Common agency dilemma with information asymmetry in continuous time....
In this paper, we consider a problem of contract theory in which several Principals hire a common Agent and we study the model in the continuous time setting. We show that optimal contracts should...
View ArticleA Deep Causal Inference Approach to Measuring the Effects of Forming Group...
Kiva is an online non-profit crowdsouring microfinance platform that raises funds for the poor in the third world. The borrowers on Kiva are small business owners and individuals in urgent need of...
View ArticleBeating the Omega Clock: An Optimal Stopping Problem with Random Time-horizon...
We study the optimal stopping of an American call option in a random time-horizon under exponential spectrally negative L\'evy models. The random time-horizon is modeled as the so-called Omega default...
View ArticlePortfolio optimization for a large investor controlling market sentiment...
We consider an investor faced with the utility maximization problem in which the risky asset price process has pure-jump dynamics affected by an unobservable continuous-time finite-state Markov chain,...
View ArticleEconomics of limiting cumulative CO2 emissions. (arXiv:1706.03502v1 [q-fin.EC])
Global warming from carbon dioxide (CO2) is known to depend on cumulative CO2 emissions. We introduce a model of global expenditures on limiting cumulative CO2 emissions, taking into account effects of...
View ArticleAnalysis of order book flows using a nonparametric estimation of the...
We introduce a new non parametric method that allows for a direct, fast and efficient estimation of the matrix of kernel norms of a multivariate Hawkes process, also called branching ratio matrix. We...
View ArticleAftershocks in a complex system with catastrophes: Crash of currency exchange...
The dynamical behavior of the currency exchange rate after its large-scale crash is studied. It is shown that, similarly to the case of the stock market crash investigated by Lillo and Mantegna [Phys....
View ArticleOptimal Portfolio under Fast Mean-reverting Fractional Stochastic...
Empirical studies indicate the existence of long range dependence in the volatility of the underlying asset. This feature can be captured by modeling its return and volatility using functions of a...
View ArticleUniversal scaling and nonlinearity of aggregate price impact in financial...
How and why stock prices move is a centuries-old question still not answered conclusively. More recently, attention shifted to higher frequencies, where trades are processed piecewise across different...
View ArticleRealized volatility and parametric estimation of Heston SDEs....
We present a detailed analysis of the Heston model with particular emphasis on the indirect observability framework for parameter estimation in the volatility equation. Since the volatility process is...
View ArticleEffect of Intellectual Property Policy on the Speed of Technological...
In this paper, the agent-based modeling is employed to model the effect of intellectual property policy at the speed of technological advancement. Every agent has inborn preferences towards investing...
View ArticlePicking Winners: A Framework For Venture Capital Investment....
We consider the problem of selecting a portfolio of items of fixed cardinality where the goal is to have at least one item achieve a high return, which we refer to as winning. This framework is very...
View ArticleOpen Source Fundamental Industry Classification. (arXiv:1706.04210v1 [q-fin.GN])
We provide complete source code for building a fundamental industry classification based on publically available and freely downloadable data. We compare various fundamental industry classifications by...
View ArticleOn the minimizers of energy forms with completely monotone kernel....
Motivated by the problem of optimal portfolio liquidation under transient price impact, we study the minimization of energy functionals with completely monotone displacement kernel under an integral...
View ArticlePathwise large deviations for the Rough Bergomi model. (arXiv:1706.05291v1...
We study the small-time behaviour of the rough Bergomi model, introduced by Bayer, Friz and Gatheral (2016), and prove a large deviations principle for a rescaled version of the normalised log stock...
View ArticleSymbolic dynamics techniques for complex systems: Application to share price...
The symbolic dynamics technique is well-known for low-dimensional dynamical systems and chaotic maps, and lies at the roots of the thermodynamic formalism of dynamical systems. Here we show that this...
View ArticleSpeed and biases of Fourier-based pricing choices: A numerical analysis....
We compare the CPU effort and pricing biases of six Fourier-based implementations. Our analyses show that truncation and discretization errors significantly increase as we move away from the Black-...
View ArticleAn\'alisis de cointegraci\'on con una aplicaci\'on al mercado de deuda en...
Certain theoretical aspects of vector autoregression (VAR) as tools to model economic time series are revised, in particular their capacity to include both short term and long term information. The VAR...
View ArticleFood Productivity Trends from Hybrid Corn: Statistical Analysis of Patents...
In this research we study productivity trends of hybrid corn - an important subdomain of food production. We estimate the yearly rate of yield improvement of hybrid corn (measured as bushel per acre)...
View ArticleHeterogeneous Preferences, Constraints, and the Cyclicality of Leverage....
This paper documents a new stylized fact about the leverage cycle and proposes a model of risk preference heterogeneity to explain this fact. In particular, leverage cyclicality depends on the...
View Article