An incomplete equilibrium with a stochastic annuity. (arXiv:1809.05947v1...
We prove the global existence of an incomplete, continuous-time finite-agent Radner equilibrium in which exponential agents optimize their expected utility over both running consumption and terminal...
View ArticleOptimal Dynamic Basis Trading. (arXiv:1809.05961v1 [q-fin.PM])
We study the problem of dynamically trading a futures contract and its underlying asset under a stochastic basis model. We describe the basis evolution by a scaled Brownian bridge, but also incorporate...
View ArticleTrends in the Diffusion of Misinformation on Social Media....
We measure trends in the diffusion of misinformation on Facebook and Twitter between January 2015 and July 2018. We focus on stories from 570 sites that have been identified as producers of false...
View ArticleKernel-based collocation methods for Heath-Jarrow-Morton models with Musiela...
We propose kernel-based collocation methods for numerical solutions to Heath-Jarrow-Morton models with Musiela parametrization. The methods can be seen as the Euler-Maruyama approximation of some...
View ArticleBSE: A Minimal Simulation of a Limit-Order-Book Stock Exchange....
This paper describes the design, implementation, and successful use of the Bristol Stock Exchange (BSE), a novel minimal simulation of a centralised financial market, based on a Limit Order Book (LOB)...
View ArticleModeling Nelson-Siegel Yield Curve using Bayesian Approach....
Yield curve modeling is an essential problem in finance. In this work, we explore the use of Bayesian statistical methods in conjunction with Nelson-Siegel model. We present the hierarchical Bayesian...
View ArticleA Generalized Framework for Simultaneous Long-Short Feedback Trading....
We present a generalization of the Simultaneous Long-Short (SLS) trading strategy described in recent control literature wherein we allow for different parameters across the short and long sides of the...
View ArticleThe distortion principle for insurance pricing: properties, identification...
Distortion (Denneberg 1990) is a well known premium calculation principle for insurance contracts. In this paper, we study sensitivity properties of distortion functionals w.r.t. the assumptions for...
View ArticleOn expansions for the Black-Scholes prices and hedge parameters....
We derive new formulas for the price of the European call and put options in the Black-Scholes model, under the form of uniformly convergent series generalizing previously known approximations. We also...
View ArticleDynamical variety of shapes in financial multifractality. (arXiv:1809.06728v1...
The concept of multifractality offers a powerful formal tool to filter out multitude of the most relevant characteristics of complex time series. The related studies thus far presented in the...
View ArticleA Consistent Stochastic Model of the Term Structure of Interest Rates for...
Explicitly taking into account the risk incurred when borrowing at a shorter tenor versus lending at a longer tenor ("roll-over risk"), we construct a stochastic model framework for the term structure...
View ArticleLiberal Radicalism: Formal Rules for a Society Neutral among Communities....
We propose a design for philanthropic or publicly-funded seeding to allow (near) optimal provision of a decentralized, self-organizing ecosystem of public goods. The concept extends ideas from...
View ArticleA Language for Large-Scale Collaboration in Economics: A Streamlined...
This paper introduces Sigma, a domain-specific computational representation for collaboration in large-scale for the field of economics. A computational representation is not a programming language or...
View ArticlePricing American Options by Exercise Rate Optimization. (arXiv:1809.07300v1...
We present a novel method for the numerical pricing of American options based on Monte Carlo simulation and optimization of exercise strategies. Previous solutions to this problem either explicitly or...
View ArticleParameter Estimation of Heavy-Tailed AR Model with Missing Data via...
The autoregressive (AR) model is a widely used model to understand time series data. Traditionally, the innovation noise of the AR is modeled as Gaussian. However, many time series applications, for...
View ArticleWeak Correlations of Stocks Future Returns. (arXiv:1806.05160v2 [q-fin.ST]...
We analyze correlations among stock returns via a series of widely adopted parameters which we refer to as explanatory variables. We subsequently exploit the results to propose a long only quantitative...
View ArticleTransport plans with domain constraints. (arXiv:1804.04283v2 [math.PR] UPDATED)
Let $\Omega$ be one of $\X^{N+1},C[0,1],D[0,1]$: product of Polish spaces, space of continuous functions from $[0,1]$ to $\mathbb{R}^d$, and space of RCLL (right-continuous with left limits) functions...
View ArticleEnabling Scientific Crowds: The Theory of Enablers for Crowd-Based Scientific...
Evidence shows that in a significant number of cases the current methods of research do not allow for reproducible and falsifiable procedures of scientific investigation. As a consequence, the majority...
View ArticleComplex market dynamics in the light of random matrix theory....
We present a brief overview of random matrix theory (RMT) with the objectives of highlighting the computational results and applications in financial markets as complex systems. An oft-encountered...
View ArticleA revisit of the Borch rule for the Principal-Agent Risk-Sharing problem....
In this paper we provide a new approach to tackle the Principal-Agent Risk-Sharing problem using optimal stochastic control technics. Our analysis relies on an optimal decomposition of the expected...
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