Some Physics Notions on Monetary Standard. (arXiv:1712.00001v1 [q-fin.GN])
The economic concept of monetary standard of currencies is reviewed in a classical physics standpoint. Are analyzed the physical characteristics of the material elements used to represent value and how...
View ArticleInferring agent objectives at different scales of a complex adaptive system....
We introduce a framework to study the effective objectives at different time scales of financial market microstructure. The financial market can be regarded as a complex adaptive system, where...
View ArticleA particle model for the herding phenomena induced by dynamic market signals....
In this paper, we study the herding phenomena in financial markets arising from the combined effect of (1) non-coordinated collective interactions between the market players and (2) concurrent...
View ArticleA Numerical Method for Pricing Discrete Double Barrier Option by Lagrange...
In this paper, a rapid and high accurate numerical method for pricing discrete single and double barrier knock-out call options is presented. According to the well-known Black-Scholes framework, the...
View ArticleThe balance of growth and risk in population dynamics. (arXiv:1712.00979v1...
Essential to each other, growth and exploration are jointly observed in populations, be it alive such as animals and cells or inanimate such as goods and money. But their ability to move, crucial to...
View ArticleTemporal Attention augmented Bilinear Network for Financial Time-Series Data...
Financial time-series forecasting has long been a challenging problem because of the inherently noisy and stochastic nature of the market. In the High-Frequency Trading (HFT), forecasting for trading...
View ArticleAn Inverse Problem Study: Credit Risk Ratings as a Determinant of Corporate...
Credit risk rating is shown to be a relevant determinant in order to estimate good corporate governance and to self-optimize capital structure. The conclusion is argued from a study on a selected (and...
View ArticleDynamic optimization of a portfolio. (arXiv:1712.00585v1 [q-fin.PM])
In this paper, we consider the problem of optimization of a portfolio consisting of securities. An investor with an initial capital, is interested in constructing a portfolio of securities. If the...
View ArticleA Neural Stochastic Volatility Model. (arXiv:1712.00504v1 [cs.LG])
In this paper, we show that the recent integration of statistical models with deep recurrent neural networks provides a new way of formulating volatility (the degree of variation of time series) models...
View ArticleRetirement Wealth under Fixed Limits: The Optimal Strategy for Exponential...
For an exponential utility maximizing investment strategy in a Black-Scholes Setting, fixed upper and lower constraints are introduced on the terminal wealth. This is equivalent to combining the...
View ArticleEstimation for high-frequency data under parametric market microstructure...
In this paper, we propose a general class of noise-robust estimators based on the existing estimators in the non-noisy high-frequency data literature. The market microstructure noise is a known...
View ArticleQuantum Bounds for Option Prices. (arXiv:1712.01385v1 [q-fin.MF])
The Carr-Madan replication formula ensures that knowledge of the prices of options at every strike is equivalent to knowing the entire pricing distribution. In many situations, the available market...
View ArticleMulti-currency reserving for coherent risk measures. (arXiv:1712.01319v1...
We examine the problem of dynamic reserving for risk in multiple currencies under a general coherent risk measure. The reserver requires to hedge risk in a time-consistent manner by trading in baskets...
View ArticleRisk Apportionment: The Dual Story. (arXiv:1712.02182v1 [q-fin.RM])
By specifying model free preferences towards simple nested classes of lottery pairs, we develop the dual story to stand on equal footing with that of (primal) risk apportionment. The dual story...
View ArticleOn the Singular Control of Exchange Rates. (arXiv:1712.02164v1 [math.OC])
Consider the problem of a central bank that wants to manage the exchange rate between its domestic currency and a foreign one. The central bank can purchase and sell the foreign currency, and each...
View ArticleA cluster driven log-volatility factor model: a deepening on the source of...
We introduce a new factor model for log volatilities that performs dimensionality reduction and considers contributions globally through the market, and locally through cluster structure and their...
View ArticleListening to Chaotic Whispers: A Deep Learning Framework for News-oriented...
Stock trend prediction plays a critical role in seeking maximized profit from stock investment. However, precise trend prediction is very difficult since the highly volatile and non-stationary nature...
View ArticleUniversal fluctuations in growth dynamics of economic systems....
Work in econophysics has shown the existence of robust structures in economics data, which had been largely ignored in past economic literature. Many complex interacting systems in nature, such as...
View ArticleVariance and Volatility Swaps and Futures Pricing for Stochastic Volatility...
In this chapter, we consider volatility swap, variance swap and VIX future pricing under different stochastic volatility models and jump diffusion models which are commonly used in financial market. We...
View ArticleLinear and nonlinear market correlations: characterizing financial crises and...
Pearson correlation and mutual information based complex networks of the day-to-day returns of US S&P500 stocks between 1985 and 2015 have been constructed in order to investigate the mutual...
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