Optimal Consumption and Investment with Fixed and Proportional Transaction...
The classical optimal investment and consumption problem with infinite horizon is studied in the presence of transaction costs. Both proportional and fixed costs as well as general utility functions...
View ArticleA framework for analyzing contagion in assortative banking networks....
We introduce a probabilistic framework that represents stylized banking networks with the aim of predicting the size of contagion events. Most previous work on random financial networks assumes...
View ArticleOptimal trading policies for wind energy producer. (arXiv:1610.04458v1...
We study the optimal trading policies for a wind energy producer who aims to sell the future production in the open forward, spot, intraday and adjustment markets, and who has access to imperfect...
View ArticleTime-Varying Comovement of Foreign Exchange Markets. (arXiv:1610.04334v1...
A time-varying cointegration model for foreign exchange rates is presented. Unlike previous studies, we allow the loading matrix in the vector error correction (VEC) model to be varying over time....
View ArticleUrban-rural gap and poverty traps in China: A prefecture level analysis....
Urban-rural gap and regional inequality are long standing problems in China and result in considerable number of studies. This paper examines the dynamic behaviors of incomes for both urban and rural...
View ArticleAn explicit formula for optimal portfolios in complete Wiener driven markets:...
The optimal investment problem is one of the most important problems in mathematical finance. The main contribution of the present paper is an explicit formula for the optimal portfolio process. Our...
View ArticleUncertainty Estimates in the Heston Model via Fisher Information....
We address the information content of European option prices about volatility in terms of the Fisher information matrix. We assume that observed option prices are centred on the theoretical price...
View ArticleApproximate pricing of European and Barrier claims in a local-stochastic...
We derive asymptotic expansions for the prices of a variety of European and barrier-style claims in a general local-stochastic volatility setting. Our method combines Taylor series expansions of the...
View ArticleTwo approaches to modeling the interaction of small and medium price-taking...
The paper presents two new approaches to modeling the interaction of small and medium pricetaking traders with a stock exchange. In the framework of these approaches, the traders can form and manage...
View Article"Butterfly Effect" vs Chaos in Energy Futures Markets....
In this paper we test for the sensitive dependence on initial conditions (the so called "butterfly effect") of energy futures time series (heating oil, natural gas), and thus the determinism of those...
View ArticlePrice Dynamics Via Expectations, and the Role of Money Therein....
Beyond its obvious macro-economic relevance, fiat money has important micro-economic implications. They matter for addressing No. 8 in Smale's "Mathematical Problems for the Next Century": extend the...
View ArticleGeneralization error minimization: a new approach to model evaluation and...
We study model evaluation and model selection from the perspective of generalization ability (GA): the ability of a model to predict outcomes in new samples from the same population. We believe that GA...
View ArticleDetection of intensity bursts using Hawkes processes: an application to high...
Given a stationary point process, an intensity burst is defined as a short time period during which the number of counts is larger than the typical count rate. It might signal a local non-stationarity...
View ArticleNetwork reconstruction via density sampling. (arXiv:1610.05494v1...
Reconstructing weighted networks from partial information is necessary in many important circumstances, e.g. for a correct estimation of systemic risk. It has been shown that, in order to achieve an...
View ArticleCentrality measures in networks based on nodes attributes, long-range...
We propose a new method for assessing agents influence in network structures, which takes into consideration nodes attributes, individual and group influences of nodes, and the intensity of...
View ArticleRobust Markowitz mean-variance portfolio selection under ambiguous volatility...
This paper studies a robust continuous-time Markowitz portfolio selection problem where the model uncertainty carries on the variance-covariance matrix of the risky assets. This problem is formulated...
View ArticlePopulation growth, interest rate, and housing tax in the transitional China....
This paper combines and develops the models in Lastrapes (2002) and Mankiw & Weil (1989), which enables us to analyze the effects of interest rate and population growth shocks on housing price in...
View ArticleThe asset price bubbles in emerging financial markets: a new statistical...
The bubble is a controversial and important issue. Many methods which based on the rational expectation have been proposed to detect the bubble. However, for some developing countries, epically China,...
View ArticleAsymptotic of Non-Crossings probability of Additive Wiener Fields....
Let $W_i=\{W_i(t_i), t_i\in \R_+\}, i=1,2,\ldots,d$ are independent Wiener processes. $W=\{W(\mathbf{t}),t\in \R_+^d\}$ be the additive Wiener field define as the sum of $W_i$. For any trend $f$ in...
View ArticleTechniques for multifractal spectrum estimation in financial time series....
Multifractal analysis is one of the important approaches that enables us to measure the complexity of various data via the scaling properties. We compare the most common techniques used for...
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