Financial Market Dynamics: Superdiffusive or not?. (arXiv:1608.07752v1...
The behavior of stock market returns over a period of 1-60 days has been investigated for S&P 500 and Nasdaq within the framework of nonextensive Tsallis statistics. Even for such long terms, the...
View ArticleForeign Exchange Market Performance: Evidence from Bivariate Time Series...
There are many studies dealing with the analysis of similarity among currencies in foreign exchange market by using network analysis approach. In those studies, each currency is represented by a...
View ArticleDiscrete hierarchy of sizes and performances in the exchange-traded fund...
Using detailed statistical analyses of the size distribution of a universe of equity exchange-traded funds (ETFs), we discover a discrete hierarchy of sizes, which imprints a log-periodic structure on...
View ArticleRisk measures and Margining control. (arXiv:1608.08283v1 [q-fin.RM])
This document constitutes the final report of the contractual activity between Directa SIM and Dipartimento di Automatica e Informatica, Politecnico di Torino, on the research topic titled...
View ArticleOn the Market-Neutrality of Optimal Pairs-Trading Strategies....
We consider the problem of optimal investment in a market with two cointegrated stocks and an agent with CRRA utility. We extend the findings of Liu and Timmermann [The Review of Financial Studies,...
View ArticleWhat is the Contribution of Intra-household Inequality to Overall Income...
Intra-household inequality continues to remain a neglected corner despite renewed focus on income and wealth inequality. Using the LIS micro data, we present evidence that this neglect is equivalent to...
View ArticleAn adjoint method for the exact calibration of Stochastic Local Volatility...
This paper deals with the exact calibration of semidiscretized stochastic local volatility (SLV) models to their underlying semidiscretized local volatility (LV) models. Under an SLV model, it is...
View ArticleNumerical solution of a semilinear parabolic degenerate...
We consider a semilinear parabolic degenerated Hamilton-Jacobi-Bellman (HJB) equation with singularity which is related to a stochastic control problem with fuel constraint. The fuel constraint...
View ArticleAre Order Anticipation Strategies Harmful? A Theoretical Approach....
High frequency traders employ order anticipation strategies to benefit from price impact generated by large institutional investors. While there is little doubt that this practice increases execution...
View ArticleOn Jensen's inequality for generalized Choquet integral with an application...
In the paper we give necessary and sufficient conditions for the Jensen inequality to hold for the generalized Choquet integral with respect to a pair of capacities. Next, we apply obtained result to...
View ArticleDoes Infrastructure Investment Lead to Economic Growth or Economic Fragility?...
The prevalent view in the economics literature is that a high level of infrastructure investment is a precursor to economic growth. China is especially held up as a model to emulate. Based on the...
View ArticleNon-Gaussian analytic option pricing: a closed formula for the L\'evy-stable...
We establish an explicit pricing formula for a class of non-Gaussian models (the Levy-stable, or Log-Levy model with finite moments and stability parameter between 1 and 2) allowing a straightforward...
View ArticleMultivariate Mixed Tempered Stable Distribution. (arXiv:1609.00926v1 [q-fin.ST])
The multivariate version of the Mixed Tempered Stable is proposed. It is a generalization of the Normal Variance Mean Mixtures. Characteristics of this new distribution and its capacity in fitting...
View ArticleDetermining Optimal Stop-Loss Thresholds via Bayesian Analysis of Drawdown...
Stop-loss rules are often studied in the financial literature, but the stop-loss levels are seldom constructed systematically. In many papers, and indeed in practice as well, the level of the stops is...
View ArticleOption-Based Pricing of Wrong Way Risk for CVA. (arXiv:1609.00819v1 [q-fin.PR])
The two main issues for managing wrong way risk (WWR) for the credit valuation adjustment (CVA, i.e. WW-CVA) are calibration and hedging. Hence we start from a novel model-free worst-case approach...
View ArticleThe dividend problem with a finite horizon. (arXiv:1609.01655v1 [math.PR])
We characterise the value function of the optimal dividend problem with a finite time horizon as the unique classical solution of a suitable Hamilton-Jacobi-Bellman equation. The optimal dividend...
View ArticleCriteria for the Absense and Existence of Arbitrage in Multidimensional...
We derive abstract as well as deterministic conditions for the absence and existence of free lunch with vanishing risk, arbitrage, generalized arbitrage, and unbounded profit with bounded risk in a...
View ArticleSecurities Lending Strategies, Valuation of Term Loans using Option Theory....
We develop models to price long term loans in the securities lending business. These longer horizon deals can be viewed as contracts with optionality embedded in them and can be priced using...
View ArticleThe characteristic function of rough Heston models. (arXiv:1609.02108v1...
It has been recently shown that rough volatility models, where the volatility is driven by a fractional Brownian motion with small Hurst parameter, provide very relevant dynamics in order to reproduce...
View ArticleThe loss of interest for the euro in Romania. (arXiv:1609.01900v1 [q-fin.GN])
We generalize a money demand micro-founded model to explain Romanians' recent loss of interest for the euro. We show that the reason behind this loss of interest is a severe decline in the relative...
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