Clustering Approaches for Financial Data Analysis: a Survey....
Nowadays, financial data analysis is becoming increasingly important in the business market. As companies collect more and more data from daily operations, they expect to extract useful knowledge from...
View ArticleA stylized model for wealth distribution. (arXiv:1609.08978v1 [math.PR])
The recent book by T. Piketty (Capital in the Twenty-First Century) promoted the important issue of wealth inequality. In the last twenty years, physicists and mathematicians developed models to derive...
View ArticleWhen Big Data Fails! Relative success of adaptive agents using coarse-grained...
The recent trend for acquiring big data assumes that possessing quantitatively more and qualitatively finer data necessarily provides an advantage that may be critical in competitive situations. Using...
View ArticleRobust Optimal Investment in Discrete Time for Unbounded Utility Function....
This paper investigates the problem of maximizing expected terminal utility in a discrete-time financial market model with a finite horizon under non-dominated model uncertainty. We use a dynamic...
View ArticleBiased Roulette Wheel: A Quantitative Trading Strategy Approach....
The purpose of this research paper it is to present a new approach in the framework of a biased roulette wheel. It is used the approach of a quantitative trading strategy, commonly used in quantitative...
View ArticleThe Role of Rating and Loan Characteristics in Online Microfunding Behaviors....
We propose an in-depth study of lending behaviors in Kiva using a mix of quantitative and large-scale data mining techniques. Kiva is a non-profit organization that offers an online platform to connect...
View ArticleExponential functionals of Levy processes and variable annuity guaranteed...
Exponential functionals of Brownian motion have been extensively studied in financial and insurance mathematics due to their broad applications, for example, in the pricing of Asian options. The...
View ArticleOptimal Portfolios of Illiquid Assets. (arXiv:1610.00395v1 [q-fin.MF])
This paper investigates the investment behaviour of a large unregulated financial institution (FI) with CARA risk preferences. It shows how the FI optimizes its trading to account for market...
View ArticleDecoupling the short- and long-term behavior of stochastic volatility....
We study the empirical properties of realized volatility of the E-mini S&P 500 futures contract at various time scales, ranging from a few minutes to one day. Our main finding is that intraday...
View ArticleVolatility Inference and Return Dependencies in Stochastic Volatility Models....
Stochastic volatility models describe stock returns $r_t$ as driven by an unobserved process capturing the random dynamics of volatility $v_t$. The present paper quantifies how much information about...
View ArticleThe complex dynamics of products and its asymptotic properties....
We analyze global export data within the Economic Complexity framework. We couple the new economic dimension Complexity, which captures how sophisticated products are, with an index called logPRODY, a...
View ArticleLimit Order Strategic Placement with Adverse Selection Risk and the Role of...
This paper is split in three parts: first we use labelled trade data to exhibit how market participants accept or not transactions via limit orders as a function of liquidity imbalance; then we develop...
View ArticleHysteresis and Duration Dependence of Financial Crises in the US: Evidence...
This study analyses the duration dependence of events that trigger volatility persistence in stock markets. Such events, in our context, are monthly spells of contiguous price decline or negative...
View ArticleXVA at the Exercise Boundary. (arXiv:1610.00256v1 [q-fin.PR])
XVA is a material component of a trade valuation and hence it must impact the decision to exercise options within a given netting set. This is true for both unsecured trades and secured / cleared...
View ArticleExponential utility maximization under model uncertainty for unbounded...
We consider the robust exponential utility maximization problem in discrete time: An investor maximizes the worst case expected exponential utility with respect to a family of non-dominated...
View ArticleInventory growth cycles with debt-financed investment. (arXiv:1610.00955v1...
We propose a continuous-time stock-flow consistent model for inventory dynamics in an economy with firms, banks, and households. On the supply side, firms decide on production based on adaptive...
View ArticleSharpe portfolio using a cross-efficiency evaluation. (arXiv:1610.00937v1...
The Sharpe ratio is a way to compare the excess returns (over the risk free asset) of portfolios for each unit of volatility that is generated by a portfolio. In this paper we introduce a robust Sharpe...
View ArticleThe Long Bond, Long Forward Measure and Long-Term Factorization in...
This paper proves existence of the long bond, long forward measure and long-term factorization of the stochastic discount factor (SDF) of Alvarez and Jermann (2005) and Hansen and Scheinkman (2009) in...
View ArticleA hybrid approach to assess systemic risk in financial networks....
We propose a credit risk approach in which financial institutions, modelled as a portfolio of risky assets characterized by a probability of default and a correlation matrix, are the nodes of a network...
View ArticleLong-Term Factorization of Affine Pricing Kernels. (arXiv:1610.00778v1...
This paper constructs and studies the long-term factorization of affine pricing kernels into discounting at the rate of return on the long bond and the martingale component that accomplishes the change...
View Article