On the tail behavior of a class of multivariate conditionally heteroskedastic...
Conditions for geometric ergodicity of multivariate ARCH processes, with the so-called BEKK parametrization, are considered. We show for a class of BEKK-ARCH processes that the invariant distribution...
View ArticleMean-Reverting Portfolio Design with Budget Constraint. (arXiv:1701.05016v1...
This paper considers the mean-reverting portfolio design problem arising from statistical arbitrage in the financial markets. We first propose a general problem formulation aimed at finding a portfolio...
View ArticleThe Internet as Quantitative Social Science Platform: Insights from a...
With the large-scale penetration of the internet, for the first time, humanity has become linked by a single, open, communications platform. Harnessing this fact, we report insights arising from a...
View ArticleEconomics cannot isolate itself from political theory: a mathematical...
The purpose of this paper is to provide a confession of sorts from an economist to political science and philosophy. A confession of the weaknesses of the political position of the economist. It is...
View ArticleEconomic Growth Model with Constant Pace and Dynamic Memory....
The article discusses a generalization of model of economic growth with constant pace, which takes into account the effects of dynamic memory. Memory means that endogenous or exogenous variable at a...
View ArticleA Dual Method For Backward Stochastic Differential Equations with Application...
We propose a numerical recipe for risk evaluation defined by a backward stochastic differential equation. Using dual representation of the risk measure, we convert the risk valuation to a stochastic...
View ArticleTopology data analysis of critical transitions in financial networks....
We develop a topology data analysis-based method to detect early signs for critical transitions in financial data. From the time-series of multiple stock prices, we build time-dependent correlation...
View ArticleAsymptotic efficiency of the proportional compensation scheme for a large...
We consider a manager, who allocates some fixed total payment amount between $N$ rational agents in order to maximize the aggregate production. The profit of $i$-th agent is the difference between the...
View ArticleCalibration of a Four-Factor Hybrid Local-Stochastic Volatility Model with a...
We propose a novel and generic calibration technique for four-factor foreign-exchange hybrid local-stochastic volatility models with stochastic short rates. We build upon the particle method introduced...
View ArticleFatou Property, representations, and extensions of law-invariant risk...
We provide a variety of results for (quasi)convex, law-invariant functionals defined on a general Orlicz space, which extend well-known results in the setting of bounded random variables. First, we...
View ArticleMultichannel Contagion vs Stabilisation in Multiple Interconnected Financial...
The theory of multilayer networks is in its early stages, and its development provides powerful and vital methods for understanding complex systems. Multilayer networks, in their multiplex form, have...
View ArticleMonotone Martingale Transport Plans and Skorohod Embedding....
We show that the left-monotone martingale coupling is optimal for any given performance function satisfying the martingale version of the Spence-Mirrlees condition, without assuming additional...
View ArticleEconophysics Macroeconomic Model. (arXiv:1701.06625v1 [q-fin.EC])
This paper presents macroeconomic model that is based on parallels between macroeconomic multi-agent systems and multi-particle systems. We use risk ratings of economic agents as their coordinates on...
View ArticleRevenue Forecasting for Enterprise Products. (arXiv:1701.06624v1 [q-fin.GN])
For any business, planning is a continuous process, and typically business-owners focus on making both long-term planning aligned with a particular strategy as well as short-term planning that...
View ArticleSupply based on demand dynamical model. (arXiv:1701.07333v1 [q-fin.GN])
We propose and analyze numerically a simple dynamical model that describes the firm behaviors under uncertainty of demand forecast. Iterating this simple model and varying some parameters values we...
View ArticleLes produits Halal dans les {\'e}conomies occidentales. (arXiv:1701.07323v1...
In last years, we hear about halal products in non- Muslim societies including European and American ones. In France, for example, sales of halal products sold in stores during the year 2010, increased...
View ArticleHeterogeneity of the educational system: an introduction to the problem....
We analyze a heterogeneity of the educational system on the basis of one parameter: input grades of university students. We propose a mathematical model based on the construction of universities...
View ArticleAn analysis of potential conflict zones in the arctic region....
As a result of the climate change the situation in Arctic area leads to several important consequences. On the one hand, oil and gas resources can be exploited much easier than before. Thus, one can...
View ArticleResearch and Teaching Efficiencies of Turkish Universities with Heterogeneity...
The research and teaching efficiencies of 45 Turkish state universities are evaluated by using Multi-Activity Data Envelopment Analysis (MA-DEA) model developed by Beasley (1995). Universities are...
View ArticlePremium valuation for a multiple state model containing manifold premium-paid...
The aim of this contribution is to derive a general matrix formula for the net period premium paid in more than one state. For this purpose we propose to combine actuarial technics with the graph...
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