Emergent organization in a model market. (arXiv:1608.03521v1 [q-fin.GN])
We study the collective behavior of interacting agents in a simple model of market economics originally introduced by N{\o}rrelykke and Bak. A general theoretical framework for interacting traders on...
View ArticleA Gaussian Markov alternative to fractional Brownian motion for pricing...
Replacing Black-Scholes' driving process, Brownian motion, with fractional Brownian motion allows for incorporation of a past dependency of stock prices but faces a few major downfalls, including the...
View ArticleSome Contributions to Sequential Monte Carlo Methods for Option Pricing....
Pricing options is an important problem in financial engineering. In many scenarios of practical interest, financial option prices associated to an underlying asset reduces to computing an expectation...
View ArticleA General Framework for Pairs Trading with a Control-Theoretic Point of View....
Pairs trading is a market-neutral strategy that exploits historical correlation between stocks to achieve statistical arbitrage. Existing pairs-trading algorithms in the literature require rather...
View ArticleA stochastic Stefan-type problem under first order boundary conditions....
Moving boundary problems allow to model systems with phase transition at an inner boundary. Driven by problems in economics and finance, in particular modeling of limit order books, we consider a...
View ArticleProperty bubble in Hong Kong: A predicted decade-long slump (2016-2025)....
Between 2003 and 2015 the prices of apartments in Hong Kong (adjusted for inflation) increased by a factor of 3.8. This is much higher than in the United States prior to the so-called subprime crisis...
View ArticleA Penny Saved is a Penny Earned: Less Expensive Zero Coupon Bonds....
This paper introduces a more general modeling world than available under the classical no-arbitrage paradigm in finance. New research questions and interesting related econometric studies emerge...
View ArticleOptimal importance sampling for L\'evy Processes. (arXiv:1608.04621v1...
We develop generic and efficient importance sampling estimators for Monte Carlo evaluation of prices of single- and multi-asset European and path-dependent options in asset price models driven by...
View ArticleRank-optimal weighting or "How to be best in the OECD Better Life...
We present a method of rank-optimal weighting which can be used to explore the best possible position of a subject in a ranking based on a composite indicator by means of a mathematical optimization...
View ArticleTiming in the Presence of Directional Predictability: Optimal Stopping of...
We investigate a class of optimal stopping problems arising in, for example, studies considering the timing of an irreversible investment when the underlying follows a skew Brownian motion. Our results...
View ArticleMaximizing and Minimizing Investment Concentration with Constraints of Budget...
In this paper, as a first step in examining the properties of a feasible portfolio subset that is characterized by budget and risk constraints, we assess the maximum and minimum of the investment...
View ArticleTime-scale effects on the gain-loss asymmetry in stock indices....
The gain-loss asymmetry, observed in the inverse statistics of stock indices is present for logarithmic return levels that are over $2\%$, and it is the result of the non-Pearson type auto-correlations...
View ArticleGeneral Semi-Markov Model for Limit Order Books: Theory, Implementation and...
The paper considers a general semi-Markov model for Limit Order Books with two states, which incorporates price changes that are not fixed to one tick. Furthermore, we introduce an even more general...
View ArticleElectoral Stability and Rigidity. (arXiv:1608.05038v1 [q-fin.EC])
Some argue that political stability is best served through a two-party system. This study refutes this. The author mathematically defines the stability and rigidity of electoral systems comprised of...
View ArticleRisk reduction and Diversification within Markowitz's Mean-Variance Model:...
The conventional wisdom of mean-variance (MV) portfolio theory asserts that the nature of the relationship between risk and diversification is a decreasing asymptotic function, with the asymptote...
View ArticleBayesian Posteriors For Arbitrarily Rare Events. (arXiv:1608.05002v1 [math.ST])
Each period, either a blue die or a red die is tossed. The two dice land on side \bar{k} with unknown probabilities $p_{\bar{k}}$ and $q_{\bar{k}}$, which can be arbitrarily low. Given a...
View ArticleMonetary economics from econophysics perspective. (arXiv:1608.04832v1...
This is an invited article for the Discussion and Debate special issue of The European Physical Journal Special Topics on the subject "Can Economics Be a Physical Science?" The first part of the paper...
View ArticleA Semi-Analytic Approach To Valuing Auto-Callable Accrual Notes....
We develop a semi-analytic approach to the valuation of auto-callable structures with accrual features subject to barrier conditions. Our approach is based on recent studies of multi-assed binaries,...
View ArticleFilling the gaps smoothly. (arXiv:1608.05145v1 [q-fin.CP])
The calibration of a local volatility models to a given set of option prices is a classical problem of mathematical finance. It was considered in multiple papers where various solutions were proposed....
View ArticlePoverty Index With Time Varying Consumption and Income Distributions....
In a recent work (Chattopadhyay, A. K. et al, Europhys. Lett. {\bf 91}, 58003, 2010) based on food consumption statistics, we showed how a stochastic agent based model could represent the time...
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