Data and uncertainty in extreme risks; a nonlinear expectations approach....
Estimation of tail quantities, such as expected shortfall or Value at Risk, is a difficult problem. We show how the theory of nonlinear expectations, in particular the Data-robust expectation...
View ArticleSensitivity analysis of the utility maximization problem with respect to...
We study the sensitivity of the expected utility maximization problem in a continuous semi-martingale market with respect to small changes in the market price of risk. Assuming that the preferences of...
View ArticleHerding boosts too-connected-to-fail risk in stock market of China....
The crowd panic and its contagion play non-negligible roles at the time of the stock crash, especially for China where inexperienced investors dominate the market. However, existing models rarely...
View ArticleCan Everyone Benefit from Social Integration?. (arXiv:1705.08033v1 [q-fin.EC])
There is no matching mechanism that satisfies integration monotonicity and stability. If we insist on integration monotonicity, not even Pareto optimality can be achieved: the only option is to remain...
View ArticleUsing Macroeconomic Forecasts to Improve Mean Reverting Trading Strategies....
A large class of trading strategies focus on opportunities offered by the yield curve. In particular, a set of yield curve trading strategies are based on the view that the yield curve mean-reverts....
View ArticleFinancial Time Series Forecasting: Semantic Analysis Of Economic News....
The paper proposes a method of financial time series forecasting taking into account the semantics of news. For the semantic analysis of financial news the sampling of negative and positive words in...
View ArticleA Quantum-like Model of Selection Behavior. (arXiv:1705.08536v1 [q-fin.EC])
In this paper, we introduce a new model of selection behavior under risk that describes an essential cognitive process for comparing values of objects and making a selection decision. This model is...
View ArticleClassifications of Innovations Survey and Future Directions....
The purpose of this paper is to focus on similarity and/or heterogeneity of taxonomies of innovation present in the economic fields to show as the economic literature uses different names to indicate...
View ArticleThe geometry of multi-marginal Skorokhod Embedding. (arXiv:1705.09505v1...
The Skorokhod Embedding Problem (SEP) is one of the classical problems in the study of stochastic processes, with applications in many different fields (cf.~ the surveys \cite{Ob04,Ho11}). Many of...
View ArticleNonparametric Regressions with Thresholds: Identification and Estimations....
This paper examines nonparametric regressions with an exogenous threshold variable, allowing for an unknown number of thresholds. Given the number of thresholds and corresponding threshold values, we...
View ArticleMarket Crashes as Critical Phenomena? Explanation, Idealization, and...
We study the Johansen-Ledoit-Sornette (JLS) model of financial market crashes (Johansen, Ledoit, and Sornette [2000] "Crashes as Critical Points." Int. J. Theor. Appl. Finan. 3(2) 219-255). On our...
View ArticleThe Impact of Digital Financial Services on Firm's Performance: a Literature...
Digital Financial Services continue to expand and replace the delivery of traditional banking services to the customers through innovative technologies to meet the growing complex needs and...
View ArticleThe Action Principle in Market Mechanics. (arXiv:1705.09965v1 [q-fin.MF])
This paper explores the possibility that asset prices, especially those traded in large volume on public exchanges, might comply with specific physical laws of motion and probability. The paper first...
View ArticleStandardised Reputation Measurement. (arXiv:1705.09955v1 [q-fin.CP])
Well-defined formal definitions for sentiment and opinion are extended to incorporate the necessary elements to provide a formal quantitative definition of reputation. This definition takes the form of...
View ArticleMini-Flash Crashes, Model Risk, and Optimal Execution. (arXiv:1705.09827v1...
Oft-cited causes of mini-flash crashes include human errors, endogenous feedback loops, the nature of modern liquidity provision, fundamental value shocks, and market fragmentation. We develop a...
View ArticleGrowth-Optimal Portfolio Selection under CVaR Constraints....
Online portfolio selection research has so far focused mainly on minimizing regret defined in terms of wealth growth. Practical financial decision making, however, is deeply concerned with both wealth...
View ArticleDynamic Index Tracking and Risk Exposure Control Using Derivatives....
We develop a methodology for index tracking and risk exposure control using financial derivatives. Under a continuous-time diffusion framework for price evolution, we present a pathwise approach to...
View ArticleTrends in Banking 2017 and onwards. (arXiv:1705.10974v1 [q-fin.GN])
The changing nature of the relationship between a retail bank and its customers is examined, particularly with respect to new financial concepts, debt and regulation. The traditional image of a bank is...
View ArticleHow fast can one overcome the paradox of the energy transition? A predictive...
The paradox of the energy transition is that, because of the low marginal costs of new renewable energy sources (RES), it drags electricity prices down and discourages investments in flexible...
View ArticleClearing algorithms and network centrality. (arXiv:1706.00284v1 [q-fin.RM])
I show that the solution of a standard clearing model commonly used in contagion analyses for financial systems can be expressed as a specific form of a generalized Katz centrality measure under...
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