Is surge pricing the fairest way to manage demand?
Is surge pricing the fairest way to manage demand? https://t.co/12uGMd8mU4 — moneyscience (@moneyscience) November 13, 2019
View ArticleNeural networks for option pricing and hedging: a literature review....
Neural networks have been used as a nonparametric method for option pricing and hedging since the early 1990s. Far over a hundred papers have been published on this topic. This note intends to provide...
View ArticleBounds on Multi-asset Derivatives via Neural Networks. (arXiv:1911.05523v1...
Using neural networks, we compute bounds on the prices of multi-asset derivatives given information on prices of related payoffs. As a main example, we focus on European basket options and include...
View ArticleQuantization-based Bermudan option pricing in the $FX$ world....
This paper proposes two numerical solution based on Product Optimal Quantization for the pricing of Foreign Echange (FX) linked long term Bermudan options e.g. Bermudan Power Reverse Dual Currency...
View ArticleHow do scientific disciplines evolve in applied sciences? The properties of...
One of the fundamental questions in science is how scientific disciplines evolve and sustain progress in society. No studies to date allows us to explain the endogenous processes that support the...
View ArticleContext-aware Dynamic Assets Selection for Online Portfolio Selection based...
Online portfolio selection is a sequential decision-making problem in financial engineering, aiming to construct a portfolio by optimizing the allocation of wealth across a set of assets to achieve the...
View ArticleBeveridgean Unemployment Gap. (arXiv:1911.05271v1 [econ.GN])
This paper measures the unemployment gap (the difference between actual and efficient unemployment rates) using the Beveridge curve (the negative relationship between unemployment and job vacancies)....
View ArticleOptical Proof of Work. (arXiv:1911.05193v1 [cs.CR])
Most cryptocurrencies rely on Proof-of-Work (PoW) "mining" for resistance to Sybil and double-spending attacks, as well as a mechanism for currency issuance. Hashcash PoW has successfully secured the...
View ArticleA two-player price impact game. (arXiv:1911.05122v1 [q-fin.MF])
We study the competition of two strategic agents for liquidity in the benchmark portfolio tracking setup of Bank, Soner, Voss (2017), both facing common aggregated temporary and permanent price impact...
View ArticleAn Unethical Optimization Principle. (arXiv:1911.05116v1 [q-fin.RM])
If an artificial intelligence aims to maximise risk-adjusted return, then under mild conditions it is disproportionately likely to pick an unethical strategy unless the objective function allows...
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Marcelo Lombardo: ‘Cloud management software is revolutionising small...
Earlier this year, San Francisco-based venture capital firm Riverwood Capital invested US$ 20 million in Omie, a Brazilian start-up that provides small and medium businesses (SMBs) with an AI-powered...
View ArticleFinancial versus Strategic Buyers
This article introduces the impact of debt misvaluation on merger and acquisition activity. We show the potential for debt misvaluation to help explain the shifting dominance of financial acquirers...
View ArticleEffect of Trading Relationships on Execution Costs in...
Traders can reduce search costs in dealership markets by entering relationships with dealers. However, dealers draw little informational benefit from these relationships in Treasury markets, due to low...
View ArticlePredicting U.S. Bank Failures with MIDAS Logit Models
We propose a new approach based on a generalization of the logit model to improve prediction accuracy in U.S. bank failures. Mixed-data sampling (MIDAS) is introduced in the context of a logistic...
View ArticleInvestment Commonality across Insurance Companies: Fire Sale Risk and...
Insurance companies often follow highly correlated investment strategies. As major investors in corporate bonds, their investment commonalities subject investors to fire sale risk when regulatory...
View ArticleNew Entropy Restrictions and the Quest for Better-Specified Asset-Pricing Models
This article proposes the entropy of m2 (m is the stochastic discount factor) as a metric to evaluate asset-pricing models. We develop a bound on the entropy of m2 when m correctly prices a finite...
View ArticleAttention to Market Information and Underreaction to Earnings on Market...
Post-earnings announcement drift (PEAD) is stronger in firms that release earnings on days when market returns are higher in magnitude. This drift remains robust after controlling for previously...
View ArticleDistracted Institutional Investors
I investigate how distraction affects the trading behavior of professional asset managers. Exploring detailed transaction-level data, I show that managers with a large fraction of portfolio stocks that...
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