Forward transition rates. (arXiv:1811.00137v1 [math.PR])
The idea of forward rates stems from interest rate theory. It has natural connotations to transition rates in multi-state models. The generalization from the forward mortality rate in a survival model...
View ArticleA martingale concept for non-monotone information in a jump process...
The classical concept of martingales and compensators bases on the monotony of filtrations. This paper looks at the situation where innovations can have an expiry date such that the information...
View ArticleBetter to stay apart: asset commonality, bipartite network centrality, and...
By exploiting a bipartite network representation of the relationships between mutual funds and portfolio holdings, we propose an indicator that we derive from the analysis of the network, labelled the...
View ArticleA Stochastic Control Approach to Managed Futures Portfolios....
We study a stochastic control approach to managed futures portfolios. Building on the Schwartz 97 stochastic convenience yield model for commodity prices, we formulate a utility maximization problem...
View ArticleThe equivalence of two tax processes. (arXiv:1811.01664v1 [math.PR])
We introduce two models of taxation, the latent and natural tax processes, which have both been used to represent loss-carry-forward taxation on the capital of an insurance company. In the natural tax...
View ArticleInvestment in Livestock Biosecurity Practices amidst Environmental and Social...
Livestock industries are vulnerable to disease threats, which can cost billions of dollars and have substantial negative social ramifications. Losses are mitigated through increased use of...
View ArticleContinuity of Utility Maximization under Weak Convergence....
In this paper we find sufficient conditions for the continuity of the utility maximization problem from terminal wealth under convergence in distribution of the underlying processes. We provide several...
View ArticleTime will tell - Recovering Preferences when Choices are Noisy....
The ability to uncover preferences from choices is fundamental for both positive economics and welfare analysis. Overwhelming evidence shows that choice is stochastic, which has given rise to random...
View ArticleSurplus sharing with coherent utility functions. (arXiv:1811.02530v1 [q-fin.MF])
We use the theory of coherent measures to look at the problem of surplus sharing in an insurance business. The surplus share of an insured is calculated by the surplus premium in the contract. The...
View ArticleThe impact of air transport availability on research collaboration: A case...
This paper analyzes the impact of air transport connectivity and accessibility on scientific collaboration.
View ArticleA Splitting Strategy for the Calibration of Jump-Diffusion Models....
We present a detailed analysis and implementation of a splitting strategy to identify simultaneously the local-volatility surface and the jump-size distribution from quoted European prices. The...
View ArticleDiversifying portfolios of U.S. stocks with crude oil and natural gas: A...
Energy markets are strategic to governments and economic development. Several commodities compete as substitutable energy sources and energy diversifiers. Such competition reduces the energy...
View ArticleDeep Learning can Replicate Adaptive Traders in a Limit-Order-Book Financial...
We report successful results from using deep learning neural networks (DLNNs) to learn, purely by observation, the behavior of profitable traders in an electronic market closely modelled on the...
View ArticleUsing Stock Prices as Ground Truth in Sentiment Analysis to Generate...
The increasing availability of "big" (large volume) social media data has motivated a great deal of research in applying sentiment analysis to predict the movement of prices within financial markets....
View ArticleReframing the S\&P500 Network of Stocks along the \nth{21} Century....
Since the beginning of the new millennium, stock markets went through every state from long-time troughs, trade suspensions to all-time highs. The literature on asset pricing hence assumes random...
View ArticleMulti-channel discourse as an indicator for Bitcoin price and volume...
This research aims to identify how Bitcoin-related news publications and online discourse are expressed in Bitcoin exchange movements of price and volume. Being inherently digital, all Bitcoin-related...
View ArticleRisk-Neutral Pricing and Hedging of In-Play Football Bets....
A risk-neutral valuation framework is developed for pricing and hedging in-play football bets based on modelling scores by independent Poisson processes with constant intensities. The Fundamental...
View ArticleHow does stock market volatility react to oil shocks?. (arXiv:1811.03820v1...
We study the impact of oil price shocks on the U.S. stock market volatility. We jointly analyze three different structural oil market shocks (i.e., aggregate demand, oil supply, and oil-specific demand...
View ArticleEndogeneous Dynamics of Intraday Liquidity. (arXiv:1811.03766v1 [q-fin.TR])
In this paper we investigate the endogenous information contained in four liquidity variables at a five minutes time scale on equity markets around the world: the traded volume, the bid-ask spread, the...
View ArticleOptimal trading using signals. (arXiv:1811.03718v1 [q-fin.TR])
In this paper we propose a mathematical framework to address the uncertainty emergingwhen the designer of a trading algorithm uses a threshold on a signal as a control. We rely ona theorem by...
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