Residual Switching Network for Portfolio Optimization. (arXiv:1910.07564v1...
This paper studies deep learning methodologies for portfolio optimization in the US equities market. We present a novel residual switching network that can automatically sense changes in market regimes...
View ArticleOptimal dividends with partial information and stopping of a degenerate...
Abstract We study the optimal dividend problem for a firmâs manager who has partial information on the profitability of the firm. The problem is formulated as one of singular stochastic control with...
View ArticleA Black–Scholes inequality: applications and generalisations
Abstract The space of call price curves has a natural noncommutative semigroup structure with an involution. A basic example is the BlackâScholes call price surface, from which an interesting...
View ArticleWhy Don't We Agree? Evidence from a Social Network of Investors
ABSTRACT We study sources of investor disagreement using sentiment of investors from a social media investing platform, combined with information on the users' investment approaches (e.g., technical,...
View ArticleThe Value of Insider Information for Super--Replication with Quadratic...
We study super--replication of European contingent claims in an illiquid market with insider information. Illiquidity is captured by quadratic transaction costs and insider information is modeled by an...
View ArticleA hybrid stochastic differential reinsurance and investment game with bounded...
This paper investigates a hybrid stochastic differential reinsurance and investment game between one reinsurer and two insurers, including a stochastic Stackelberg differential subgame and a...
View ArticleRelative Net Utility and the Saint Petersburg Paradox. (arXiv:1910.09544v1...
The famous St Petersburg Paradox shows that the theory of expected value does not capture the real-world economics of decision-making problem. Over the years, many economic theories were developed to...
View ArticleBeware of Spoofed Websites Offering Phony Certificates of Deposit –...
The SECâs Office of Investor Education and Advocacy (OIEA) is issuing this Investor Alert to warn investors about phony Certificates of Deposit (CDs) promoted through internet advertising and...
View ArticleAsymmetry of retail investors’ attention and asymmetric volatility:...
Publication date: Available online 22 October 2019Source: Finance Research LettersAuthor(s): Shuning Chen, Wei Zhang, Xu Feng, Xiong XiongAbstractIn this paper, we propose a new proxy to measure...
View ArticleRegulation Spillovers across Cryptocurrency Markets
Publication date: Available online 23 October 2019Source: Finance Research LettersAuthor(s): Nicola Borri, Kirill ShakhnovAbstractSeveral countries have already introduced restrictions on trading of...
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The Heat Equation: Inhomogeneous boundary conditions
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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...
View ArticleConvex Relaxation Based Locational Marginal Prices. (arXiv:1910.10673v1...
We propose and analyze semidefinite relaxation based locational marginal prices (RLMPs) for real and reactive power in electricity markets. Our analysis reveals that when the non-convex economic...
View ArticleInference of Binary Regime Models with Jump Discontinuities....
We have developed a statistical technique to test the model assumption of binary regime switching extension of the geometric L'{e}vy process (GLP) by proposing a new discriminating statistics. The...
View ArticleThis is how much Renaissance Technologies pays its quants
eFinancialCareers writes: In the annals of mythical quant pay, there's nowhere quite as generous as hedge fund Renaissance Technologies. After all, founder Jim Simons isn't worth $18bn for nothing.Â...
View ArticleDebt and the oil industry: analysis on the firm and production level
This paper analyzes the relationship between debt and the production decisions of companies active in the exploration and production of oil and gas in the United States.
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