Evolution and structure of technological systems - An innovation output...
This study examines the network of supply and use of significant innovations across industries in Sweden, 1970-2013. It is found that 30% of innovation patterns can be predicted by network stimulus...
View ArticleTechnical Analysis and Discrete False Discovery Rate: Evidence from MSCI...
This article introduces a discrete false discovery rate (DFRD+/-) controlling method for data snooping testing. We investigate with DFRD+/- the performance of dynamic portfolios constructed upon over...
View ArticleAsymptotics for Small Nonlinear Price Impact: a PDE Homogenization Approach...
Using ideas from homogenization theory and stability of viscosity solutions, we provide an asymptotic expansion of the value function of a multidimensional utility maximization problem with small...
View ArticleEconomics of Human-AI Ecosystem: Value Bias and Lost Utility in...
In recent years, artificial intelligence (AI) decision-making and autonomous systems became an integrated part of the economy, industry, and society. The evolving economy of the human-AI ecosystem...
View ArticleCryptoasset Factor Models. (arXiv:1811.07860v1 [q-fin.PM])
We propose factor models for the cross-section of daily cryptoasset returns and provide source code for data downloads, computing risk factors and backtesting them out-of-sample. In "cryptoassets" we...
View ArticleThe ETS challenges: a machine learning approach to the evaluation of...
This paper presents an evaluation framework that attempts to quantify the "degree of realism" of simulated financial time series, whatever the simulation method could be, with the aim of discover...
View ArticlePractical Deep Reinforcement Learning Approach for Stock Trading....
Stock trading strategy plays a crucial role in investment companies. However, it is challenging to obtain optimal strategy in the complex and dynamic stock market. We explore the potential of deep...
View ArticleOptimal Iterative Threshold-Kernel Estimation of Jump Diffusion Processes....
In this paper, we study a threshold-kernel estimation method for jump-diffusion processes, which iteratively applies thresholding and kernel methods in an approximately optimal way to achieve improved...
View ArticleOn the degree of incompleteness of an incomplete financial market....
In order to find a way of measuring the degree of incompleteness of an incomplete financial market, the rank of the vector price process of the traded assets and the dimension of the associated...
View ArticleCVA and vulnerable options pricing by correlation expansions....
We consider the problem of computing the Credit Value Adjustment ({CVA}) of a European option in presence of the Wrong Way Risk ({WWR}) in a default intensity setting. Namely we model the asset price...
View ArticleOn the Determination of the L\'evy Exponent in Asset Pricing Models....
We consider the problem of determining the L\'evy exponent in a L\'evy model for asset prices given the price data of derivatives. The model, formulated under the real-world measure $\mathbb P$,...
View ArticlePortfolio Theory, Information Theory and Tsallis Statistics....
We developed a strategic of optimal portfolio based on information theory and Tsallis statistics. The growth rate of a stock market is defined by using q-deformed functions and we find that the wealth...
View ArticleA Big data analytical framework for portfolio optimization....
With the advent of Web 2.0, various types of data are being produced every day. This has led to the revolution of big data. Huge amount of structured and unstructured data are produced in financial...
View ArticleAn updated review of (sub-)optimal diversification models....
In the past decade many researchers have proposed new optimal portfolio selection strategies to show that sophisticated diversification can outperform the na\"ive 1/N strategy in out-of-sample...
View ArticleEconomics of disagreement -- financial intuition for the R\'enyi divergence....
Lack of accurate intuition is often cited as a scientific challenge, especially when interpreting probabilistic and statistical research. A popular technique for developing statistical intuition...
View ArticleModeling aggressive market order placements with Hawkes factor models....
Price changes are induced by aggressive market orders in stock market. We introduce a bivariate marked Hawkes process to model aggressive market order arrivals at the microstructural level. The order...
View ArticleAn analysis of cryptocurrencies conditional cross correlations....
This letter explores the behavior of conditional correlations among main cryptocurrencies, using a generalized DCC class model. From a portfolio management point of view, asset correlation is a key...
View ArticleA possible alternative evaluation method for the non-use and nonmarket values...
Monetization of the non-use and nonmarket values of ecosystem services is important especially in the areas of environmental cost-benefit analysis, management and environmental impact assessment....
View ArticleArbitrage Opportunities in CDS Term Structure: Theory and Implications for...
Absence-of-Arbitrage (AoA) is the basic assumption underpinning derivatives pricing theory. As part of the OTC derivatives market, the CDS market not only provides a vehicle for participants to hedge...
View ArticleFast mean-reversion asymptotics for large portfolios of stochastic volatility...
We consider a large portfolio limit where the asset prices evolve according certain stochastic volatility models with default upon hitting a lower barrier. When the asset prices and the volatilities...
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