Mislearning from Censored Data: Gambler's Fallacy in a Search Problem....
In the context of a sequential search problem, I explore large-generations learning dynamics for agents who suffer from the "gambler's fallacy" - the statistical bias of anticipating too much...
View ArticleFinancial Contagion in a Generalized Stochastic Block Model....
We extend analytic large network results on default contagion in random graphs to capture a pronounced Block Model structure. This includes as a special case the Core-Periphery network structure, which...
View ArticleOptimal price management in retail energy markets: an impulse control problem...
We consider a retailer who buys energy in the wholesale market and resells it to final consumers. The retailer has to decide when to intervene to change the price he asks to his customers, in order to...
View ArticleAn Economic Bubble Model and Its First Passage Time. (arXiv:1803.08160v1...
We introduce a new diffusion process Xt to describe asset prices within an economic bubble cycle. The main feature of the process, which differs from existing models, is the drift term where a...
View ArticleA structural Heath-Jarrow-Morton framework for consistent intraday, spot, and...
In this paper we introduce a flexible HJM-type framework that allows for consistent modelling of prices of intraday, spot, futures, and options on futures. The link with the intraday market is in...
View ArticleFast swaption pricing in Gaussian term structure models. (arXiv:1803.08803v1...
We propose a fast and accurate numerical method for pricing European swaptions in multi-factor Gaussian term structure models. Our method can be used to accelerate the calibration of such models to the...
View ArticleMeasurement of the evolution of technology: A new perspective....
A fundamental problem in technological studies is how to measure the evolution of technology. The literature has suggested several approaches to measuring the level of technology (or state-of-the-art)...
View ArticleSME investment best strategies. Outliers for assessing how to optimize...
Any research on strategies for reaching business excellence aims at revealing the appropriate course of actions any executive should consider. Thus, discussions take place on how effective a...
View ArticleApologia Pro Vita Sua: The Vanishing of the White Whale in the Mists....
There are many analogies among fortune hunting in business, politics, and science. The prime task of the gold digger was to go to the Klondikes, find the right mine and mine the richest veins. This...
View ArticleTowards equation of state for a market: A thermodynamical paradigm of...
Considering equilibrium thermodynamics, foundations are the equation of state (EoS) and four postulated laws of thermodynamics. We use equilibrium thermodynamics paradigms in constructing the EoS for...
View ArticleCAP and Monetary Policy. (arXiv:1807.09475v1 [econ.GN])
Despite the importance of CAP-related agricultural market regulation mechanisms within Europe, the agricultural sectors in European countries retain a degree of sensitivity to macroeconomic activity...
View ArticleEntropy Analysis of Financial Time Series. (arXiv:1807.09423v1 [q-fin.ST])
This thesis applies entropy as a model independent measure to address three research questions concerning financial time series. In the first study we apply transfer entropy to drawdowns and drawups in...
View ArticleInvestigating the configurations in cross-shareholding: a joint...
--- the companies populating a Stock market, along with their connections, can be effectively modeled through a directed network, where the nodes represent the companies, and the links indicate the...
View ArticleIncreasing returns to scale without sorting or agglomeration economies....
We show that the phenomenon of Increasing Returns to Scale (IRS) can artificially emerge in the absence of any type of sorting or agglomeration effects, in a systematic, predictable and measurable way....
View ArticleThe Evolution of Security Prices Is Governed by a Physicomathematical Law....
Since Bachelier's thesis in 1900, when mathematical finance began, attempts at understanding the nature of stock market prices and at predicting them have not succeeded. Statistical models have only...
View ArticleKey Borrowers Detection by Long-Range Interactions. (arXiv:1807.10115v1...
We propose a new method for assessing agents' influence in financial network structures, which takes into consideration the intensity of interactions. A distinctive feature of this approach is that it...
View ArticleA Collaborative Approach to Angel and Venture Capital Investment...
Matrix factorization was used to generate investment recommendations for investors. An iterative conjugate gradient method was used to optimize the regularized squared-error loss function. The number...
View ArticleIncremental Sharpe and other performance ratios. (arXiv:1807.09864v1 [q-fin.PM])
We present a new methodology of computing incremental contribution for performance ratios for portfolio like Sharpe, Treynor, Calmar or Sterling ratios. Using Euler's homogeneous function theorem, we...
View ArticleBetas, Benchmarks and Beating the Market. (arXiv:1807.09919v1 [q-fin.PM])
We give an explicit formulaic algorithm and source code for building long-only benchmark portfolios and then using these benchmarks in long-only market outperformance strategies. The benchmarks (or the...
View ArticleFormalizing the Cox-Ross-Rubinstein pricing of European derivatives in...
We formalize in the proof assistant Isabelle essential basic notions and results in financial mathematics. We provide generic formal definitions of concepts such as markets, portfolios, derivative...
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