Wax and wane of the cross-sectional momentum and contrarian effects: Evidence...
This paper investigates the time-varying risk-premium relation of the Chinese stock markets within the framework of cross-sectional momentum and contrarian effects by adopting the Capital Asset Pricing...
View ArticlePower-law tails in the distribution of order imbalance. (arXiv:1707.05550v1...
We investigate the probability distribution of order imbalance calculated from the order flow data of 43 Chinese stocks traded on the Shenzhen Stock Exchange. Two definitions of order imbalance are...
View ArticlePlunges in the Bombay stock exchange: Characteristics and indicators....
We study the various sectors of the Bombay Stock Exchange (BSE) for a period of eight years from January 2006 to March 2014. Using the data of the daily returns of a period of eight years we...
View ArticleSecond order stochastic differential models for financial markets....
Using agent-based modelling, empirical evidence and physical ideas, such as the energy function and the fact that the phase space must have twice the dimension of the configuration space, we argue that...
View ArticleAmerican Options with Discontinuous Two-Level Caps. (arXiv:1707.06138v1...
This paper examines the valuation of American capped call options with two-level caps. The structure of the immediate exercise region is significantly more complex than in the classical case with...
View ArticleContagious disruptions and complexity traps in economic development....
Poor economies not only produce less; they typically produce things that involve fewer inputs and fewer intermediate steps. Yet the supply chains of poor countries face more frequent...
View ArticleMeasuring the Knowledge Intensity of Economies with an Improved Measure of...
How much knowledge is there in an economy? In recent years, data on the mix of products that countries export has been used to construct measures of economic complexity that estimate the knowledge...
View ArticleImpact of the Global Crisis on SME Internal vs. External Financing in China....
Changes in the capital structure before and after the global financial crisis for SMEs are studied, emphasizing their financing problems, distinguishing between internal financing and external...
View ArticleHybrid marked point processes: characterisation, existence and uniqueness....
We introduce the class of hybrid marked point processes, which incorporate a state process that interacts with past-dependent events. For example, like in a Hawkes process, events can exhibit self- or...
View ArticleGeopolitical Model of Investment Project Implementation. (arXiv:1707.06829v1...
Two geopolitical actors implement a geopolitical project that involves transportaion and storage of some commodities. They interact with each other through a transport network. The network consists of...
View ArticleOn the Structure of General Mean-Variance Hedging Strategies....
We provide a new characterization of mean-variance hedging strategies in a general semimartingale market. The key point is the introduction of a new probability measure $P^{\star}$ which turns the...
View ArticleStatistical properties and multifractality of Bitcoin. (arXiv:1707.07618v1...
Using 1-min high frequency returns of Bitcoin prices, we investigate statistical properties and multifractality of a Bitcoin time series. We find that the 1-min return distribution is fat-tailed and...
View ArticleStock Prediction: a method based on extraction of news features and recurrent...
This paper proposed a method for stock prediction. In terms of feature extraction, we extract the features of stock-related news besides stock prices. We first select some seed words based on...
View ArticleAgent Inspired Trading Using Recurrent Reinforcement Learning and LSTM Neural...
With the breakthrough of computational power and deep neural networks, many areas that we haven't explore with various techniques that was researched rigorously in past is feasible. In this paper, we...
View ArticleExtended Gini-type measures of risk and variability. (arXiv:1707.07322v1...
The main of this paper is to introduce a family of risk measures which generalizes the Gini-type measures of risk and variability, by taking into consideration the psychological behavior. Our risk...
View ArticleOptimal Trade Execution Under Endogenous Pressure to Liquidate: Theory and...
We study optimal liquidation of a trading position (so-called block order or meta-order) in a market with a linear temporary price impact (Kyle, 1985). We endogenize the pressure to liquidate by...
View ArticleLagrange regularisation approach to compare nested data sets and determine...
Inspired by the question of identifying the start time $\tau$ of financial bubbles, we address the calibration of time series in which the inception of the latest regime of interest is unknown. By...
View ArticleFinancing Mars settlement: Default Insurance Notes to Implement Venture...
The capital requirements for space settlement are colossal, at least on the order of several trillion dollars. To this end, I propose creation of a venture bank, able to multiply the capital of a...
View ArticleEther: Bitcoin's competitor or ally?. (arXiv:1707.07977v1 [q-fin.PM])
Although Bitcoin has long been dominant in the crypto scene, it is certainly not alone. Ether is another cryptocurrency related project that has attracted an intensive attention because of its...
View ArticleOn the optimality of threshold type strategies in single and recursive...
In the spirit of [Surya07'], we develop an average problem approach to prove the optimality of threshold type strategies for optimal stopping of L\'evy models with a continuous additive functional...
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