Media Network and Return Predictability. (arXiv:1703.02715v1 [q-fin.ST])
Media news reveals soft information about economic linkages between firms that is not immediately incorporated into stock price. In this paper, we propose a novel measure for aggregate market risk...
View ArticleCharacterization of Fully Coupled FBSDE in Terms of Portfolio Optimization...
We characterize a class of fully coupled forward backward stochastic differential equations in terms of optimal maximal sub-solutions of BSDEs. We present the application thereof in utility...
View ArticleDiffusive and arrested-like dynamics in currency exchange markets....
This work studies the symmetry between colloidal dynamics and the dynamics of the Euro--US Dollar currency exchange market (EURUSD). We consider the EURUSD price in the time range between 2001 and...
View ArticleUncovering Offshore Financial Centers: Conduits and Sinks in the Global...
Multinational corporations use highly complex structures of parents and subsidiaries to organize their operations and ownership. Offshore Financial Centers (OFCs) facilitate these structures through...
View ArticleOn representing and hedging claims for coherent risk measures....
We provide a dual characterisation of the weak$^*$-closure of a finite sum of cones in $L^\infty$ adapted to a discrete time filtration $\mathcal{F}_t$: the $t^{th}$ cone in the sum contains bounded...
View ArticleInferring monopartite projections of bipartite networks: an entropy-based...
Bipartite networks are currently regarded as providing a major insight into the organization of many real-world systems, unveiling the mechanisms driving the interactions which occur between distinct...
View ArticleExtremal Behavior of Long-Term Investors with Power Utility....
We consider a Bayesian financial market with one bond and one stock where the aim is to maximize the expected power utility from terminal wealth. The solution of this problem is known, however there...
View ArticleTopological Data Analysis of Financial Time Series: Landscapes of Crashes....
We explore the evolution of daily returns of four major US stock market indices during the technology crash of 2000, and the financial crisis of 2007-2009. Our methodology is based on topological data...
View ArticleHumans of Simulated New York (HOSNY): an exploratory comprehensive model of...
The model presented in this paper experiments with a comprehensive simulant agent in order to provide an exploratory platform in which simulation modelers may try alternative scenarios and...
View ArticleShort-time near-the-money skew in rough fractional volatility models....
We consider rough stochastic volatility models where the driving noise of volatility has fractional scaling, in the "rough" regime of Hurst parameter $H < 1/2$. This regime recently attracted a lot...
View ArticlePerfect hedging in rough Heston models. (arXiv:1703.05049v1 [q-fin.MF])
Rough volatility models are known to reproduce the behavior of historical volatility data while at the same time fitting the volatility surface remarkably well, with very few parameters. However,...
View ArticleData driven partition-of-unity copulas with applications to risk management....
We present a constructive and self-contained approach to data driven general partition-of-unity copulas that were recently introduced in the literature. In particular, we consider Bernstein-, negative...
View ArticleSystemic Risk, Maximum Entropy and Interbank Contagion. (arXiv:1703.04549v1...
We discuss the systemic risk implied by the interbank exposures reconstructed with the maximum entropy method. The maximum entropy method severely underestimates the risk of interbank contagion by...
View ArticleAcceptability Pricing of Contingent Claims Under Model Ambiguity Using...
Optimal bid and ask prices for contingent claims can be found by mathematical optimization. To do so, a model for the market dynamics is needed. While the traditional replication or superreplication...
View ArticlePricing VIX Derivatives With Free Stochastic Volatility Model....
In this paper, we relax the power parameter of instantaneous variance and develop a new stochastic volatility plus jumps model that generalize the Heston model and 3/2 model as special cases. This...
View ArticleHow well do experience curves predict technological progress? A method for...
Experience curves are widely used to predict the cost benefits of increasing the scale of deployment of a technology. But how good are such forecasts? Can one predict their accuracy a priori? In this...
View ArticleNew approaches in agent-based modeling of complex financial systems....
Agent-based modeling is a powerful simulation technique to understand the collective behavior and microscopic interaction in complex financial systems. Recently, the concept for determining the key...
View ArticleDirect observation of high-frequency traders' strategies and theoretical...
Brownian motion has been a pillar of statistical physics for more than a century, and recent high-frequency trading data have shed new light on microstructure of Brownian motion in financial markets....
View ArticleA New Class of Discrete-time Stochastic Volatility Model with Correlated...
In an efficient stock market, the returns and their time-dependent volatility are often jointly modeled by stochastic volatility models (SVMs). Over the last few decades several SVMs have been proposed...
View ArticleHow to Forecast an Election. (arXiv:1703.06351v1 [q-fin.PR])
We consider the estimation of binary election outcomes as martingales and propose an arbitrage pricing when one continuously updates estimates. We argue that the estimator needs to be priced as a...
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