Complex Valued Risk Diversification. (arXiv:1810.04370v1 [q-fin.PM])
Risk diversification is one of the dominant concerns for portfolio managers. Various portfolio constructions have been proposed to minimize the risk of the portfolio under some constrains including...
View ArticleChallenges in approximating the Black and Scholes call formula with...
In this paper we introduce the concept of standardized call function and we obtain a new approximating formula for the Black and Scholes call function through the hyperbolic tangent. This formula is...
View ArticleMartingale Functional Control variates via Deep Learning. (arXiv:1810.05094v1...
We propose black-box-type control variate for Monte Carlo simulations by leveraging the Martingale Representation Theorem and artificial neural networks. We developed several learning algorithms for...
View ArticleTime consistency for scalar multivariate risk measures. (arXiv:1810.04978v1...
In this paper we present results on dynamic multivariate scalar risk measures, which arise in markets with transaction costs and systemic risk. Dual representations of such risk measures are presented....
View ArticleDeriving the factor endowment--commodity output relationship for Thailand...
Feeny (1982, pp. 26-28) referred to a three-factor two-good general equilibrium trade model, when he explained the relative importance of trade and factor endowments in Thailand 1880-1940. For example,...
View ArticleLifting the Heston model. (arXiv:1810.04868v1 [q-fin.CP])
How to reconcile the classical Heston model with its rough counterpart? We introduce a lifted version of the Heston model with n multi-factors, sharing the same Brownian motion but mean reverting at...
View ArticleIntegrating electricity markets: Impacts of increasing trade on prices and...
This paper analyzes the market impacts of expanding California's centralized electricity market across the western United States and provides the first statistical assessment of this issue. Using...
View ArticleReplica Analysis for Maximization of Net Present Value. (arXiv:1810.06366v1...
In this paper, we use replica analysis to determine the investment strategy that can maximize the net present value for portfolios containing multiple development projects. Replica analysis was...
View ArticleMean-Field Games with Differing Beliefs for Algorithmic Trading....
Even when confronted with the same data, agents often disagree on a model of the real-world. Here, we address the question of how interacting heterogenous agents, who disagree on what model the...
View ArticleOn the sensitivity analysis of energy quanto options. (arXiv:1810.06335v1...
In recent years there has been an advent of quanto options in energy markets. The structure of the payoff is rather a different type from other markets since it is written as a product of an underlying...
View ArticleMid-price estimation for European corporate bonds: a particle filtering...
In most illiquid markets, there is no obvious proxy for the market price of an asset. The European corporate bond market is an archetypal example of such an illiquid market where mid-prices can only be...
View ArticleThe Broad Consequences of Narrow Banking. (arXiv:1810.05689v1 [econ.GN])
We investigate the macroeconomic consequences of narrow banking in the context of stock-flow consistent models. We begin with an extension of the Goodwin-Keen model incorporating time deposits,...
View ArticleConstructing energy accounts for WIOD 2016 release. (arXiv:1810.07112v1...
Most of today's products and services are made in global supply chains. As a result, a consumption of goods and services in one country is associated with various environmental pressures all over the...
View ArticleOpinion Dynamics via Search Engines. (arXiv:1810.06973v1 [cs.SI])
Ranking algorithms are the information gatekeepers of the Internet era. We develop a stylized model to study the effects of ranking algorithms on opinion dynamics. We consider a search engine that uses...
View ArticleAggressive Economic Incentives and Physical Activity: The Role of Choice and...
Aggressive incentive schemes that allow individuals to impose economic punishment on themselves if they fail to meet health goals present a promising approach for encouraging healthier behavior....
View ArticlePredicting digital asset market based on blockchain activity data....
Blockchain technology shows significant results and huge potential for serving as an interweaving fabric that goes through every industry and market, allowing decentralized and secure value exchange,...
View ArticleDynkin games with incomplete and asymmetric information. (arXiv:1810.07674v1...
We study Nash equilibria for a two-player zero-sum optimal stopping game with incomplete and asymmetric information. In our set-up, the drift of the underlying diffusion process is unknown to one...
View ArticleA Path Integral Approach to Business Cycle Models with Large Number of...
This paper presents an analytical treatment of economic systems with an arbitrary number of agents that keeps track of the systems' interactions and agents' complexity. This formalism does not seek to...
View ArticleVanna-Volga Method for Normal Volatilities. (arXiv:1810.07457v1 [q-fin.RM])
Vanna-volga is a popular method for interpolation/extrapolation of volatility smiles. The technique is widely used in the FX markets context, due to its ability to consistently construct the entire...
View ArticleMachine Learning the Cryptocurrency Market. (arXiv:1805.08550v2...
Machine learning and AI-assisted trading have attracted growing interest for the past few years. Here, we use this approach to test the hypothesis that the inefficiency of the cryptocurrency market can...
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