Active Preference Learning for Personalized Portfolio Construction....
In financial asset management, choosing a portfolio requires balancing returns, risk, exposure, liquidity, volatility and other factors. These concerns are difficult to compare explicitly, with many...
View ArticleThe Keynesian Model in the General Theory: A Tutorial. (arXiv:1708.07509v1...
This small overview of the General Theory is the kind of summary I would have liked to have read, before embarking in a comprehensive study of the General Theory at the time I was a student. As shown...
View ArticleDefault Contagion with Domino Effect , A First Passage Time Approach....
The present paper introduces a structural framework to model dependent defaults, with a particular interest in their contagion.
View ArticleAn equilibrium-conserving taxation scheme for income from capital....
Under conditions of market equilibrium, the distribution of capital income follows a Pareto power law, with an exponent that characterizes the given equilibrium. Here, a simple taxation scheme is...
View ArticleA Simple Algorithm for Solving Ramsey Optimal Policy with Exogenous Forcing...
This algorithm extends Ljungqvist and Sargent (2012) algorithm of Stackelberg dynamic game to the case of dynamic stochastic general equilibrium models including exogenous forcing variables. It is...
View ArticleMinimax theorems for American options in incomplete markets without...
In this paper we give sufficient conditions guaranteeing the validity of the well-known minimax theorem for the lower Snell envelope with respect to a family of absolutely continuous probability...
View ArticleStock Trading via Feedback Control: Stochastic Model Predictive or Genetic?....
This work underlies the poster presented at the XVIII Workshop on Quantitative Finance (QFW2017) in Milano on January 25-27, 2017. read more...
View ArticleThe stabilizing effect of volatility in financial markets....
In financial markets, greater volatility is usually considered synonym of greater risk and instability. However, large market downturns and upturns are often preceded by long periods where price...
View ArticleAmerican options in an imperfect market with default. (arXiv:1708.08675v1...
We study pricing and (super)hedging for American options in an imperfect market model with default, where the imperfections are taken into account via the nonlinearity of the wealth dynamics. The...
View ArticleChanging the Direction of the Economic and Demographic Research....
A simple but useful method of reciprocal values is introduced, explained and illustrated. This method simplifies the analysis of hyperbolic distributions, which are causing serious problems in the...
View ArticleMeasurement of Common Risk Factors: A Panel Quantile Regression Model for...
This paper investigates how to measure common market risk factors using newly proposed Panel Quantile Regression Model for Returns. By exploring the fact that volatility crosses all quantiles of the...
View ArticleSignificant ties: Identifying relationship lending in temporal interbank...
Relationship lending is conventionally interpreted as a strong partnership between a lender and a borrower. Nevertheless, we still lack consensus regarding how to quantify a lending relationship while...
View ArticleValue-at-Risk and Expected Shortfall for the major digital currencies....
Digital currencies and cryptocurrencies have hesitantly started to penetrate the investors, and the next step will be the regulatory risk management framework. We examine the Value-at-Risk and Expected...
View ArticleSpontaneous Segregation of Agents Across Double Auction Markets....
In this paper we investigate the possibility of spontaneous segregation into groups of traders that have to choose among several markets. Even in the simplest case of two markets and Zero Intelligence...
View ArticleMultilayer Aggregation of Investor Trading Networks. (arXiv:1708.09850v1...
Investor trading networks are gaining rapid interest in financial market studies. In this paper, we propose three improvements for investor trading network analyses: investor categorization,...
View ArticleExtending Yagil exchange ratio determination model to the case of stochastic...
This article extends, in a stochastic environment, the Yagil (1987) model which establishes, in a deterministic dividend discount model, a range for the exchange ratio in a stock-for-stock merger...
View ArticleDynamic Asset Price Jumps and the Performance of High Frequency Tests and...
This paper provides an extensive evaluation of high frequency jump tests and measures, in the context of dynamic models for asset price jumps. Specifically, we investigate: i) the power of alternative...
View ArticleEconophysics of Business Cycles: Aggregate Economic Fluctuations, Mean Risks...
This paper presents hydrodynamic-like model of business cycles aggregate fluctuations of economic and financial variables. We model macroeconomics as ensemble of economic agents on economic space and...
View ArticleLearning and Equilibrium Refinements in Signalling Games. (arXiv:1709.01024v1...
We propose two new signalling-game refinements that are microfounded in a model of patient Bayesian learning. Agents are born into player roles and play the signalling game against a random opponent...
View ArticleSharpness of improved Fr\'echet-Hoeffding bounds: an optimal transport...
The improved Fr\'echet--Hoeffding bounds are ad-hoc estimates on the Fr\'echet class of probability distributions with given marginals and prescribed values on a subset of R d . Using an optimal...
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