Markovian Model of the Evolving World Input-Output Network....
Using the recently available World Input-Output Database, we modeled the evolving world economic network (from 1995 to 2011) with a series of time-homogeneous finite Markov chains. Next, we...
View ArticleOptimal Investment under Information Driven Contagious Distress....
We introduce a dynamic optimization framework to analyze optimal portfolio allocations within an information driven contagious distress model. The investor allocates his wealth across several stocks...
View ArticleCo-movements in financial fluctuations are anchored to economic fundamentals:...
We show that there exists an empirical linkage between nominal financial networks and the underlying economic fundamentals across countries. We construct the nominal return correlation networks from...
View ArticleInformation, Impact, Ignorance, Illegality, Investing, and Inequality....
We note a simple mechanism that may at least partially resolve several outstanding economic puzzles, including why the cyclically adjusted price to earnings ratio of the S&P 500 index has been...
View ArticleCurrency option pricing in the time-changed fractional Brownian motion under...
A new framework for pricing the European currency option is developed in the case where the spot exchange rate fellows a time-changed fractional Brownian motion. An analytic formula for pricing...
View ArticleThe Impact of Negative Interest Rates on Optimal Capital Injections....
In the present paper, we investigate the optimal capital injection behaviour of an insurance company if the interest rate is allowed to become negative. The surplus process of the considered insurance...
View ArticlePanel dataset description for econometric analysis of the ISP-OTT...
The latest technological advancements in the telecommunications domain (e.g., widespread adoption of mobile devices, introduction of 5G wireless communications, etc.) have brought new stakeholders into...
View ArticleQuantifying Retail Agglomeration using Diverse Spatial Data....
Newly available data on the spatial distribution of retail activities in cities makes it possible to build models formalized at the level of the single retailer. Current models tackle consumer location...
View ArticleLeverage and Uncertainty. (arXiv:1612.07194v1 [q-fin.RM])
Risk and uncertainty will always be a matter of experience, luck, skills, and modelling. Leverage is another concept, which is critical for the investor decisions and results. Adaptive skills and...
View ArticleConditional loss probabilities for systems of economic agents sharing...
We analyze systems of agents sharing light-tailed risky claims issued by different financial objects. Assuming exponentially distributed claims, we obtain that both agents' and system's losses follow...
View ArticleAnalytic solution to variance optimization with no short-selling....
A large portfolio of independent returns is optimized under the variance risk measure with a ban on short positions. The no-short selling constraint acts as an asymmetric $\ell_1$ regularizer, setting...
View ArticlePricing Derivatives in Hermite Markets. (arXiv:1612.07016v1 [q-fin.MF])
We introduce Hermite fractional financial markets, where market uncertainties are described by multidimensional Hermite motions. Hermite markets include as particular cases financial markets driven by...
View ArticleCross-impact and no-dynamic-arbitrage. (arXiv:1612.07742v1 [q-fin.TR])
We extend the "No-dynamic-arbitrage and market impact"-framework of Jim Gatheral [Quantitative Finance, 10(7): 749-759 (2010)] to the multi-dimensional case where trading in one asset has a...
View ArticlePointwise Arbitrage Pricing Theory in Discrete Time. (arXiv:1612.07618v1...
We develop a robust framework for pricing and hedging of derivative securities in discrete-time financial markets. We consider markets with both dynamically and statically traded assets and make...
View ArticleRating evaluation of sports development efficiency using statistical...
Increasing investments into various dimensions of sports draw a significant amount of attention to the way these resources are being managed and which organizations achieve development goals with...
View ArticleEconomic Accelerator with Memory: Discrete Time Approach. (arXiv:1612.07913v1...
Accelerators with power-law memory are proposed in the framework of the discrete time approach. To describe discrete accelerators we use the capital stock adjustment principle, which has been suggested...
View ArticleLong and Short Memory in Economics: Fractional-Order Difference and...
Long and short memory in economic processes is usually described by the so-called discrete fractional differencing and fractional integration. We prove that the discrete fractional differencing and...
View ArticleHow fast does the clock of Finance run? - A time-definition enforcing scale...
A symmetry-guided time redefinition may enhance and simplify analyses of historical series displaying recurrent patterns. Enforcing a simple-scaling symmetry with Hurst exponent 1/2 and the requirement...
View ArticleSpeculation and Power Law. (arXiv:1612.08705v1 [q-fin.ST])
It is now well established empirically that financial price changes are distributed according to a power law, with cubic exponent. This is a fascinating regularity, as it holds for various classes of...
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