Insider Trading with Penalties. (arXiv:1809.07545v1 [q-fin.TR])
We consider a one-period Kyle (1985) framework where the insider can be subject to a penalty if she trades. We establish existence and uniqueness of equilibrium for virtually any penalty function when...
View ArticleOn the quasi-sure superhedging duality with frictions. (arXiv:1809.07516v1...
We prove the superhedging duality for a discrete-time financial market with proportional transaction costs under portfolio constraints and model uncertainty. Frictions are modeled through solvency...
View ArticleUnfolding the complexity of the global value chain: Strengths and entropy in...
The worldwide trade network has been widely studied through different data sets and network representations with a view to better understanding interactions among countries and products. Here, we...
View ArticleGeometric Local Variance Gamma model. (arXiv:1809.07727v1 [q-fin.PR])
This paper describes another extension of the Local Variance Gamma model originally proposed by P. Carr in 2008, and then further elaborated on by Carr and Nadtochiy, 2017 (CN2017), and Carr and Itkin,...
View ArticleFast Hybrid Schemes for Fractional Riccati Equations (Rough is not so Tough)....
We solve a family of fractional Riccati differential equations with constant (possibly complex) coefficients. These equations arise, e.g., in fractional Heston stochastic volatility models, that have...
View ArticleEventological H-theorem. (arXiv:1809.08200v1 [q-fin.MF])
We prove the eventological $H$-theorem that complements the Boltzmann H-theorem from statistical mechanics and serves as a mathematical excuse (mathematically no less convincing than the Boltzmann...
View ArticleA Game of Tax Evasion: evidences from an agent-based model....
This paper presents a simple agent-based model of an economic system, populated by agents playing different games according to their different view about social cohesion and tax payment. After a first...
View ArticleOptimal investment and consumption for Ornstein-Uhlenbeck spread financial...
We consider a spread financial market defined by the multidimensional Ornstein--Uhlenbeck (OU) process. We study the optimal consumption/investment problem for logarithmic utility functions in the base...
View ArticleState-dependent Hawkes processes and their application to limit order book...
We study statistical aspects of state-dependent Hawkes processes, which are an extension of Hawkes processes where a self- and cross-exciting counting process and a state process are fully coupled,...
View ArticleInferring short-term volatility indicators from Bitcoin blockchain....
In this paper, we study the possibility of inferring early warning indicators (EWIs) for periods of extreme bitcoin price volatility using features obtained from Bitcoin daily transaction graphs. We...
View ArticleOn a gap between rational annuitization price for producer and price for...
The paper studies pricing of insurance products focusing on the pricing of annuities under uncertainty. This pricing problem is crucial for financial decision making and was studied intensively,...
View ArticleAn extension of Heston's SV model to Stochastic Interest Rates....
In 'A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options', Heston proposes a Stochastic Volatility (SV) model with constant interest rate and...
View ArticlePortfolio Optimization under Fast Mean-reverting and Rough Fractional...
Fractional stochastic volatility models have been widely used to capture the non-Markovian structure revealed from financial time series of realized volatility. On the other hand, empirical studies...
View ArticleChaos and Order in the Bitcoin Market. (arXiv:1809.08403v1 [q-fin.ST])
The bitcoin price has surged in recent years and it has also exhibited phases of rapid decay. In this paper we address the question to what extent this novel cryptocurrency market can be viewed as a...
View ArticleCentral Bank Communication and the Yield Curve: A Semi-Automatic Approach...
Communication is now a standard tool in the central bank's monetary policy toolkit. Theoretically, communication provides the central bank an opportunity to guide public expectations, and it has been...
View ArticleFinancial accumulation implies ever-increasing wealth inequality....
Wealth inequality is an important matter for economic theory and policy. Ongoing debates have been discussing recent rise in wealth inequality in connection with recent development of active financial...
View ArticleConstructing Financial Sentimental Factors in Chinese Market Using Natural...
In this paper, we design an integrated algorithm to evaluate the sentiment of Chinese market. Firstly, with the help of the web browser automation, we crawl a lot of news and comments from several...
View ArticleTail probabilities for short-term returns on stocks. (arXiv:1809.08416v1...
We consider the tail probabilities of stock returns for a general class of stochastic volatility models. In these models, the stochastic differential equation for volatility is autonomous,...
View ArticleEliciting the Endowment Effect under Assigned Ownership. (arXiv:1809.08500v1...
The endowment effect is the tendency for people who own a good to value it more than people who do not. Its economic impact is consequential. It creates market inefficiencies and irregularities in...
View ArticleExact Solutions for a GBM-type Stochastic Volatility Model having a...
We find various exact solutions for a new stochastic volatility (SV) model: the transition probability density, European-style option values, and (when it exists) the martingale defect. This may...
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