An Option Pricing Model with Memory. (arXiv:1709.00468v1 [q-fin.PR])
We obtain option pricing formulas for stock price models in which the drift and volatility terms are functionals of a continuous history of the stock prices. That is, the stock dynamics follows a...
View ArticleEstimating Cost Savings from Early Cancer Diagnosis. (arXiv:1709.01484v1...
We estimate treatment cost-savings from early cancer diagnosis. For breast, lung, prostate and colorectal cancers and melanoma, which account for more than 50% of new incidences projected in 2017, we...
View ArticleBacktesting Expected Shortfall: is it really that hard?. (arXiv:1709.01337v1...
In this short note we propose a new backtesting framework for Expected Shortfall that could be used by the regulator. Instead of looking at the estimated capital reserve and the realized cash-flow...
View ArticleA Scaling Limit for Limit Order Books Driven by Hawkes Processes....
In this paper we derive a scaling limit for an infinite dimensional limit order book model driven by Hawkes random measures. The dynamics of the incoming order flow is allowed to depend on the current...
View ArticleTensor Representation in High-Frequency Financial Data for Price Change...
Nowadays, with the availability of massive amount of trade data collected, the dynamics of the financial markets pose both a challenge and an opportunity for high frequency traders. In order to take...
View ArticleTime-Varying Extreme Value Dependence with Application to Leading European...
Extremal dependence between international stock markets is of particular interest in today's global financial landscape. However, previous studies have shown this dependence is not necessarily...
View ArticleRisk-Minimizing Hedging of Counterparty Risk. (arXiv:1709.01115v1 [q-fin.RM])
We study dynamic hedging of counterparty risk for a portfolio of credit derivatives. Our empirically driven credit model consists of interacting default intensities which ramp up and then decay after...
View ArticleData science for assessing possible tax income manipulation: The case of...
This paper explores a real-world fundamental theme under a data science perspective. It specifically discusses whether fraud or manipulation can be observed in and from municipality income tax size...
View ArticleThe microstructure of high frequency markets. (arXiv:1709.02015v1 [q-fin.TR])
We present a novel approach to describing the microstructure of high frequency trading using two key elements. First we introduce a new notion of informed trader which we starkly contrast to current...
View ArticleWinning Investment Strategies Based on Financial Crisis Indicators....
The aim of this work is to create systematic trading strategies built upon several financial crisis indicators based on the spectral properties of market dynamics. Within the limitations of our...
View ArticleImplementing Flexible Demand: Real-time Price vs. Market Integration....
This paper proposes an agent-based model that combines both spot and balancing electricity markets. From this model, we develop a multi-agent simulation to study the integration of the consumers'...
View ArticleTesting if the market microstructure noise is a function of the limit order...
In this paper, we build tests for the presence of error in a model where the market microstructure noise is a known parametric function of the limit order book. The tests compare two novel and distinct...
View ArticleAdditive energy forward curves in a Heath-Jarrow-Morton framework....
One of the peculiarities of power and gas markets is the delivery mechanism of forward contracts. The seller of a futures contract commits to deliver, say, power, over a certain period, while the...
View ArticlePredictive Modeling: An Optimized and Dynamic Solution Framework for...
This paper defines systematic value investing as an empirical optimization problem. Predictive modeling is introduced as a systematic value investing methodology with dynamic and optimization features....
View ArticleOn portfolios generated by optimal transport. (arXiv:1709.03169v1 [q-fin.MF])
First introduced by Fernholz, functionally generated portfolio allows its investment performance to be attributed to directly observable and easily interpretable market quantities. In previous works we...
View ArticleSupport Spinor Machine. (arXiv:1709.03943v1 [cs.LG])
We generalize a support vector machine to a support spinor machine by using the mathematical structure of wedge product over vector machine in order to extend field from vector field to spinor field....
View ArticleDeep Stock Representation Learning: From Candlestick Charts to Investment...
We propose a novel investment decision strategy based on deep learning. Many conventional algorithmic strategies are based on raw time-series analysis of historical prices. In contrast many human...
View ArticleA Modified Levy Jump-Diffusion Model Based on Market Sentiment Memory for...
In this paper, we propose a modified Levy jump diffusion model with market sentiment memory for stock prices, where the market sentiment comes from data mining implementation using Tweets on Twitter....
View ArticleStopping Behaviors of Naive and Non-Committed Sophisticated Agents when They...
We consider the problem of stopping a diffusion process with a payoff functional involving probability distortion. The problem is inherently time-inconsistent as the level of distortion of a same event...
View ArticleRisk-Aware Multi-Armed Bandit Problem with Application to Portfolio...
Sequential portfolio selection has attracted increasing interests in the machine learning and quantitative finance communities in recent years. As a mathematical framework for reinforcement learning...
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