Random Multi-Unit Assignment with Endogenous Quotas. (arXiv:1703.10897v1...
We study the random multi-unit assignment problem in which the number of goods to be distributed depends on players' preferences, obtaining several results that also apply to its corresponding version...
View ArticleUnderstanding the fundamental dynamics of interbank networks....
The global financial crisis in 2007-2009 demonstrated that systemic risk can spread all over the world through a complex web of financial linkages. In particular, interbank credit networks shape the...
View ArticleQuadratic approximation of slow factor of volatility in a Multi-factor...
In the present work, we propose a new multifactor stochastic volatility model in which slow factor of volatility is approximated by a parabolic arc. We retain ourselves to the perturbation technique to...
View ArticleProbabilistic Mid- and Long-Term Electricity Price Forecasting....
The liberalization of electricity markets and the development of renewable energy sources has led to new challenges for decision makers. These challenges are accompanied by an increasing uncertainty...
View ArticleAgent-Based Model Calibration using Machine Learning Surrogates....
Taking agent-based models (ABM) closer to the data is an open challenge. This paper explicitly tackles parameter space exploration and calibration of ABMs combining supervised machine-learning and...
View ArticleDoubly Reflected BSDEs and ${\cal E}^{f}$-Dynkin games: beyond the...
We formulate a notion of doubly reflected BSDE in the case where the barriers $\xi$ and $\zeta$ do not satisfy any regularity assumption. Under a technical assumption (a Mokobodzki-type condition), we...
View ArticleSharp Target Range Strategies with Application to Dynamic Portfolio...
A family of sharp target range strategies is presented for portfolio selection problems. Our proposed strategy maximizes the expected portfolio value within a target range, composed of a conservative...
View ArticleHow Wave - Wavelet Trading Wins and "Beats" the Market....
The purpose of this paper is to showcase trading strategies that give solutions to three difficult and intriguing problems in business finance, economics and statistics. The paper discusses trading...
View ArticleNon-Analytic Solution to the Fokker-Planck Equation of Fractional Brownian...
This paper derives the non-analytic solution to the Fokker-Planck equation of fractional Brownian motion using the method of Laplace transform. Sequentially, by considering the fundamental solution of...
View ArticleInterconnectedness in the Global Financial Market. (arXiv:1704.01028v1...
The global financial system is highly complex, with cross-border interconnections and interdependencies. In this highly interconnected environment, local financial shocks and events can be easily...
View ArticleMarket Efficiency and Price Stabilization Policy in Interwar Osaka-Dojima...
We investigate how and to what extent the Japanese government intervened in the rice futures exchange in Osaka during the interwar period, from the late 1910s to 1939, using a time-varying AR model. We...
View ArticleIncorporating Signals into Optimal Trading. (arXiv:1704.00847v1 [q-fin.TR])
Optimal trading is a recent field of research which was initiated by Almgren, Chriss, Bertimas and Lo in the late 90's. Its main application is slicing large trading orders, in the interest of...
View ArticleMultivariate Geometric Expectiles. (arXiv:1704.01503v1 [q-fin.RM])
A generalization of expectiles for d-dimensional multivariate distribution functions is introduced. The resulting geometric expectiles are unique solutions to a convex risk minimization problem and are...
View ArticleReplica Analysis for Portfolio Optimization with Single-Factor Model....
In this paper, we use replica analysis to investigate the influence of correlation among the return rates of assets on the solution of the portfolio optimization problem. We consider the behavior of...
View ArticleICT and Employment in India: A Sectoral Level Analysis. (arXiv:1704.01316v1...
How technology affects growth or employment has long been debated. With a hiatus, the debate revived once again in the form of how Information and Communications Technology, as a form of new...
View ArticleThe Wandering of Corn. (arXiv:1704.01179v1 [q-fin.GN])
Time and Sales of corn futures traded electronically on the CME Group Globex are studied. Theories of continuous prices turn upside down reality of intra-day trading. Prices and their increments are...
View ArticleTwo-Stage Stochastic International Portfolio Optimisation under...
In this paper, we present a two-stage stochastic international portfolio optimisation model to find an optimal allocation for the combination of both assets and currency hedging positions. Our...
View ArticleThe micro-foundations of an open economy money demand: An application to the...
This paper investigates and compares currency substitution between the currencies of Central and Eastern European (CEE) countries and the euro. In addition, we develop a model with microeconomic...
View ArticleParameter uncertainty for integrated risk capital calculations based on...
In this contribution we consider the overall risk given as the sum of random subrisks $\mathbf{X}_j$ in the context of value-at-risk (VaR) based risk calculations. If we assume that the undertaking...
View ArticleA Joint Quantile and Expected Shortfall Regression Framework....
We introduce a novel regression framework which simultaneously models the quantile and the Expected Shortfall of a response variable given a set of covariates. The foundation for this joint regression...
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