Technology networks: the autocatalytic origins of innovation....
We search an autocatalytic structure in networks of technological fields and evaluate its significance for technological change. To this aim we define a technology network based on the International...
View ArticleA General Class of Multifractional Processes and its Application to...
We introduce a general class of multifractional stochastic processes driven by a multifractional Brownian motion and study estimation of their pointwise H\"older exponents (PHE) using the localized...
View Article729 new measures of economic complexity (Addendum to Improving the Economic...
Recently we uploaded to the arxiv a paper entitled: Improving the Economic Complexity Index. There, we compared three metrics of the knowledge intensity of an economy, the original metric we published...
View ArticleMulti-scale analysis of lead-lag relationships in high-frequency financial...
We propose a novel estimation procedure for scale-by-scale lead-lag relationships of financial assets observed at a high-frequency in a non-synchronous manner. The proposed estimation procedure does...
View ArticleSome stylized facts of the Bitcoin market. (arXiv:1708.04532v1 [q-fin.ST])
In recent years a new type of tradable assets appeared, generically known as cryptocurrencies. Among them, the most widespread is Bitcoin. Given its novelty, this paper investigates some statistical...
View ArticleDynamics of Investor Spanning Trees Around Dot-Com Bubble....
We identify temporal investor networks for Nokia stock by constructing networks from correlations between investor-specific net-volumes and analyze changes in the networks around dot-com bubble. We...
View ArticleOptimum thresholding using mean and conditional mean square error....
We consider a univariate semimartingale model for (the logarithm of) an asset price, containing jumps having possibly infinite activity (IA). The nonparametric threshold estimator of the integrated...
View ArticleOptimal placement of a small order in a diffusive limit order book....
We study the optimal placement problem of a stock trader who wishes to clear his/her inventory by a predetermined time horizon t, by using a limit order or a market order. For a diffusive market, we...
View ArticleValuation of a Bermudan DB underpin hybrid pension benefit....
In this paper we consider three types of embedded options in pension benefit design. read more...
View ArticleqBitcoin. (arXiv:1708.04955v1 [q-fin.GN])
A decentralized online quantum cash system, called qBitcoin, is given. We design the system which has great benefits of quantization in the following sense. Firstly, quantum teleportation technology is...
View ArticleNew Market Creation via Innovation: A Study on Tata Nano. (arXiv:1708.04952v1...
This research paper focuses on how innovations support new market creation emerging from latent opportunities for low-income group. It also emphasizes on novel strategies that can be implemented for...
View ArticleMartingale Benamou--Brenier: a probabilistic perspective. (arXiv:1708.04869v1...
In classical optimal transport, the contributions of Benamou-Brenier and McCann regarding the time-dependent version of the problem are cornerstones of the field and form the basis for a variety of...
View ArticlePricing compound and extendible options under mixed fractional Brownian...
This study deals with the problem of pricing compound options when the underlying asset follows a mixed fractional Brownian motion with jumps. An analytic formula for compound options is derived under...
View ArticleGeneralizations of Szpilrajn's Theorem in economic and game theories....
Szpilrajn's Lemma entails that each partial order extends to a linear order. Dushnik and Miller use Szpilrajn's Lemma to show that each partial order has a relizer. Since then, many authors utilize...
View ArticleHow many paths to simulate correlated Brownian motions?. (arXiv:1708.05352v1...
We provide an explicit formula giving the optimal number of paths needed to simulate two correlated Brownian motions.
View ArticleAn indifference approach to the cost of capital constraints: KVA and beyond....
The strengthening of capital requirements has induced banks and traders to consider charging a so called capital valuation adjustment (KVA) to the clients in OTC transactions. This roughly corresponds...
View ArticleQuantum Barro--Gordon Game in Monetary Economics. (arXiv:1708.05689v1...
Classical game theory addresses decision problems in multi-agent environment where one rational agent's decision affects other agents' payoffs. Game theory has widespread application in economic,...
View ArticleFake News in Social Networks. (arXiv:1708.06233v1 [cs.AI])
We model the spread of news as a social learning game on a network. Agents can either endorse or oppose a claim made in a piece of news, which itself may be either true or false. Agents base their...
View ArticleEconomic Design of Memory-Type Control Charts: The Fallacy of the Formula...
The memory-type control charts, such as EWMA and CUSUM, are powerful tools for detecting small quality changes in univariate and multivariate processes. Many papers on economic design of these control...
View ArticleBSDEs with weak reflections and partial hedging of American options....
We introduce a new class of \textit{Backward Stochastic Differential Equations with weak reflections} whose solution $(Y,Z)$ satisfies the weak constraint $\textbf{E}[\Psi(\theta,Y_\theta)] \geq m,$...
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