Leakage of rank-dependent functionally generated trading strategies....
This paper investigates the so-called leakage effect of trading strategies generated functionally from rank-dependent portfolio generating functions. This effect measures the loss in wealth of trading...
View ArticleHow much is optimal reinsurance degraded by error?. (arXiv:1912.04175v1...
The literature on optimal reinsurance does not deal with how much the effectiveness of such solutions is degraded by errors in parameters and models. The issue is investigated through both asymptotics...
View ArticleSanction or Financial Crisis? An Artificial Neural Network-Based Approach to...
Financial market in oil-dependent countries has been always influenced by any changes in international energy market, In particular, oil price.It is therefore of considerable interest to investigate...
View ArticleTo snipe or not to snipe, that is the question! Transitions in sniping...
In this paper we re-analyse the transition from sure to probabilistic sniping as explored in Menkveld and Zoican [14]. In that paper, the authors introduce a stylized version of a competitive game in...
View ArticleAn empirical study of neural networks for trend detection in time series....
Detecting structure in noisy time series is a difficult task. One intuitive feature is the notion of trend. From theoretical hints and using simulated time series, we empirically investigate the...
View ArticleUnderstanding the dual formulation for the hedging of path-dependent options...
We consider a general path-dependent version of the hedging problem with price impact of Bouchard et al. (2019), in which a dual formulation for the super-hedging price is obtained by means of PDE...
View ArticleVAT tax gap prediction: a 2-steps Gradient Boosting approach....
Tax evasion is the illegal non-payment of taxes by individuals, corporations, and trusts. It results in a loss of state revenue that can undermine the effectiveness of government policies. One measure...
View ArticleGlobal Well-posedness of Non-Markovian Mutidimensional Superquadratic BSDE....
Using purely probabilistic argument, we prove the global well-posedness of multidimensional superquadratic backward stochastic differential equations (BSDEs) without Markovian assumption. The key...
View ArticleFinance Without Brownian Motions: An Introduction To Simplified Stochastic...
The paper introduces a simple way of recording and manipulating stochastic processes without explicit reference to a probability measure. In the new calculus, operations traditionally presented in a...
View Articlehttps://t.co/1Rsm7daXU9
Research: To snipe or not to snipe, that is the question! Transitions in sniping behaviour among competing algorithmic traders. (arXiv:1912.04012v1â¦
View ArticleMoneyScience: Low risk as a predictor of financial crises
Resource: Low risk as a predictor of financial crises https://t.co/68KWzXZSGm â moneyscience (@moneyscience) December 10, 2019
View ArticleMoneyScience: Learning from History: Volatility and Financial Crises
Resource: Learning from History: Volatility and Financial Crises https://t.co/n87cMs6WoO â moneyscience (@moneyscience) December 10, 2019
View ArticleMoneyScience: V-Lab - The Volatility Laboratory
Resource: V-Lab - The Volatility Laboratory https://t.co/Xo8xeeGV2A â moneyscience (@moneyscience) December 10, 2019
View ArticleSEC Obtains Asset Freeze to Halt Alleged Offering Fraud
The Securities and Exchange Commission today announced that it has obtained a temporary restraining order and asset freeze against a California solar panel company and three executives who allegedly...
View ArticleInvestment Management: Time for New Leaders and Exiting Comfort Zones
Disruption is the trend of the moment in many industries and the investment world is no exception. Deloitte Insights has just posted an article that takes a comprehensive look at the investment world...
View ArticleParticulate Air Pollution, Birth Outcomes, and Infant Mortality: Evidence...
This study investigates the impacts of the Automobile NOx Law of 1992 on ambient air pollutants and fetal and infant health outcomes in Japan. Using panel data taken from more than 1,500 monitoring...
View ArticleRemarks on stochastic automatic adjoint differentiation and financial models...
In this work, we discuss the Automatic Adjoint Differentiation (AAD) for functions of the form $G=frac{1}{2}sum_1^m (Ey_i-C_i)^2$, which often appear in the calibration of stochastic models. { We...
View ArticleFinancial Contagion in a Generalized Stochastic Block Model....
One of the most defining features of the global financial network is its inherent complex and intertwined structure. From the perspective of systemic risk it is important to understand the influence of...
View ArticleEquilibria and Systemic Risk in Saturated Networks. (arXiv:1912.04815v1...
We undertake a fundamental study of network equilibria modeled as solutions of fixed point of monotone linear functions with saturation nonlinearities. The considered model extends one originally...
View ArticleFiltration shrinkage, the structure of deflators, and failure of market...
We analyse the structure of local martingale deflators projected on smaller filtrations. In a general continuous-path setting, we show that the local martingale part in the multiplicative Doob-Meyer...
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