An Alternative Estimation of a Time-Varying Parameter Model....
A non-Bayesian, generalized least squares (GLS)-based approach is formally proposed to estimate a class of time-varying AR parameter models. This approach has partly been used by Ito et al. (2014,...
View ArticleRobust Pricing and Hedging around the Globe. (arXiv:1707.08545v1 [math.PR])
We consider the martingale optimal transport duality for c\`adl\`ag processes with given initial and terminal laws. Strong duality and existence of dual optimizers (robust semi-static superhedging...
View ArticleEquilibrium Liquidity Premia. (arXiv:1707.08464v1 [q-fin.PM])
We study equilibrium returns in a continuous-time model where heterogeneous mean-variance investors trade subject to quadratic transaction costs. The unique equilibrium is characterized by a system of...
View ArticleMutation Clusters from Cancer Exome. (arXiv:1707.08504v1 [q-bio.GN] CROSS...
We apply our statistically deterministic machine learning/clustering algorithm *K-means (recently developed in https://ssrn.com/abstract=2908286) to 10,656 published exome samples for 32 cancer types....
View ArticleNash equilibria for game contingent claims with utility-based hedging....
Game contingent claims (GCCs) generalize American contingent claims by allowing the writer to recall the option as long as it is not exercised, at the price of paying some penalty. In incomplete...
View ArticleA hydrodynamic model for cooperating solidary countries. (arXiv:1707.09203v1...
The goal of international trade theories is to explain the exchange of goods and services between different countries, aiming to benefit from it. Albeit the idea is very simple and known since ancient...
View ArticleOn Biased Correlation Estimation. (arXiv:1707.09037v1 [q-fin.ST])
In general, underestimation of risk is something which should be avoided as far as possible. Especially in financial asset management, equity risk is typically characterized by the measure of portfolio...
View ArticleA risk measure that optimally balances capital determination errors....
In this paper, we propose a risk measurement approach that minimizes the expectation of sum between costs from capital determination overestimation and underestimation. We develop results that...
View ArticleSpurious memory in non-equilibrium stochastic models of imitative behavior....
The origin of the long-range memory in the non-equilibrium systems is still an open problem as the phenomenon can be reproduced using models based on Markov processes. In these cases a notion of...
View ArticleExplicit expressions for European option pricing under a generalized skew...
Under a generalized skew normal distribution we consider the problem of European option pricing. Existence of the martingale measure is proved. An explicit expression for a given European option price...
View ArticleOn the free boundary of an annuity purchase. (arXiv:1707.09494v1 [q-fin.MF])
It is known that the decision to purchase an annuity may be associated to an optimal stopping problem. However, little is known about optimal strategies, if the mortality force is a generic function of...
View ArticleSequential Sampling for CGMY Processes via Decomposition of their Time...
We present a new and easy-to-implement sequential sampling method for CGMY processes with either finite or infinite variation, exploiting the time change representation of the CGMY model and a...
View ArticleSparse Structural Approach for Rating Transitions. (arXiv:1708.00062v1...
In banking practice, rating transition matrices have become the standard approach of deriving multi-year probabilities of default (PDs) from one-year PDs, with the latter normally being available from...
View ArticleStock-flow consistent macroeconomic model with nonuniform distributional...
We report on results concerning a partially aggregated Stock Flow Consistent (SFC) macroeconomic model in the stationary state where the sectors of banks and firms are aggregated, the sector of...
View ArticleThe "Size Premium" in Equity Markets: Where is the Risk?....
We find that when measured in terms of dollar-turnover, and once $\beta$-neutralised and Low-Vol neutralised, the Size Effect is alive and well. With a long term t-stat of $5.1$, the "Cold-Minus-Hot"...
View ArticleControl-stopping Games for Market Microstructure and Beyond....
In this paper, we present a family of a control-stopping games which arise naturally in equilibrium-based models of market microstructure, as well as in other models with strategic buyers and sellers....
View ArticleWhy we like the ECI+ algorithm. (arXiv:1708.01161v1 [q-fin.EC])
Recently a measure for Economic Complexity named ECI+ has been proposed by Albeaik et al. We like the ECI+ algorithm because it is mathematically identical to the Fitness algorithm, the measure for...
View ArticleLorenz curves interpretations of the Bruss-Duerinckx theorem for resource...
The Bruss and Duerinckx theorem for resource dependent branching processes states that the survival of any society form is nested in an envelope formed by two extreme policies. The objective of this...
View ArticleA Mean Field Competition. (arXiv:1708.01308v1 [math.OC])
We introduce a mean field game with rank-based reward: competing agents optimize their effort to achieve a goal, are ranked according to their completion time, and paid a reward based on their relative...
View ArticleThe phase space structure of the oligopoly dynamical system by means of...
We investigate the dynamical complexity of Cournot oligopoly dynamics of three firms by using the qualitative methods of dynamical systems to study the phase structure of this model. The phase space is...
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