Portfolio Optimization with Entropic Value-at-Risk. (arXiv:1708.05713v1...
The entropic value-at-risk (EVaR) is a new coherent risk measure, which is an upper bound for both the value-at-risk (VaR) and conditional value-at-risk (CVaR). As important properties, the EVaR is...
View ArticleUnemployment: Study of Causes and Possible Solutions. (arXiv:1708.06704v1...
The following measures against unemployment are proposed: In the short term, to promote greater income for the poorest sectors. It is shown that this can be paid with the resulting increased...
View ArticleDynamic correlations at different time-scales with Empirical Mode...
The Empirical Mode Decomposition (EMD) provides a tool to characterize time series in terms of its implicit components oscillating at different time-scales. We apply this decomposition to intraday time...
View ArticleDynamic Conditional Correlation between Electricity and Stock markets during...
Liberalization of electricity markets has increasingly created the need for understanding the volatility and correlation structure between electricity and financial markets. This work reveals the...
View ArticleForecasting day-ahead electricity prices in Europe: the importance of...
Motivated by the increasing integration among electricity markets, in this paper we propose three different methods to incorporate market integration in electricity price forecasting and to improve the...
View ArticleBehind the price: on the role of agent's reflexivity in financial market...
In this chapter we review some recent results on the dynamics of price formation in financial markets and its relations with the efficient market hypothesis. Specifically, we present the limit order...
View ArticleRelationship between Remittances and Macroeconomic Variables in Times of...
If Tunisia was hailed as a success story with its high rankings on economic, educational, and other indicators compared to other Arab countries, the 2011 popular uprisings demonstrate the need for...
View ArticleMarkov-Modulated Information Flows. (arXiv:1708.06948v1 [math.PR])
We model information flows in continuous time that are generated by a number of information sources that are switched on and off at random times. In a novel approach, we explicitly relate the discovery...
View ArticleVIX-linked fees for GMWBs via Explicit Solution Simulation Methods....
In a market with stochastic volatility and jumps, we consider a VIX-linked fee structure for variable annuity contracts with guaranteed minimum withdrawal benefits (GMWB). Our goal is to assess the...
View ArticleSystematic Noise: Micro-movements in Equity Options Markets....
Equity options are known to be notoriously difficult to price accurately, and even with the development of established mathematical models there are many assumptions that must be made about the...
View ArticleVolatility and Economic Growth in the Twentieth Century. (arXiv:1708.06792v1...
The twentieth century was a period of outstanding economic growth together with an unequal income distribution. This paper analyses the international distribution of growth rates and its dynamics...
View ArticleDGM: A deep learning algorithm for solving partial differential equations....
High-dimensional PDEs have been a longstanding computational challenge. We propose a deep learning algorithm similar in spirit to Galerkin methods, using a deep neural network instead of linear...
View ArticleSecond order approximations for limit order books. (arXiv:1708.07394v1...
In this paper we derive a second order approximation for an infinite dimensional limit order book model, in which the dynamics of the incoming order flow is allowed to depend on the current market...
View ArticleOptimal firm's policy under lead time-and price-dependent demand: interest of...
Considering a lead-time-and price-sensitive demand, we investigate whether a client rejection policy, modeled as M/M/1/K system, can be more profitable than an all-client acceptance policy, modeled as...
View ArticlePromotion through Connections: Favors or Information?. (arXiv:1708.07723v1...
Connections appear to be helpful in many contexts such as obtaining a job, a promotion, a grant, a loan or publishing a paper. This may be due to favoritism or to information conveyed by connections....
View ArticleDynamic trading under integer constraints. (arXiv:1708.07661v1 [q-fin.MF])
In this paper we investigate discrete time trading under integer constraints, that is, we assume that the offered goods or shares are traded in integer quantities instead of the usual real quantity...
View ArticleTrends and Risk Premia: Update and Additional Plots. (arXiv:1708.07637v1...
Recently, our group has published two papers that have received some attention in the finance community. One is about the profitability of trend following strategies over 200 years, the second is about...
View ArticleFeedback effect between Volatility of capital flows and financial stability:...
Financial system being the place of metting capital flows (equality between saving and investment), a volatility of capital flows can destroy the robustness and good working of financial system, it...
View ArticleSemiparametric GARCH via Bayesian model averaging. (arXiv:1708.07587v1...
As the dynamic structure of the financial markets is subject to dramatic changes, a model capable of providing consistently accurate volatility estimates must not make strong assumptions on how prices...
View ArticleHaircutting Non-cash Collateral. (arXiv:1708.07585v1 [q-fin.PR])
Haircutting non-cash collateral has become a key element of the post-crisis reform of the shadow banking system and OTC derivatives markets. This article develops a parametric haircut model by...
View Article