On Drawdown-Modulated Feedback Control in Stock Trading. (arXiv:1710.01503v1...
Control of drawdown, that is, the control of the drops in wealth over time from peaks to subsequent lows, is of great concern from a risk management perspective. With this motivation in mind, the focal...
View ArticleOn Inefficiency of Markowitz-Style Investment Strategies When Drawdown is...
The focal point of this paper is the issue of "drawdown" which arises in recursive betting scenarios and related applications in the stock market. Roughly speaking, drawdown is understood to mean drops...
View ArticleTransform Analysis for Hawkes Processes with Applications in Dark Pool...
Hawkes processes are a class of simple point processes that are self-exciting and have clustering effect, with wide applications in finance, social networks and many other fields. This paper considers...
View ArticleIntervention On Default Contagion Under Partial Information....
We model the default contagion process in a large heterogeneous financial network under the interventions of a regulator (a central bank) with only partial information which is a more realistic setting...
View ArticleThe Chebyshev method for the implied volatility. (arXiv:1710.01797v1 [q-fin.CP])
The implied volatility is a crucial element of any financial toolbox, since it is used for quoting and the hedging of options as well as for model calibration. In contrast to the Black-Scholes formula...
View ArticleOn Kelly Betting: Some Limitations. (arXiv:1710.01787v1 [math.OC])
The focal point of this paper is the so-called Kelly Criterion, a prescription for optimal resource allocation among a set of gambles which are repeated over time. The criterion calls for maximization...
View ArticleKelly Betting Can Be Too Conservative. (arXiv:1710.01786v1 [q-fin.PM])
Kelly betting is a prescription for optimal resource allocation among a set of gambles which are typically repeated in an independent and identically distributed manner. In this setting, there is a...
View ArticleExplaining the Mechanism of Growth in the Past Two Million Years Vol. I....
Economic growth and the growth of human population in the past 2,000,000 years are extensively examined. Data are found to be in a clear contradiction of the currently accepted explanations of the...
View ArticleSparse Portfolio Selection via the sorted $\ell_{1}$-Norm....
We introduce a financial portfolio optimization framework that allows us to automatically select the relevant assets and estimate their weights by relying on a sorted $\ell_1$-Norm penalization,...
View ArticleBehavioral Finance -- Asset Prices Predictability, Equity Premium Puzzle,...
In this paper we address three main objections of behavioral finance to the theory of rational finance, considered as anomalies the theory of rational finance cannot explain: Predictability of asset...
View ArticleBehavioral Finance Option Pricing Formulas Consistent with Rational Dynamic...
We derive behavioral finance option pricing formulas consistent with the rational dynamic asset pricing theory. In the existing behavioral finance option pricing formulas, the price process of the...
View ArticleCounterparty Trading Limits Revisited:CSAs, IM, SwapAgent(r), from PFE to...
The utility of Potential Future Exposure (PFE) for counterparty trading limits is being challenged by new market developments, notably widespread regulatory Initial Margin (using 99% 10-day exposure),...
View ArticleShort Maturity Forward Start Asian Options in Local Volatility Models....
We study the short maturity asymptotics for prices of forward start Asian options under the assumption that the underlying asset follows a local volatility model. We obtain asymptotics for the cases of...
View ArticleRobust Forecast Aggregation. (arXiv:1710.02838v1 [q-fin.EC])
Bayesian experts with a common prior who are exposed to different evidence often make contradictory probabilistic forecasts. An aggregator who receives the forecasts must aggregate them in the best way...
View ArticleAn Optimized Microeconomic Modeling System for Analyzing Industrial...
In this paper, we provide an integrated systems modeling approach to analyzing global externalities from a microeconomic perspective. Various forms of policy (fiscal, monetary, etc.) have addressed...
View ArticleDouble Functional Median in Robust Prediction of Hierarchical Functional Time...
In this article, a new nonparametric and robust method of forecasting hierarchical functional time series is presented. The method is compared with Hyndman and Shang's method with respect to their...
View ArticleMarket impact with multi-timescale liquidity. (arXiv:1710.03734v1 [q-fin.TR])
We present an extended version of the recently proposed "LLOB" model for the dynamics of latent liquidity in financial markets. By allowing for finite cancellation and deposition rates within a...
View ArticleA Strategic Investment Framework for Biotechnology Markets via Dynamic Asset...
In this paper, we propose an innovative investment framework incorporating asset allocation and class diversification oriented specifically for the biotechnology industry. With growing interests and...
View ArticleLarge deviations for risk measures in finite mixture models....
Due to their heterogeneity, insurance risks can be properly described as a mixture of different fixed models, where the weights assigned to each model may be estimated empirically from a sample of...
View ArticleA buffer Hawkes process for limit order books. (arXiv:1710.03506v1 [math.PR]...
We introduce a Markovian single point process model, with random intensity regulated through a buffer mechanism and a self-exciting effect controlling the arrival stream to the buffer. The model...
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