Copula-Based Univariate Time Series Structural Shift Identification Test....
An approach is proposed to determine structural shift in time-series assuming non-linear dependence of lagged values of dependent variable. Copulas are used to model non-linear dependence of time...
View ArticleA Simple Model of Credit Expansion. (arXiv:1609.05055v1 [q-fin.GN])
The proposed model is aimed to reveal important patterns in the behavior of a simplified financial system. The patterns could be detected as regular cycles consisting of debt bubbles and crises....
View ArticleExport dynamics as an optimal growth problem in the network of global...
We analyze export data aggregated at world global level of 219 classes of products over a period of 39 years. Our main goal is to set up a dynamical model to identify and quantify plausible mechanisms...
View ArticleSpatial firm competition in two dimensions with linear transportation costs:...
Models of spatial firm competition assume that customers are distributed in space and transportation costs are associated with their purchases of products from a small number of firms that are also...
View ArticleAsset Pricing in a Semi-Markov Modulated Market with Time-dependent...
This project attempts to address the problem of asset pricing in a financial market, where the interest rates and volatilities exhibit regime switching. This is an extension of the Black-Scholes model....
View ArticleMicroscopic Understanding of Cross-Responses between Stocks: a Two-Component...
We construct a price impact model between stocks in a correlated market. For the price change of a given stock induced by the short-run liquidity of this stock itself and of the information about other...
View ArticleAsymptotic properties of maximum likelihood estimator for the growth rate for...
We consider a jump-type Cox-Ingersoll-Ross (CIR) process driven by a subordinator, and we study asymptotic properties of the maximum likelihood estimator (MLE) for its growth rate. We distinguish three...
View ArticleBounds for VIX Futures given S&P 500 Smiles. (arXiv:1609.05832v1 [q-fin.PR])
We derive sharp bounds for the prices of VIX futures using the full information of S&P 500 smiles. To that end, we formulate the model-free sub/superreplication of the VIX by trading in the S&P...
View ArticleStatic vs adapted optimal execution strategies in two benchmark trading...
We consider the optimal solutions to the trade execution problem in the two different classes of i) fully adapted or adaptive and ii) deterministic or static strategies, comparing them. We do this in...
View ArticleReplica Analysis for the Duality of the Portfolio Optimization Problem....
In the present paper, the primal-dual problem consisting of the investment risk minimization problem and the expected return maximization problem in the mean-variance model is discussed using replica...
View ArticlePredicting Future Shanghai Stock Market Price using ANN in the Period...
Predicting the prices of stocks at any stock market remains a quest for many investors and researchers. Those who trade at the stock market tend to use technical, fundamental or time series analysis in...
View ArticleFrom quantum mechanics to finance: Microfoundations for jumps, spikes and...
We present an agent behavior based microscopic model that induces jumps, spikes and high volatility phases in the price process of a traded asset. We transfer dynamics of thermally activated jumps of...
View ArticleCrises and Physical Phases of a Bipartite Market Model. (arXiv:1609.05939v1...
We analyze the linear response of a market network to shocks based on the bipartite market model we introduced in an earlier paper, which we claimed to be able to identify the time-line of the...
View ArticleData-driven nonlinear expectations for statistical uncertainty in decisions....
In stochastic decision problems, one often wants to estimate the underlying probability measure statistically, and then to use this estimate as a basis for decisions. We shall consider how the...
View ArticleMultivariate GARCH for a large number of stocks. (arXiv:1609.07051v1 [q-fin.GN])
The problems related to the application of multivariate GARCH models to a market with a large number of stocks are solved by restricting the form of the conditional covariance matrix. It contains one...
View ArticleGated Neural Networks for Option Pricing: Rationality by Design....
We propose a neural network approach to price EU call options that significantly outperforms some existing pricing models and comes with guarantees that its predictions are economically reasonable. To...
View ArticleStrongly Consistent Multivariate Conditional Risk Measures....
We consider families of strongly consistent multivariate conditional risk measures. We show that under strong consistency these families admit a decomposition into a conditional aggregation function...
View ArticleRisk-Consistent Conditional Systemic Risk Measures. (arXiv:1609.07897v1...
We axiomatically introduce risk-consistent conditional systemic risk measures defined on multidimensional risks. This class consists of those conditional systemic risk measures which can be decomposed...
View ArticleShort Maturity Asian Options in Local Volatility Models. (arXiv:1609.07559v1...
We present a rigorous study of the short maturity asymptotics for Asian options with continuous-time averaging, under the assumption that the underlying asset follows a local volatility model. The...
View ArticleDiscrete Sums of Geometric Brownian Motions, Annuities and Asian Options....
The discrete sum of geometric Brownian motions plays an important role in modeling stochastic annuities in insurance. It also plays a pivotal role in the pricing of Asian options in mathematical...
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