Pro-Cyclicality of Traditional Risk Measurements: Quantifying and...
Since the introduction of risk-based solvency regulation, pro-cyclicality has been a subject of concerns from all market participants. Here, we lay down a methodology to evaluate the amount of...
View ArticleNumerical stability of a hybrid method for pricing options....
We develop and study stability properties of a hybrid approximation of functionals of the Bates jump model with stochastic interest rate that uses a tree method in the direction of the volatility and...
View ArticleA Mean Field Games Model for Cryptocurrency Mining. (arXiv:1912.01952v1...
We propose a mean field game model to study the question of how centralization of reward and computational power occur in the Bitcoin-like cryptocurrencies. Miners compete against each other for mining...
View ArticleDeep Fictitious Play for Finding Markovian Nash Equilibrium in Multi-Agent...
We propose a deep neural network-based algorithm to identify the Markovian Nash equilibrium of general large $N$-player stochastic differential games. Following the idea of fictitious play, we recast...
View ArticleMulti-time state mean-variance model in continuous time. (arXiv:1912.01793v1...
In the continuous time mean-variance model, we want to minimize the variance (risk) of the investment portfolio with a given mean at terminal time. However, the investor can stop the investment plan at...
View ArticleCelebrating Three Decades of Worldwide Stock Market Manipulation....
As the decade turns, we reflect on nearly thirty years of successful manipulation of the world's public equity markets. This reflection highlights a few of the key enabling ingredients and lessons...
View ArticleExamination of the Correlation between Working Time Reduction and Employment....
In recent years, it has been debated whether a reduction in working hours would be a viable solution to tackle the unemployment caused by technological change. The improvement of existing production...
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Regulation, institutions and economic growth
I investigate a number of questions related to the drivers of per capita income levels for a large set of countries and a narrower set of OECD countries. First, I seek to figure out whether, and if...
View ArticleMoneyScience: Book - Financial Risk Management: An End User Perspective - Don...
Resource: Book - Financial Risk Management: An End User Perspective - Don M Chance https://t.co/XZr7EYHZpy â moneyscience (@moneyscience) December 5, 2019
View ArticleMoneyScience: Book - Machine Learning and Big Data with kdb+/q
Resource: Book - Machine Learning and Big Data with kdb+/q https://t.co/u251SgNcsw â moneyscience (@moneyscience) December 5, 2019
View ArticleMath Whiz Trades Without Humans to Build a $700 Million Fortune
Math Whiz Trades Without Humans to Build a $700 Million Fortune https://t.co/1mpFPYPheu â John Nash (@jvnash1) December 5, 2019
View ArticleWill Europe Beat China in the Central Bank Crypto Race?
This article, and others Iâve seen over the last 24 hours, reflects a very advanced economy centric viewpoint. Several emerging market countries, have eitherâ¦
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Experiments with GANs for Simulating Returns (Guest post)
By Akshay Nautiyal, QuantinstiSimulating returns using either the traditional closed-form equations or probabilistic models like Monte Carlo has been the standard practice to match them against...
View ArticleIs China a source of financial contagion?
Publication date: Available online 5 December 2019Source: Finance Research LettersAuthor(s): Md Akhtaruzzaman, Waleed Abdel-Qader, Helmi Hammami, Syed ShamsAbstractThe study examines the role China...
View ArticleMoneyScience: MoneyScience's event: Frontiers in Quantitative Finance Seminar...
Frontiers in Quantitative Finance Seminar Series - Antoine Savine (Danske Bank) on Deep analytics for risk management - Dec 12, London -â¦
View ArticleMoneyScience: JQuantLib - Developer Page
Resource: JQuantLib - Developer Page https://t.co/Z67IzdmuyY â moneyscience (@moneyscience) December 5, 2019
View ArticleMoneyScience: Renjin - JVM-based interpreter for the R language
Resource: Renjin - JVM-based interpreter for the R language https://t.co/XacnF7KayO â moneyscience (@moneyscience) December 5, 2019
View ArticleA Quantum algorithm for linear PDEs arising in Finance. (arXiv:1912.02753v1...
We propose a hybrid quantum-classical algorithm, originated from quantum chemistry, to price European and Asian options in the Black-Scholes model. Our approach is based on the equivalence between the...
View ArticleStylized Facts and Agent-Based Modeling. (arXiv:1912.02684v1 [q-fin.GN])
The existence of stylized facts in financial data has been documented in many studies. In the past decade the modeling of financial markets by agent-based computational economic market models has...
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