Quantifying instabilities in Financial Markets. (arXiv:1704.05499v1 [q-fin.ST])
Financial global crisis has devastating impacts to economies since early XX century and continues to impose increasing collateral damages for governments, enterprises, and society in general. Up to...
View ArticleStructural price model for electricity coupled markets. (arXiv:1704.06027v1...
We propose a new structural model that can compute the electricity spot and forward prices in two coupled markets with limited interconnection and multiple fuels. We choose a structural approach in...
View ArticleA level-1 Limit Order book with time dependent arrival rates....
We propose a simple stochastic model for the dynamics of a limit order book, extending the recent work of Cont and de Larrard (2013), where the price dynamics are endogenous, resulting from market...
View ArticleOn mean-variance hedging under partial observations and terminal wealth...
In the paper, a mean-square minimization problem under terminal wealth constraint with partial observations is studied. The problem is naturally connected to the mean-variance hedging problem under...
View ArticleScaling evidence of the homothetic nature of cities. (arXiv:1704.06508v1...
In this paper we analyse the profile of land use and population density with respect to the distance to the city centre for the European city. In addition to providing the radial population density and...
View ArticleSimple wealth distribution model causing inequality-induced crisis without...
We address the issue of the dynamics of wealth accumulation and economic crisis triggered by extreme inequality, attempting to stick to most possibly intrinsic assumptions. Our general framework is...
View ArticleFast Quantization of Stochastic Volatility Models. (arXiv:1704.06388v1...
Recursive Marginal Quantization (RMQ) allows fast approximation of solutions to stochastic differential equations in one-dimension. When applied to two factor models, RMQ is inefficient due to the fact...
View ArticleStrong order 1/2 convergence of full truncation Euler approximations to the...
We study convergence properties of the full truncation Euler scheme for the Cox-Ingersoll-Ross process in the regime where the boundary point zero is inaccessible. Under some conditions on the model...
View ArticleValue-at-Risk Diversification of $\alpha$-stable Risks: The Tail-Dependence...
We consider the problem of risk diversification of $\alpha$-stable heavy tailed risks. We study the behaviour of the aggregated Value-at-Risk, with particular reference to the impact of different tail...
View ArticleAsymptotic multivariate expectiles. (arXiv:1704.07152v1 [q-fin.RM])
In [16], a new family of vector-valued risk measures called multivariate expectiles is introduced. In this paper, we focus on the asymptotic behavior of these measures in a multivariate regular...
View ArticleThe effect of heterogeneity on financial contagion due to overlapping...
We consider a model of financial contagion in a bipartite network of assets and banks recently introduced in the literature, and we study the effect of power law distributions of degree and...
View ArticlePairs Trading under Drift Uncertainty and Risk Penalization....
In this work, we study the dynamic portfolio optimization problem related to the pairs trading, which is an investment strategy that matches a long position in one security with a short position in an...
View ArticlePricing and Referrals in Diffusion on Networks. (arXiv:1509.06544v4...
When a new product or technology is introduced, potential consumers can learn its quality by trying the product, at a risk, or by letting others try it and free-riding on the information that they...
View ArticleLearning Agents in Black-Scholes Financial Markets: Consensus Dynamics and...
Black-Scholes (BS) is the standard mathematical model for option pricing in financial markets. Option prices are calculated using an analytical formula whose main inputs are strike (at which price to...
View ArticleOptimal excess-of-loss reinsurance and investment problem for an insurer with...
In this paper, we study an optimal excess-of-loss reinsurance and investment problem for an insurer in defaultable market. The insurer can buy reinsurance and invest in the following securities: a bank...
View ArticleHigh-Frequency Jump Analysis of the Bitcoin Market. (arXiv:1704.08175v1...
We use the database leak of Mt. Gox exchange to analyze the dynamics of the price of bitcoin from June 2011 to November 2013. This gives us a rare opportunity to study an emerging retail-focused,...
View ArticleStability of zero-growth economics analysed with a Minskyan model....
As humanity is becoming increasingly confronted by Earth's finite biophysical limits, there is increasing interest in questions about the stability and equitability of a zero-growth capitalist economy,...
View ArticleDynamical Analysis of Stock Market Instability by Cross-correlation Matrix....
We study stock market instability by using cross-correlations constructed from the return time series of 366 stocks traded on the Tokyo Stock Exchange from January 5, 1998 to December 30, 2013. To...
View ArticleEconomic Neutral Position: How to best replicate not fully replicable...
Financial undertakings often have to deal with liabilities of the form 'non-hedgeable claim size times value of a tradeable asset', e.g. foreign property insurance claims times fx rates. Which strategy...
View ArticleOptimal client recommendation for market makers in illiquid financial...
The process of liquidity provision in financial markets can result in prolonged exposure to illiquid instruments for market makers. In this case, where a proprietary position is not desired,...
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