Estimation of Risk Contributions with MCMC. (arXiv:1702.03098v1 [q-fin.RM])
Determining risk contributions by unit exposures to portfolio-wide economic capital is an important task in financial risk management. Despite its practical demands, computation of risk contributions...
View ArticleTrading Lightly: Cross-Impact and Optimal Portfolio Execution....
We model the impact costs of a strategy that trades a basket of correlated instruments, by extending to the multivariate case the linear propagator model previously used for single instruments. Our...
View ArticleShort Maturity Asian Options for the CEV Model. (arXiv:1702.03382v1 [q-fin.PR])
We present a rigorous study of the short maturity asymptotics for Asian options with continuous-time averaging, under the assumption that the underlying asset follows the Constant Elasticity of...
View ArticleA Theory of Market Efficiency. (arXiv:1702.03290v1 [q-fin.EC])
We introduce a mathematical theory called market connectivity that gives concrete ways to both measure the efficiency of markets and find inefficiencies in large markets. The theory leads to new...
View ArticleRegularities and Irregularities in Order Flow Data. (arXiv:1702.04289v1...
We identify and analyze statistical regularities and irregularities in the recent order flow of different NASDAQ stocks, focusing on the positions where orders are placed in the orderbook. This...
View ArticleContagion in financial systems: A Bayesian network approach....
We develop a structural default model for interconnected financial institutions in a probabilistic framework. For all possible network structures we characterize the joint default distribution of the...
View ArticlePricing Non-cash Collateralized Derivatives and Collateral Optimization with...
This article studies derivatives pricing when privately financed by non-cash collateral. The liability-side posting collateral must weigh in haircuts stipulated in collateral agreements against those...
View ArticleLabor Contract Law -An Economic View. (arXiv:1702.03977v1 [q-fin.EC])
China's new labor law -- Labor Contract Law has been put into practice for over one year. Since its inception, debates have been whirling around the nation, if not the world. In this article, we take...
View ArticleA hybrid approach for risk assessment of loan guarantee network....
Groups of Small and Medium Enterprises (SME) back each other and form guarantee network to obtain loan from banks. The risk over the networked enterprises may cause significant contagious damage. To...
View ArticleHawkes process model with a time-dependent background rate and its...
A Hawkes process model with a time-varying background rate is developed for analyzing the high-frequency financial data. In our model, the logarithm of the background rate is modeled by a linear model...
View ArticleEstimating VaR in credit risk: Aggregate vs single loss distribution....
Using Monte Carlo simulation to calculate the Value at Risk (VaR) as a possible risk measure requires adequate techniques. One of these techniques is the application of a compound distribution for the...
View ArticleUncertain Volatility Models with Stochastic Bounds. (arXiv:1702.05036v1...
In this paper, we propose the uncertain volatility models with stochastic bounds. Like the regular uncertain volatility models, we know only that the true model lies in a family of progressively...
View ArticlePyCaMa: Python for cash management. (arXiv:1702.05005v1 [q-fin.CP])
Selecting the best policy to keep the balance between what a company holds in cash and what is placed in alternative investments is by no means straightforward. We here introduce PyCaMa, a Python...
View ArticleMulti-Dimensional Pass-Through, Incidence, and the Welfare Burden of Taxation...
This paper studies welfare consequences of unit and ad valorem taxes in oligopoly with general demand, non-constant marginal costs, and a generalized type of competition. We present formulas providing...
View ArticleThe amazing power of dimensional analysis: Quantifying market impact....
This note complements the inspiring work on dimensional analysis and market microstructure by Kyle and Obizhaeva \cite{kyle2016dimensional}. Our main theorem shows by a similar argument as usually...
View ArticleEstimation for the Prediction of Point Processes with Many Covariates....
Estimation of the intensity of a point process is considered within a nonparametric framework. The intensity measure is unknown and depends on covariates, possibly many more than the observed number of...
View ArticlePerformance of information criteria used for model selection of Hawkes...
We test three common information criteria (IC) for selecting the order of a Hawkes process with an intensity kernel that can be expressed as a mixture of exponential terms. These processes find...
View ArticleRelation between regional uncertainty spillovers in the global banking...
We report on time-varying network connectedness within three banking systems: North America, the EU, and ASEAN. The original method by Diebold and Yilmaz is improved by using exponentially weighted...
View ArticleNetwork-based Anomaly Detection for Insider Trading. (arXiv:1702.05809v1...
Insider trading is one of the numerous white collar crimes that can contribute to the instability of the economy. Traditionally, the detection of illegal insider trades has been a human-driven process....
View ArticleTemporal and Spatial Turnpike-Type Results Under Forward Time-Monotone...
We present turnpike-type results for the risk tolerance function in an incomplete market setting under time-monotone forward performance criteria. We show that, contrary to the classical case, the...
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