News-sentiment networks as a risk indicator. (arXiv:1706.05812v1 [q-fin.RM])
To understand the relationship between news sentiment and company stock price movements, and to better understand connectivity among companies, we define an algorithm for measuring sentiment-based...
View ArticleQuantifying the Benefits of Infrastructure Sharing. (arXiv:1706.05735v1 [cs.GT])
We analyze the benefits of network sharing between telecommunications operators. Sharing is seen as one way to speed the roll out of expensive technologies such as 5G since it allows the service...
View ArticleModeling credit default swap premiums with stochastic recovery rate....
There are many studies on development of models for analyzing some derivatives such as credit default swaps .
View ArticleTransfer entropy between communities in complex networks. (arXiv:1706.05543v1...
With the help of transfer entropy, we analyze information flows between communities of complex networks. We show that the transfer entropy provides a coherent description of interactions between...
View ArticleComplex Correlation Approach for High Frequency Financial Data....
We propose a novel approach that allows to calculate Hilbert transform based complex correlation for unevenly spaced financial data. This method is especially suitable for high frequency data, which...
View ArticleDeep Learning in (and of) Agent-Based Models: A Prospectus....
A very timely issue for economic agent-based models (ABMs) is their empirical estimation. This paper describes a line of research that could resolve the issue by using machine learning techniques,...
View ArticleA class of dynamical contagion credit risk models and their applications....
In this paper, we establish a class of default risk models with possible dynamical contagion between different obligors. Thereby, we derive explicitly the pricing formulae by set-valued Markov chain...
View ArticleStop-loss and Leverage in optimal Statistical Arbitrage with an application...
In this paper we develop a statistical arbitrage trading strategy with two key elements in hi-frequency trading: stop-loss and leverage. We consider, as in Bertram (2009), a mean-reverting process for...
View ArticleMarket Efficiency and Growth Optimal Portfolio. (arXiv:1706.06832v1 [q-fin.PM])
The paper predicts an Efficient Market Property for the equity market, where stocks, when denominated in units of the growth optimal portfolio (GP), have zero instantaneous expected returns....
View ArticleSingular Fourier-Pad\'e Series Expansion of European Option Prices....
We apply a new numerical method, the singular Fourier-Pad\'e (SFP) method invented by Driscoll and Fornberg (2001, 2011), to price European-type options in L\'evy and affine processes. The motivation...
View ArticleStrong convergence rates for Euler approximations to a class of stochastic...
We consider a class of stochastic path-dependent volatility models where the stochastic volatility, whose square follows the Cox-Ingersoll-Ross model, is multiplied by a (leverage) function of the spot...
View ArticleVirtual Relationships: Short- and Long-run Evidence from BitCoin and Altcoin...
This study empirically examines interdependencies between BitCoin and altcoin markets in the short- and long-run. We apply time-series analytical mechanisms to daily data of 17 virtual currencies...
View ArticleIntergenerational mobility measures in a bivariate normal model....
We model the joint log-income distribution of parents and children and derive analytic expressions for canonical relative and absolute intergenerational mobility measures. We find that both types of...
View ArticleA Possibilistic and Probabilistic Approach to Precautionary Saving....
This paper proposes two mixed models to study a consumer's optimal saving in the presence of two types of risk.
View ArticleThe effect of the behavior of an average consumer on the public debt...
An important issue within the present economic crisis is understanding the dynamics of the public debt of a given country, and how the behavior of average consumers and tax payers in that country...
View ArticleNon-Local Macroeconomic Transactions and Credits-Loans Surface-Like Waves....
This paper describes surface-like waves of macroeconomic Credits-Loans transactions on economic space. We use agent's risk ratings as their coordinates and describe evolution of macro variables by...
View ArticleIdentification of Credit Risk Based on Cluster Analysis of Account...
Assessment of risk levels for existing credit accounts is important to the implementation of bank policies and offering financial products. This paper uses cluster analysis of behaviour of credit card...
View ArticleGeneral Compound Hawkes Processes in Limit Order Books. (arXiv:1706.07459v1...
In this paper, we study various new Hawkes processes, namely, so-called general compound and regime-switching general compound Hawkes processes to model the price processes in the limit order books. We...
View ArticleA Partial Solution to Continuous Blotto. (arXiv:1706.08479v1 [q-fin.EC])
This paper analyzes the structure of mixed-strategy equilibria for Colonel Blotto games, where the outcome on each battlefield is a polynomial function of the difference between the two players'...
View ArticleDecomposition of Time Series Data to Check Consistency between Fund Style and...
We propose a novel approach for analysis of the composition of an equity mutual fund based on the time series decomposition of the price movements of the individual stocks of the fund. The proposed...
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