Analysis of Financial Credit Risk Using Machine Learning. (arXiv:1802.05326v1...
Corporate insolvency can have a devastating effect on the economy. With an increasing number of companies making expansion overseas to capitalize on foreign resources, a multinational corporate...
View ArticleKinetic Theory for Finance Brownian Motion from Microscopic Dynamics....
Recent technological development has enabled researchers to study social phenomena scientifically in detail and financial markets has particularly attracted physicists since the Brownian motion has...
View ArticlePricing Options with Exponential Levy Neural Network. (arXiv:1802.06520v1...
In this paper, we propose the exponential Levy neural network (ELNN) for option pricing, which is a new non-parametric exponential Levy model using artificial neural networks (ANN). The ELNN fully...
View ArticleHow local in time is the no-arbitrage property under capital gains taxes ?....
In frictionless financial markets, no-arbitrage is a local property in time. This means, a discrete time model is arbitrage-free if and only if there does not exist a one-period-arbitrage. With capital...
View ArticleSimple Bounds for Transaction Costs. (arXiv:1802.06120v1 [q-fin.PM])
Using elementary arguments, we derive $\L_{p}$-error bounds for the approximation of frictionless wealth process in markets with proportional transaction costs. For utilities with bounded risk...
View ArticleMarket Impact in a Latent Order Book. (arXiv:1802.06101v1 [q-fin.TR])
We revisit the classical problem of market impact through the lens of a new agent-based model. Drawing from the mean-field approach in Statistical Mechanics and Physics, we assume a large number of...
View ArticleAnalytical Validation Formulas for Best Estimate Calculation in Traditional...
Within the context of traditional life insurance, a model-independent relationship about how the market value of assets is attributed to the best estimate, the value of in-force business and tax is...
View ArticleAchieving perfect coordination amongst agents in the co-action minority game....
We discuss the strategy that rational agents can use to maximize their expected long-term payoff in the co-action minority game. We argue that the agents will try to get into a cyclic state, where each...
View ArticleThe Security of the United Kingdom Electricity Imports under Conditions of...
Energy policy in Europe has been driven by the three goals of security of supply, economic competitiveness and environmental sustainability, referred to as the energy trilemma. Although there are clear...
View ArticleBlockchain: Data Malls, Coin Economies and Keyless Payments....
We discuss several uses of blockchain (and, more generally, distributed ledger) technologies outside of cryptocurrencies with a pragmatic view. We mostly focus on three areas: the role of coin...
View ArticleExtracting the multi-timescale activity patterns of online financial markets....
Online financial markets can be represented as complex systems where trading dynamics can be captured and characterized at different resolutions and time scales. In this work, we develop a methodology...
View ArticleWhy are Megaprojects, Including Nuclear Power Plants, Delivered Overbudget...
In the first section, this report analyses Nuclear Power Plants (NPPs) in the context of megaprojects, explaining why they are often delivered over budget and late. In the second section, the report...
View ArticleWhat are the most important factors that influence the changes in London Real...
In recent years, real estate industry has captured government and public attention around the world. The factors influencing the prices of real estate are diversified and complex. However, due to the...
View ArticleOptimal inventory management and order book modeling. (arXiv:1802.08135v1...
We model the behavior of three agent classes acting dynamically in a limit order book of a financial asset. Namely, we consider market makers (MM), high-frequency trading (HFT) firms, and institutional...
View ArticleA Unified Modeling Framework for Life and Non-Life Insurance....
In this paper we propose for the first time a unified framework suitable for modeling both life and non-life insurance market, with nontrivial dependence with the financial market. We introduce a...
View ArticleComplexity, Centralization, and Fragility in Economic Networks....
Trade networks, across which countries distribute their products, are crucial components of the globalized world economy. Their structure is strongly heterogeneous across products, given the different...
View ArticleComputation of optimal transport and related hedging problems via...
This paper presents a widely applicable approach to solving (multi-marginal, martingale) optimal transport and related problems via neural networks. The core idea is to penalize the optimization...
View ArticleMarket Impact: A systematic study of limit orders. (arXiv:1802.08502v1...
This paper is devoted to the important yet little explored subject of the market impact of limit orders. Our analysis is based on a proprietary database of metaorders - large orders that are split into...
View ArticleTime Consistent Stopping For The Mean-Standard Deviation Problem --- The...
Inspired by Strotz's consistent planning strategy, we formulate the infinite horizon mean-variance stopping problem as a subgame perfect Nash equilibrium in order to determine time consistent...
View ArticleControlling Human Utilization of Failure-Prone Systems via Taxes....
We consider a game-theoretic model where individuals compete over a shared failure-prone system or resource. We investigate the effectiveness of a taxation mechanism in controlling the utilization of...
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