Multilevel estimation of expected exit times and other functionals of stopped...
This paper proposes and analyses a new multilevel Monte Carlo method for the estimation of mean exit times for multi-dimensional Brownian diffusions, and associated functionals which correspond to...
View ArticleA regularity structure for rough volatility. (arXiv:1710.07481v1 [q-fin.PR])
A new paradigm recently emerged in financial modelling: rough (stochastic) volatility, first observed by Gatheral et al. in high-frequency data, subsequently derived within market microstructure...
View ArticleProfitability of simple stationary technical trading rules with...
Technical trading rules have been widely used by practitioners in financial markets for a long time. The profitability remains controversial and few consider the stationarity of technical indicators...
View ArticleFrequency Based Index Estimating the Subclusters' Connection Strength....
In this paper, a frequency coefficient based on the Sen-Shorrocks-Thon (SST) poverty index notion is proposed. The clustering SST index can be used as the method for determination of the connection...
View ArticleInformation measure for financial time series: quantifying short-term market...
A well-interpretable measure of information has been recently proposed based on a partition obtained by intersecting a random sequence with its moving average. The partition yields disjoint sets of the...
View ArticleGrasping asymmetric information in market impacts. (arXiv:1710.07959v1...
We measure the price impacts across a correlated financial market by the responses to single and multiple trades. Focusing on the primary responses, we use an event time scale. We quantify the...
View ArticleElectricity Market Theory Based on Continuous Time Commodity Model....
The recent research report of U.S. Department of Energy prompts us to re-examine the pricing theories applied in electricity market design. The theory of spot pricing is the basis of electricity market...
View ArticleComputational Methods for Martingale Optimal Transport problems....
We establish numerical methods for solving the martingale optimal transport problem (MOT) - a version of the classical optimal transport with an additional martingale constraint on transport's...
View ArticleOn the quadratic variation of the model-free price paths with jumps....
We prove that the model-free typical (in the sense of Vovk) c\`adl\`ag price paths with mildly restricted downward jumps possess quadratic variation which does not depend on the specific sequence of...
View ArticleA Topological Approach to Scaling in Financial Data. (arXiv:1710.08860v1...
There is a large body of work, built on tools developed in mathematics and physics, demonstrating that financial market prices exhibit self-similarity at different scales. In this paper, we explore the...
View Article$\epsilon$-Monotone Fourier Methods for Optimal Stochastic Control in...
Stochastic control problems in finance having complex controls inevitably give rise to low order accuracy, usually at most second order. Fourier methods are efficient at advancing the solution between...
View ArticleDo Classics Exist in Megaproject Management?. (arXiv:1710.09678v1 [q-fin.GN])
This paper asks, "Do classics exist in megaproject management?" We identify three types of classic texts: conventional, Kuhnian, and citation classics. We find that the answer to our question depends...
View ArticleTests for the weights of the global minimum variance portfolio in a...
In this paper we construct two tests for the weights of the global minimum variance portfolio (GMVP) in a high-dimensional setting, namely when the number of assets $p$ depends on the sample size $n$...
View ArticleA Mathematical Analysis of Technical Analysis. (arXiv:1710.09476v1 [q-fin.MF])
In this paper, we study trading strategies based on exponential moving averages (ExpMA), an important indicator in technical analysis. We seek optimal ExpMA strategies when the drift of the underlying...
View ArticleReference Class Forecasting for Hong Kong's Major Roadworks Projects....
Reference class forecasting is a method to remove optimism bias and strategic misrepresentation in infrastructure projects and programmes. In 2012 the Hong Kong government's Development Bureau...
View ArticleFrom Ecology to Finance (and Back?): Recent Advancements in the Analysis of...
Bipartite networks provide an insightful representation of many systems, ranging from mutualistic networks of species interactions to investment networks in finance. The analysis of their topological...
View ArticleOn Fair Reinsurance Premiums; Capital Injections in a Perturbed Risk Model....
We consider a risk model in which deficits after ruin are covered by a new type of reinsurance contract that provides capital injections which depend on a chosen level of retention. To allow the...
View ArticleSimulating the deep decarbonisation of residential heating for limiting...
We take a simulation-based approach for modelling ten scenarios, aiming at near-zero global CO2 emissions by 2050 in the residential heating sector, using different combinations of policy instruments....
View ArticleStatistical validation of financial time series via visibility graph....
Statistical physics of complex systems exploits network theory not only to model, but also to effectively extract information from many dynamical real-world systems. A pivotal case of study is given by...
View ArticleLarge deviation principle for Volterra type fractional stochastic volatility...
We study fractional stochastic volatility models for the asset price, in which the volatility process is a positive continuous function $\sigma$ of a continuous fractional stochastic process...
View Article