Is there a housing bubble in China. (arXiv:1801.03678v1 [q-fin.RM])
There is a growing concern in recent years over the potential formation of bubbles in the Chinese real estate market. This paper aims to conduct a series of bubble diagnostic analysis over nine...
View ArticleRobust martingale selection problem and its connections to the no-arbitrage...
We analyze the martingale selection problem of Rokhlin (2006) in a pointwise (robust) setting. We derive conditions for solvability of this problem and show how it is related to the classical...
View ArticleGenerative Models for Stochastic Processes Using Convolutional Neural...
The present paper aims to demonstrate the usage of Convolutional Neural Networks as a generative model for stochastic processes, enabling researchers from a wide range of fields (such as quantitative...
View ArticleCoexistence of several currencies in presence of increasing returns to...
We present a simplistic model of the competition between different currencies. Each individual is free to choose the currency that minimizes his transaction costs, which arise whenever his exchanging...
View ArticleRegression Based Expected Shortfall Backtesting. (arXiv:1801.04112v1 [q-fin.RM])
In this article, we introduce a regression based backtest for the risk measure Expected Shortfall (ES) which is based on a joint regression framework for the quantile and the ES. We also introduce a...
View ArticleOptimal contracts under competition when uncertainty from adverse selection...
In a continuous-time setting where a risk-averse agent controls the drift of an output process driven by a Brownian motion, optimal contracts are linear in the terminal output; this result is...
View ArticleAsymptotic Static Hedge via Symmetrization. (arXiv:1801.04045v1 [q-fin.PR])
This paper is a continuation of Akahori-Barsotti-Imamura (2017) and where the authors i) showed that a payment at a random time, which we call timing risk, is decomposed into an integral of static...
View ArticleEvolutionary dynamics of the cryptocurrency market. (arXiv:1705.05334v3...
The cryptocurrency market surpassed the barrier of \$100 billion market capitalization in June 2017, after months of steady growth. Despite its increasing relevance in the financial world, however, a...
View ArticleUrn model for products' shares in international trade. (arXiv:1801.04910v1...
International trade fluxes evolve as countries revise their portfolios of trade products towards economic development. Accordingly products' shares in international trade vary with time, reflecting the...
View ArticleDemographic Modeling Via 3-dimensional Markov Chains. (arXiv:1801.04841v1...
This article presents a new model for demographic simulation which can be used to forecast and estimate the number of people in pension funds (contributors and retirees) as well as workers in a public...
View ArticleIrreversible investment with fixed adjustment costs: a stochastic impulse...
We consider an optimal stochastic impulse control problem over an infinite time horizon motivated by a model of irreversible investment choices with fixed adjustment costs. By employing techniques of...
View ArticleThe Influence of Seed Selection on the Solvency II Ratio. (arXiv:1801.05409v1...
This article contains the first published example of a real economic balance sheet where the Solvency II ratio substantially depends on the seed selected for the random number generator (RNG) used. The...
View ArticleShooting Low or High: Do Countries Benefit from Entering Unrelated...
It is well known that countries tend to diversify their exports by entering products that are related to their current exports. Yet this average behavior is not representative of every diversification...
View ArticleGreedy algorithms and Zipf laws. (arXiv:1801.05279v1 [cond-mat.stat-mech])
We consider a simple model of firm/city/etc. growth based on a multi-item criterion: whenever entity B fares better that entity A on a subset of $M$ items out of $K$, the agent originally in A moves to...
View ArticleConsistent Valuation Across Curves Using Pricing Kernels. (arXiv:1801.04994v1...
The general problem of asset pricing when the discount rate differs from the rate at which an asset's cash flows accrue is considered. A pricing kernel framework is used to model an economy that is...
View ArticleThe macroeconomics determinants of default of the borrowers: The case of...
This article aims to explore an empirical approach to analyze the macroeconomics determinants of default of borrowers. For this purpose, we have measured the impact of the adverse economic conditions...
View ArticleCryptoRuble: From Russia with Love. (arXiv:1801.05760v1 [q-fin.GN])
We discuss Russia's underlying motives for issuing its government-backed cryptocurrency, CryptoRuble, and the implications thereof and of other likely-soon-forthcoming government-issued...
View ArticleEvaluating the role of risk networks on risk identification, classification...
Modern society heavily relies on strongly connected, socio-technical systems. As a result, distinct risks threatening the operation of individual systems can no longer be treated in isolation....
View ArticlePart 1: Training Sets & ASG Transforms. (arXiv:1801.05752v1 [q-fin.CP])
In this paper, I discuss a method to tackle the issues arising from the small data-sets available to data-scientists when building price predictive algorithms that use monthly/quarterly macro-financial...
View ArticleA subordinated CIR intensity model with application to Wrong-Way risk CVA....
Credit Valuation Adjustment (CVA) pricing models need to be both flexible and tractable. The survival probability has to be known in closed form (for calibration purposes), the model should be able to...
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