Day of the Week Effect in biotechnology stocks: An Application of the GARCH...
This study examines the presence of the day-of-the-week effect on daily returns of biotechnology stocks over a 16-year period from January 2002 to December 2015. Using daily returns from the NASDAQ...
View ArticleTime Series Copulas for Heteroskedastic Data. (arXiv:1701.07152v1 [stat.AP])
We propose parametric copulas that capture serial dependence in stationary heteroskedastic time series. We develop our copula for first order Markov series, and extend it to higher orders and...
View ArticlePredicting Auction Price of Vehicle License Plate with Deep Recurrent Neural...
In Chinese societies where superstition is of paramount importance, vehicle license plates with desirable numbers can fetch for very high prices in auctions. Unlike auctions of other valuable items,...
View ArticleAsset liquidation under drift uncertainty and regime-switching volatility....
Optimal liquidation of an asset with unknown constant drift and stochastic regime-switching volatility is studied. The uncertainty about the drift is represented by an arbitrary probability...
View ArticleDecision structure of risky choice. (arXiv:1701.08567v1 [q-fin.EC])
As we know, there is a controversy about the decision making under risk between economists and psychologists. We discuss to build a unified theory of risky choice, which would explain both of...
View ArticleComputing stable numerical solutions for multidimensional American option...
The matter of the stability for multi-asset American option pricing problems is a present remaining challenge. In this paper a general transformation of variables allows to remove cross derivative...
View ArticleArbitrage-Free Pricing Of Derivatives In Nonlinear Market Models....
The main objective is to study no-arbitrage pricing of financial derivatives in the presence of funding costs, the counterparty credit risk and market frictions affecting the trading mechanism, such as...
View ArticleComputing the aggregate loss distribution based on numerical inversion of the...
A non-parametric method for evaluation of the aggregate loss distribution (ALD) by combining and numerically inverting the empirical characteristic functions (CFs) is presented and illustrated. This...
View ArticleA stability result on optimal Skorokhod embedding. (arXiv:1701.08204v1...
Motivated by the model- independent pricing of derivatives calibrated to the real market, we consider an optimization problem similar to the optimal Skorokhod embedding problem, where the embedded...
View ArticleA taxonomy of learning dynamics in 2 x 2 games. (arXiv:1701.09043v1 [q-fin.EC])
Learning would be a convincing method to achieve coordination on a Nash Equilibrium (NE). But does learning converge, and to what? We answer this question in generic 2-player, 2-strategy games, using...
View ArticleAn Optimal Execution Problem in the Volume-Dependent Almgren-Chriss Model....
In this study, we introduce an explicit trading-volume process into the Almgren--Chriss model, which is a standard model for optimal execution. We propose a penalization method of deriving a...
View ArticleOn a class of path-dependent singular stochastic control problems....
This paper studies a class of non-Markovian singular stochastic control problems, for which we provide a novel probabilistic representation. The solution of such control problem is proved to identify...
View ArticleUnderstanding food inflation in India: A Machine Learning approach....
Over the past decade, the stellar growth of Indian economy has been challenged by persistently high levels of inflation, particularly in food prices. The primary reason behind this stubborn food...
View ArticleA confidence-based model for asset and derivative prices in the BitCoin...
We endorse the idea, suggested in recent literature, that BitCoin prices are influenced by sentiment and confidence about the underlying technology; as a consequence, an excitement about the BitCoin...
View ArticleThe valuation of European option with transaction costs by mixed fractional...
This paper deals with the problem of discrete-time option pricing by the mixed fractional version of Merton model with transaction costs. By a mean-self-financing delta hedging argument in a...
View ArticleZipf's law for share price and company fundamentals. (arXiv:1702.00144v1...
We statistically investigate the distribution of share price and the distributions of three common financial indicators using data from approximately 8,000 companies publicly listed worldwide for the...
View ArticleFractional delta hedging strategy for pricing currency options with...
This study deals with the problem of pricing European currency options in discrete time setting, whose prices follow the fractional Black Scholes model with transaction costs. Both the pricing formula...
View ArticleRecord statistics of a strongly correlated time series: random walks and...
We review recent advances on the record statistics of strongly correlated time series, whose entries denote the positions of a random walk or a L\'evy flight on a line. After a brief survey of the...
View ArticleInvariance times. (arXiv:1702.01045v1 [q-fin.CP])
On a probability space $(\Omega,\mathcal{A},\mathbb{Q})$ we consider two filtrations $\mathbb{F}\subset \mathbb{G}$ and a $\mathbb{G}$ stopping time $\theta$ such that the $\mathbb{G}$ predictable...
View ArticleEmergence of Distributed Coordination in the Kolkata Paise Restaurant Problem...
In this paper, we study a large-scale distributed coordination problem and propose efficient adaptive strategies to solve the problem. The basic problem is to allocate finite number of resources to...
View Article