Ordeal Mechanisms, Information, and the Cost-Effectiveness of Subsidies:...
The cost-effectiveness of policies providing subsidized goods is often compromised by limited use of the goods provided. Through a randomized trial, we test two approaches to improve the...
View ArticleUsing Column Generation to Solve Extensions to the Markowitz Model....
We introduce a solution scheme for portfolio optimization problems with cardinality constraints. Typical portfolio optimization problems are extensions of the classical Markowitz mean-variance...
View ArticleOptimal Transport on the Probability Simplex with Logarithmic Cost....
Motivated by the financial problem of building financial portfolios which outperform the market, Pal and Wong considered optimal transport on the probability simplex $\triangle^n$ where the cost...
View ArticleModelling China's Credit System with Complex Network Theory for Systematic...
The insufficient understanding of the credit network structure was recognized as a key factor for regulators' underestimation of the destructive systematic risk during the financial crisis that started...
View ArticleAn Optimal Extraction Problem with Price Impact. (arXiv:1812.01270v1 [math.OC])
A price-maker company extracts an exhaustible commodity from a reservoir, and sells it instantaneously in the spot market. In absence of any actions of the company, the commodity's spot price evolves...
View ArticleMachine Learning for Yield Curve Feature Extraction: Application to Illiquid...
This paper studies an application of machine learning in extracting features from the historical market implied corporate bond yields. We consider an example of a hypothetical illiquid fixed income...
View ArticlePredicting future stock market structure by combining social and financial...
We demonstrate that future market correlation structure can be predicted with high out-of-sample accuracy using a multiplex network approach that combines information from social media and financial...
View ArticleThe Alpha-Heston Stochastic Volatility Model. (arXiv:1812.01914v1 [q-fin.MF])
We introduce an affine extension of the Heston model where the instantaneous variance process contains a jump part driven by $\alpha$-stable processes with $\alpha\in(1,2]$. In this framework, we...
View ArticleOn dynamics of wage-price spiral and stagflation in some model economic...
This article aims to present an elementary analytical solution to the question of the formation of a structure of differentiation of rates of return in a classical gravitation model and in a model of...
View ArticleSimulation of Stylized Facts in Agent-Based Computational Economic Market...
We study the qualitative and quantitative appearance of stylized facts in several agent-based computational economic market (ABCEM) models. We perform our simulations with the SABCEMM (Simulator for...
View ArticleEvaluating the Building Blocks of a Dynamically Adaptive Systematic Trading...
Financial markets change their behaviours abruptly. The mean, variance and correlation patterns of stocks can vary dramatically, triggered by fundamental changes in macroeconomic variables, policies or...
View ArticleGeneral Compound Hawkes Processes in Limit Order Books. (arXiv:1812.02298v1...
In this paper, we study various new Hawkes processes. Specifically, we construct general compound Hawkes processes and investigate their properties in limit order books. With regards to these general...
View ArticleUsing published bid/ask curves to error dress spot electricity price...
Accurate forecasts of electricity spot prices are essential to the daily operational and planning decisions made by power producers and distributors. Typically, point forecasts of these quantities...
View ArticleQuantification of market efficiency based on informational-entropy....
Since the 1960s, the question whether markets are efficient or not is controversially discussed. One reason for the difficulty to overcome the controversy is the lack of a universal, but also precise,...
View ArticleContinuous Learning Augmented Investment Decisions. (arXiv:1812.02340v1 [cs.LG])
Investment decisions can benefit from incorporating an accumulated knowledge of the past to drive future decision making. We introduce Continuous Learning Augmentation (CLA) which is based on an...
View ArticleIn (Stochastic) Search of a Fairer Alife. (arXiv:1812.02311v1 [q-fin.GN])
Economies and societal structures in general are complex stochastic systems which may not lend themselves well to algebraic analysis. An addition of subjective value criteria to the mechanics of...
View ArticleOptimal Investment, Demand and Arbitrage under Price Impact....
This paper studies the optimal investment problem with random endowment in an inventory-based price impact model with competitive market makers. Our goal is to analyze how price impact affects optimal...
View ArticleUncovering the drivers behind urban economic complexity and their connection...
The distribution of employment across industries determines the economic profiles of cities. But what drives the distribution of employment? We study a simple model for the probability that an...
View ArticlePT Symmetry, Non-Gaussian Path Integrals, and the Quantum Black-Scholes...
The Accardi-Boukas quantum Black-Scholes framework, provides a means by which one can apply the Hudson-Parthasarathy quantum stochastic calculus to problems in finance. Solutions to these equations can...
View ArticleLimits to Arbitrage in Markets with Stochastic Settlement Latency....
Distributed ledger technologies rely on consensus protocols confronting traders with random waiting times until the transfer of ownership is accomplished. This time-consuming settlement process exposes...
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