Market Dynamics. On A Muse Of Cash Flow And Liquidity Deficit....
The first attempt to obtain market directional information from non--stationary solution of the dynamic equation[1] "future price tend to the value maximizing the number of shares traded per unit time"...
View ArticleDead Alphas as Risk Factors. (arXiv:1709.06641v1 [q-fin.PM])
We give an explicit algorithm and source code for extracting equity risk factors from dead (a.k.a. "flatlined" or "hockey-stick") alphas and using them to improve performance characteristics of good...
View ArticleDensity of the set of probability measures with the martingale representation...
Let $\psi$ be a multi-dimensional random variable. We show that the set of probability measures $\mathbb{Q}$ such that the $\mathbb{Q}$-martingale...
View ArticleHow Facebook drives investor behavior. (arXiv:1709.07300v1 [q-fin.TR])
Recent studies combining social media data with data from capital markets have mainly focused on the relationship between returns and activity on social media. In contrast, we study how behavior of...
View ArticleNew copulas based on general partitions-of-unity and their applications to...
We present a constructive and self-contained approach to data driven infinite partition-of-unity copulas that were recently introduced in the literature. In particular, we consider negative binomial...
View ArticleA posteriori multi-stage optimal trading under transaction costs and a...
This paper presents a method for the evaluation of a posteriori (historical) multi-variate multi-stage optimal trading under transaction costs and a diversification constraint. Starting from a given...
View ArticleArbitrage and Geometry. (arXiv:1709.07446v1 [q-fin.MF])
This article introduces the notion of arbitrage for a situation involving a collection of investments and a payoff matrix describing the return to an investor of each investment under each of a set of...
View ArticleTesting the causality of Hawkes processes with time reversal....
We show that univariate and symmetric multivariate Hawkes processes are only weakly causal: the true log-likelihoods of real and reversed event time vectors are almost equal, thus parameter estimation...
View ArticleCounterparty credit limits: An effective tool for mitigating counterparty...
A counterparty credit limit (CCL) is a limit imposed by a financial institution to cap its maximum possible exposure to a specified counterparty. Although CCLs are designed to help institutions...
View ArticleThe Aggregation Property and its Applications to Realised Higher Moments....
We develop a general multivariate aggregation property which encompasses the distinct versions of the property that were introduced by Neuberger [2012] and Bondarenko [2014] independently. This way, we...
View ArticleOption Pricing with Greed and Fear Factor: The Rational Finance Approach....
We explain the main concepts of Prospect Theory and Cumulative Prospect Theory within the framework of rational dynamic asset pricing theory. We derive option pricing formulas when asset returns are...
View ArticleThe inefficiency of Bitcoin revisited: a dynamic approach....
This letter revisits the informational efficiency of the Bitcoin market. In particular we analyze the time-varying behavior of long memory of returns on Bitcoin and volatility 2011 until 2017, using...
View ArticleLocal Volatility Calibration by Optimal Transport. (arXiv:1709.08075v1...
The calibration of local volatility models from observable option prices has always been an important problem in quantitative finance. The classical formula by Dupire, despite being heavily used by...
View ArticleOwnership Cost Calculations for Distributed Energy Resources Using...
Ownership cost calculation plays an important role in optimal operation of distributed energy resources (DERs) and microgrids (MGs) in the future power system, known as smart grid. In this paper, a...
View ArticleDecomposition of the Inequality of Income Distribution by Income Types -...
This paper identifies the salient factors that characterize the inequality income distribution for Romania. Data analysis is rigorously carried out using sophisticated techniques borrowed from...
View ArticlePricing derivatives in Hermite markets. (arXiv:1709.09068v1 [q-fin.MF])
We present a new framework for Hermite fractional financial markets, generalizing the fractional Brownian motion and fractional Rosenblatt markets. Considering pure and mixed Hermite markets, we...
View ArticleAnalytic approach to variance optimization under an $\ell_1$ constraint....
The optimization of the variance supplemented by a budget constraint and an asymmetric L1 regularizer is carried out analytically by the replica method borrowed from the theory of disordered systems....
View ArticleA sentiment-based model for the BitCoin: theory, estimation and option...
In recent literature it is claimed that BitCoin price behaves more likely to a volatile stock asset than a currency and that changes in its price are influenced by sentiment about the BitCoin system...
View ArticleKinetic models for goods exchange in a multi-agent market....
We introduce a system of kinetic equations describing an exchange market consisting of two populations of agents (dealers and speculators) expressing the same preferences for two goods, but applying...
View ArticleConvergence of utility indifference prices to the superreplication price in a...
This paper formulates an utility indifference pricing model for investors trading in a discrete time financial market under non-dominated model uncertainty. The investors preferences are described by...
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