Time-consistent conditional expectation under probability distortion....
We introduce a new notion of conditional nonlinear expectation where the underlying probability scale is distorted by a weight function. Such a distorted nonlinear expectation is not sub-additive in...
View ArticleThe "power" dimension in a process of exchange. (arXiv:1809.08293v1...
The paper examines the exchange of goods or services between only two subjects. The analysis is aimed at examining in particular the first phases of the process which, through negotiation, leads to the...
View ArticleRobustness in the Optimization of Risk Measures. (arXiv:1809.09268v1 [q-fin.RM])
In this paper, we study issues of robustness in the context of Quantitative Risk Management. Depending on the underlying objectives, we develop a general methodology for determining whether a given...
View ArticleA model of adaptive, market behavior generating positive returns, volatility...
We describe a simple model for speculative trading based on adaptive behavior of economic agents.The adaptive behavior is expressed through a feedback mechanism for changing agents' stock-to-bond...
View ArticleDeterministic Conditions for the Absence and Existence of Arbitrage in...
We introduce a general framework for one- and multidimensional financial markets and study no arbitrage conditions. More precisely, we derive deterministic conditions for the existence and nonexistence...
View ArticleTemporal Relational Ranking for Stock Prediction. (arXiv:1809.09441v1 [cs.CE])
Stock prediction aims to predict the future trends of a stock in order to help investors to make good investment decisions. Traditional solutions for stock prediction are based on time-series models....
View ArticleDerivatives pricing using signature payoffs. (arXiv:1809.09466v1 [q-fin.CP])
We introduce signature payoffs, a family of path-dependent derivatives that are given in terms of the signature of the price path of the underlying asset. We show that these derivatives are dense in...
View ArticleAsynchronous stochastic price pump. (arXiv:1809.09273v1 [q-fin.TR])
We propose a model for equity trading in a population of agents where each agent acts to achieve his or her target stock-to-bond ratio, and, as a feedback mechanism, follows a market adaptive strategy....
View ArticleStrong and Weak Equilibria for Time-Inconsistent Stochastic Control in...
A new definition of continuous-time equilibrium controls is introduced. As opposed to the standard definition, which involves a derivative-type operation, the new definition parallels how a...
View ArticleExtended opportunity cost model to find near equilibrium electricity prices...
This paper finds near equilibrium prices for electricity markets with nonconvexities due to binary variables, in order to reduce the market participants' opportunity costs, such as generators'...
View ArticleA big data based method for pass rates optimization in mathematics university...
In this paper an algorithm designed for large databases is introduced for the enhancement of pass rates in mathematical university lower division courses with several sections. Using integer...
View ArticleTrading Strategies Generated by Path-dependent Functionals of Market Weights....
Almost twenty years ago, E.R. Fernholz introduced portfolio generating functions which can be used to construct a variety of portfolios, solely in the terms of the individual companies' market weights....
View ArticleRisk sharing for capital requirements with multidimensional security markets....
We consider the risk sharing problem for capital requirements induced by capital adequacy tests and security markets. The agents involved in the sharing procedure may be heterogeneous in that they...
View ArticleCapturing Model Risk and Rating Momentum in the Estimation of Probabilities...
This paper focuses on estimating, in Markov and non-Markov setups, rating transition probabilities crucial in financial regulation. We first deal with the estimation of a continuous time Markov chain...
View ArticleMonotone Sharpe ratios and related measures of investment performance....
We introduce a new measure of performance of investment strategies, the monotone Sharpe ratio. We study its properties, establish a connection with coherent risk measures, and obtain an efficient...
View ArticleSome Nontrivial Properties of a Formula for Compound Interest....
We analyze the classical model of compound interest with a constant per-period payment and interest rate. We examine the outstanding balance function as well as the periodic payment function and show...
View ArticleAn Adaptive Tabu Search Algorithm for Market Clearing Problem in Turkish...
In this study, we focus on the market clearing problem of Turkish day-ahead electricity market. We propose a mathematical model by extending the variety of bid types for different price regions. The...
View ArticleA Numerical Study of Carr and Lee's Correlation Immunization Strategy for...
In their seminal work `Robust Replication of Volatility Derivatives,' Carr and Lee show how to robustly price and replicate a variety of claims written on the quadratic variation of a risky asset under...
View ArticleGeneral multilevel Monte Carlo methods for pricing discretely monitored Asian...
We describe general multilevel Monte Carlo methods that estimate the price of an Asian option monitored at $m$ fixed dates. Our approach yields unbiased estimators with standard deviation $O(\epsilon)$...
View ArticleMethods and Concepts in Economic Complexity. (arXiv:1809.10781v1...
Knowhow in societies accumulates as it gets transmitted from group to group, and from generation to generation. However, we lack of a unified quantitative formalism that takes into account the...
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