A review of two decades of correlations, hierarchies, networks and clustering...
This document is a preliminary version of an in-depth review on the state of the art of clustering financial time series and the study of correlation networks. This preliminary document is intended for...
View ArticleExistence and Uniqueness for the Multivariate Discrete Terminal Wealth...
In this paper the multivariate fractional trading ansatz of money management from Ralph Vince (Portfolio Management Formulas: Mathematical Trading Methods for the Futures, Options, and Stock Markets,...
View Article*K-means and Cluster Models for Cancer Signatures. (arXiv:1703.00703v1...
We present *K-means clustering algorithm and source code by expanding statistical clustering methods applied in https://ssrn.com/abstract=2802753 to quantitative finance. *K-means is essentially...
View ArticleModel Spaces for Risk Measures. (arXiv:1703.01137v1 [q-fin.RM])
We show how risk measures originally defined in a model free framework in terms of acceptance sets and reference assets imply a meaningful underlying probability structure. Hereafter we construct a...
View ArticleMoment generating functions and Normalized implied volatilities: unification...
We extend the model-free formula of [Fukasawa 2012] for $\mathbb E[\Psi(X_T)]$, where $X_T=\log S_T/F$ is the log-price of an asset, to functions $\Psi$ of exponential growth. The resulting integral...
View ArticlePricing of Mexican Interest Rate Swaps in Presence of Multiple Collateral...
The financial crisis of 2007/08 caused catastrophic consequences and brought a bunch of changes around the world. Interest rates that were known to follow or behave similarly of each other diverged....
View ArticleA note on conditional covariance matrices for elliptical distributions....
In this short note we provide an analytical formula for the conditional covariance matrices of the elliptically distributed random vectors, when the conditioning is based on the values of any linear...
View ArticleWisdom of the institutional crowd. (arXiv:1703.01989v1 [q-fin.ST])
The average portfolio structure of institutional investors is shown to have properties which account for transaction costs in an optimal way. This implies that financial institutions unknowingly...
View ArticleOptimality of Excess-Loss Reinsurance under a Mean-Variance Criterion....
In this paper, we study an insurer's reinsurance-investment problem under a mean-variance criterion. We show that excess-loss is the unique equilibrium reinsurance strategy under a spectrally negative...
View ArticleOptimal investment problem with M-CEV model: closed form solution and...
This paper studies an optimal investment problem under M-CEV with power utility function. Using Laplace transform we obtain explicit expression for optimal strategy in terms of confluent hypergeometric...
View ArticleBlockchains and Distributed Ledgers in Retrospective and Perspective....
We introduce blockchains and distributed ledgers and describe their potential applications to money and banking. The analysis compares public and private ledgers and outlines the suitability of various...
View ArticleCollective Learning in China's Regional Economic Development....
Industrial development is the process by which economies learn how to produce new products and services. But how do economies learn? And who do they learn from? The literature on economic geography and...
View ArticleDisentangling Price, Risk and Model Risk. (arXiv:1703.01329v1 [q-fin.RM])
We propose a method to assess the intrinsic risk carried by a financial position when the agent faces uncertainty about the pricing rule providing its present value. Our construction is inspired by a...
View ArticleQuantifying China's Regional Economic Complexity. (arXiv:1703.01292v1...
China has experienced an outstanding economic expansion during the past decades, however, literature on non-monetary metrics that reveal the status of China's regional economic development are still...
View ArticleSwarm behavior of traders with different subjective predictions in the...
A combination of a priority queueing model and mean field theory shows the emergence of traders' swarm behavior, even when each has a subjective prediction of the market driven by a limit order book....
View ArticleMini-symposium on automatic differentiation and its applications in the...
Automatic differentiation is involved for long in applied mathematics as an alternative to finite difference to improve the accuracy of numerical computation of derivatives. Each time a numerical...
View ArticleNetwork Structure and Naive Sequential Learning. (arXiv:1703.02105v1 [q-fin.EC])
We study a model of sequential learning with naive agents on a network. The key behavioral assumption is that agents wrongly believe their predecessors act based on only private information, so that...
View ArticleLong-run dynamics of the U.S. patent classification system....
Almost by definition, radical innovations create a need to revise existing classification systems. As a result, the evolution of technological classification systems reflects technological evolution....
View ArticleNetworks as Proxies: a relational approach towards economic complexity in the...
Based on the assumption that economic complexity is characterised by the interactions of economic agents (who) constantly change their actions and strategies in response to the outcome they mutually...
View ArticlePythagorean theorem of Sharpe ratio. (arXiv:1703.02777v1 [q-fin.PM])
In the present paper, using a replica analysis, we examine the portfolio optimization problem handled in previous work and discuss the minimization of investment risk under constraints of budget and...
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