Crisis' Heritage Management - New Business Opportunities Out of the Financial...
This paper intends to present the opportunities emerging for the national economy, out of the financial crisis. In particular the management of those, which arise from the commercial real estate owned...
View ArticleA Proposal to Extend Expected Utility in a Quantum Probabilistic Framework....
Expected utility theory (EUT) is widely used in economic theory. However, its subjective probability formulation, first elaborated by Savage, is linked to Ellsberg-like paradoxes and ambiguity...
View ArticleBayesian Semi-parametric Realized-CARE Models for Tail Risk Forecasting...
A new model framework called Realized Conditional Autoregressive Expectile (Realized-CARE) is proposed, through incorporating a measurement equation into the conventional CARE model, in a manner...
View ArticleUnderstanding the Impacts of Dark Pools on Price Discovery....
This paper investigates the impact of dark pools on price discovery (the efficiency of prices on stock exchanges to aggregate information). Assets are traded in either an exchange or a dark pool, with...
View ArticleA Generalized Population Dynamics Model of a City and an Algorithm for...
Measures of wealth and production have been found to scale superlinearly with the population of a city. Therefore, it makes economic sense for humans to congregate together in dense settlements. A...
View ArticleThe prevalence of chaotic dynamics in games with many players....
We study adaptive learning in a typical p-player game. The payoffs of the games are randomly generated and then held fixed. The strategies of the players evolve through time as the players learn. The...
View ArticleMeasuring the temperature and diversity of the U.S. regulatory ecosystem....
Over the last 23 years, the U.S. Securities and Exchange Commission has required over 34,000 companies to file over 165,000 annual reports. These reports, the so-called "Form 10-Ks," contain a...
View ArticleGlobal economic dynamics of the forthcoming years. A forecast....
The paper analyzes the current state of the world economy and offers a short-term forecast of its development. Our analysis of log-periodic oscillations in the DJIA dynamics suggests that in the second...
View ArticleA Risk-Neutral Equilibrium Leading to Uncertain Volatility Pricing....
We study the formation of derivative prices in equilibrium between risk-neutral agents with heterogeneous beliefs about the dynamics of the underlying. Under the condition that the derivative cannot be...
View ArticlePopulation and trends in the global mean temperature. (arXiv:1612.09123v1...
The Fisher Ideal index, developed to measure price inflation, is applied to define a population-weighted temperature trend. This method has the advantages that the trend is representative for the...
View ArticlePointwise dual representation of dynamic convex expectations....
We fully characterize discrete-time dynamic convex expectations $(\mathcal{E}_t)$ with domain and range the upper semianalytic functions - in particular we work without a reference measure and do not...
View ArticleFractional Dynamics of Natural Growth and Memory Effect in Economics....
A generalization of the economic model of natural growth, which takes into account the power-law memory effect, is suggested. The memory effect means the dependence of the process not only on the...
View ArticlePricing of Asian-type and Basket Options via Upper and Lower Bounds....
This paper sets out to provide a general framework for the pricing of average-type options via lower and upper bounds. This class of options includes Asian, basket and options on the volume-weighted...
View ArticleA Theory of Experience Effects. (arXiv:1612.09553v1 [q-fin.EC])
How do financial crises and stock-market fluctuations affect investor behavior and the dynamics of financial markets in the long run? Recent evidence suggests that individuals overweight personal...
View ArticleThe Industry Supply Function and the Long-Run Competitive Equilibrium with...
The theory of long-run competitive equilibrium (LRCE), first developed by Marshall in the 1890s, has had a profound influence on our understanding of competitive markets. While Marshall referred to the...
View ArticleA spectral method for an Optimal Investment problem with Transaction Costs...
This paper concerns the numerical solution of the finite-horizon Optimal Investment problem with transaction costs under Potential Utility. The problem is initially posed in terms of an evolutive HJB...
View ArticleThe Random Walk behind Volatility Clustering. (arXiv:1612.09344v1 [q-fin.ST])
Financial price changes obey two universal properties: they follow a power law and they tend to be clustered in time. The second regularity, known as volatility clustering, entails some predictability...
View ArticleMultinomial method for option pricing under Variance Gamma....
This paper presents a multinomial method for option pricing when the underlying asset follows an exponential Variance Gamma process. The continuous time Variance Gamma process is approximated by a...
View ArticleNumerical analysis of an extended structural default model with mutual...
We consider a structural default model in an interconnected banking network as in Lipton [International Journal of Theoretical and Applied Finance, 19(6), 2016], with mutual obligations between each...
View ArticleNet Stable Funding Ratio: Impact on Funding Value Adjustment....
In this paper we investigate the relationship between Funding Value Adjustment (FVA) and Net Stable Funding Ratio (NSFR). FVA is defined in a consistent way with NSFR such that the new framework of FVA...
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