Simple Explicit Formula for Near-Optimal Stochastic Lifestyling....
In lifecycle economics the Samuelson paradigm (Samuelson, 1969) states that optimal investment is in constant proportions out of lifetime wealth (composed of current savings and future income). It is...
View ArticleSABCEMM-A Simulation Framework for Agent-Based Computational Economic Market...
We introduce the simulation tool SABCEMM (Simulate Agent-Based Computational Economic Market Models) for agent-based computational economic market (ABCEM) models. Our simulation tool is implemented in...
View ArticleDeep Learning for Forecasting Stock Returns in the Cross-Section....
Many studies have been undertaken by using machine learning techniques, including neural networks, to predict stock returns. Recently, a method known as deep learning, which achieves high performance...
View ArticleConstructing Metropolis-Hastings proposals using damped BFGS updates....
This paper considers the problem of computing Bayesian estimates of system parameters and functions of them on the basis of observed system performance data. This is a previously studied issue where...
View ArticleExpansion formulas for European quanto options in a local volatility FX-LIBOR...
We develop an expansion approach for the pricing of European quanto options written on LIBOR rates (of a foreign currency). We derive the dynamics of the system of foreign LIBOR rates under the...
View ArticleGames of Incomplete Information and Myopic Equilibria. (arXiv:1801.02444v1...
A new concept of an equilibrium in games is introduced that solves an open question posed by A. Neyman.
View ArticleA quantitative approach to choose among multiple mutually exclusive...
Mutually exclusive decisions have been studied for decades. Many well-known decision theories have been defined to help people either to make rational decisions or to interpret people's behaviors, such...
View ArticleThe Network of U.S. Mutual Fund Investments: Diversification, Similarity and...
Network theory proved recently to be useful in the quantification of many properties of financial systems. The analysis of the structure of investment portfolios is a major application since their...
View ArticleDynamic Clearing and Contagion in Financial Networks. (arXiv:1801.02091v1...
In this paper we will consider a generalized extension of the Eisenberg-Noe model of financial contagion to allow for time dynamics in both discrete and continuous time. Derivation and interpretation...
View ArticleBayesian Social Learning in a Dynamic Environment. (arXiv:1801.02042v1 [cs.SI])
Bayesian agents learn about a moving target, such as a commodity price, using private signals and their network neighbors' estimates. The weights agents place on these sources of information are...
View ArticleSales forecasting and risk management under uncertainty in the media...
In this work we propose a data-driven modelization approach for the management of advertising investments of a firm. First, we propose an application of dynamic linear models to the prediction of an...
View ArticlePredict Forex Trend via Convolutional Neural Networks. (arXiv:1801.03018v1...
Deep learning is an effective approach to solving image recognition problems. People draw intuitive conclusions from trading charts; this study uses the characteristics of deep learning to train...
View ArticleOn a Constructive Theory of Markets. (arXiv:1801.02994v1 [econ.EM])
This article is a prologue to the article "Why Markets are Inefficient: A Gambling 'Theory' of Financial Markets for Practitioners and Theorists." It presents important background for that article ---...
View ArticleA time change strategy to model reporting delay dynamics in claims reserving....
This paper considers the problem of predicting the number of claims that have already incurred in past exposure years, but which have not yet been reported to the insurer. This is an important building...
View ArticleDirichlet Forms and Finite Element Methods for the SABR Model....
We propose a deterministic numerical method for pricing vanilla options under the SABR stochastic volatility model, based on a finite element discretization of the Kolmogorov pricing equations via...
View ArticleDiversification, economies of scope, and exports growth of Chinese firms....
In the 1990s, China started a process of structural reforms and of trade liberalization, which was followed by the accession to the World Trade Organization (WTO) in 2001. In this paper, we analyze...
View ArticleTesting for Common Breaks in a Multiple Equations System. (arXiv:1606.00092v2...
The issue addressed in this paper is that of testing for common breaks across or within equations of a multivariate system. Our framework is very general and allows integrated regressors and trends as...
View ArticleFrom Az\'ema supermartingales of finite honest times to optional...
Given a finite honest time, we derive representations for the additive and multiplicative decomposition of it's Az\'ema supermartingale in terms of optional supermartingales and its running supremum....
View ArticleViable Insider Markets. (arXiv:1801.03720v1 [q-fin.MF])
We consider the problem of optimal inside portfolio $\pi(t)$ in a financial market with a corresponding wealth process $X(t)=X^{\pi}(t)$ modelled by \begin{align}\label{eq0.1} \begin{cases}...
View ArticleThe time interpretation of expected utility theory. (arXiv:1801.03680v1...
Decision theory is the model of individual human behavior employed by neoclassical economics. Built on this model of individual behavior are models of aggregate behavior that feed into models of...
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