Optimal, Truthful, and Private Securities Lending. (arXiv:1912.06202v1 [cs.GT])
We consider a fundamental dynamic allocation problem motivated by the problem of $textit{securities lending}$ in financial markets, the mechanism underlying the short selling of stocks. A lender would...
View ArticleA new method for similarity and anomaly detection in cryptocurrency markets....
We propose a new approach using the MJ$_1$ semi-metric, from the more general MJ$_p$ class of semi-metrics cite{James2019}, to detect similarity and anomalies in collections of cryptocurrencies. Since...
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Ten blog posts to help inform discussions on the UK economy going forward
How to improve social mobility. Merely tweaking existing policies won’t do, but four major changes have the potential to transform society. How to improve social mobility To meet its ambitious...
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How do Scientists Formulate New Equations?
This question must have crossed your mind at least once, even though you may not be so much of a fan of mathematics. If you are a curious…Continue reading on Cantorâs Paradise »
View ArticleUnderstanding Monte Carlo Simulation
Understanding Monte Carlo Simulation by John Clements https://t.co/pC0pEoEa5S â Towards Data Science (@TDataScience) December 16, 2019
View ArticleMoneyScience: Seasons Greetings
Season's Greeting from the Team at MoneyScience! https://t.co/kh6mYCK5QZ pic.twitter.com/7cXJMnJo8E â moneyscience (@moneyscience) December 16, 2019
View ArticleSEC Charges Former Goldman Sachs Executive With FCPA Violations
The Securities and Exchange Commission today announced charges against former Goldman Sachs Group Inc. executive Tim Leissner for engaging in a corruption scheme, by which he obtained millions of...
View ArticleNeural network regression for Bermudan option pricing. (arXiv:1907.06474v2...
The pricing of Bermudan options amounts to solving a dynamic programming principle, in which the main difficulty, especially in high dimension, comes from the conditional expectation involved in the...
View ArticleMean-variance portfolio selection under partial information with drift...
This paper studies a mean-variance portfolio selection problem under partial information with drift uncertainty. It is proved that all the contingent claims in this model are attainable in the sense of...
View ArticleNetwork Subgraphs of the heterogeneous Chinese credit system....
In this study, we investigate the evolution of Chinese guarantee networks from the angle of sub-patterns. First, we find that the mutual, 2-out-stars and triangle sub-patterns are motifs in 2- and...
View ArticleA natural experiment of the Chinese credit system with financial crisis and...
Examining the topological properties of networks formed by such guarantee relationships is critical for an in-depth understanding and effective regulations of the financial system. In this research, we...
View ArticleWeak existence and uniqueness for affine stochastic Volterra equations with...
We provide existence, uniqueness and stability results for affine stochastic Volterra equations with $L^1$-kernels. Such equations arise as scaling limits of branching processes in population genetics...
View ArticlePredicting intraday jumps in stock prices using liquidity measures and...
Predicting the intraday stock jumps is a significant but challenging problem in finance. Due to the instantaneity and imperceptibility characteristics of intraday stock jumps, relevant studies on their...
View ArticleAn Economical Business-Cycle Model. (arXiv:1912.07163v1 [econ.TH])
In recent decades, in developed economies, slack on the product and labor markets has fluctuated a lot over the business cycle, while inflation has been very stable. At the same time, these economies...
View ArticleEU Economic Modelling System. (arXiv:1912.07115v1 [econ.GN])
This is the first study that attempts to assess the regional economic impacts of the European Institute of Innovation and Technology (EIT) investments in a spatially explicit macroeconomic model, which...
View ArticleGauge transformations in the dual space, and pricing and estimation in the...
We suggest a simple reduction of pricing European options in affine jump-diffusion models to pricing options with modified payoffs in diffusion models. The procedure is based on the conjugation of the...
View ArticleSet-Valued Risk Measures as Backward Stochastic Difference Inclusions and...
Scalar dynamic risk measures in continuous time are commonly represented as backward stochastic differential equations. There are two possible extensions for scalar backward stochastic differential...
View ArticleOperator splitting schemes for American options under the two-asset Merton...
This paper deals with the efficient numerical solution of the two-dimensional partial integro-differential complementarity problem (PIDCP) that holds for the value of American-style options under the...
View ArticleRobustness and sensitivity analyses for stochastic volatility models under...
In this paper we perform robustness and sensitivity analysis of several continuous-time stochastic volatility (SV) models with respect to the process of market calibration. The analyses should validate...
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Che Guevara’s Cuba and John Cowperthwaite’s Hong Kong: a...
In 1960, Cuba and Hong Kong had a similar level of GDP per capita at around $4,500 in todayâs money[1]. By 2018 Cubaâs GDP per capita had risen to around $9,000. By contrast, Hong Kong had reached...
View ArticleBond Pricing and Yield Curve Modeling: A Structural Approach
Volume 20, Issue 1, January 2020, Page 9-10.
View ArticleTrading strategies generated pathwise by functions of market weights
Abstract Twenty years ago, E.R. Fernholz introduced the notion of âfunctional generationâ to construct a variety of portfolios solely in terms of the individual companiesâ market weights. I....
View ArticleInside a Moneymaking Machine Like No Other - Bloomberg - Pocket
Inside a Moneymaking Machine Like No Other - The Medallion Fund, an employees-only offering for the quants at Renaissance Technologies, is the blackest box inâ¦
View ArticleCerberus: A Blockchain-Based Accreditation and Degree Verification System
Cerberus: A Blockchain-Based Accreditation and Degree Verification System https://t.co/AQWrIBI54u â CryptAssets (@CryptAssets) December 17, 2019
View ArticleSilicon Valley IT Administrator and Friends Charged in Multimillion Dollar...
The Securities and Exchange Commission today announced insider trading charges against five friends who repeatedly traded on confidential earnings information about a Silicon Valley cloud-computing...
View ArticleReport: Convertible Bonds Attractive for 2020
A new report from Schroders looks at global convertible bonds, instruments that straddle the boundaries of debt/equity/derivatives. It tells usâin a discussion that might be of interest to the...
View ArticleTheory of Cryptocurrency Interest Rates. (arXiv:1904.05472v3 [q-fin.MF] UPDATED)
A term structure model in which the short rate is zero is developed as a candidate for a theory of cryptocurrency interest rates. The price processes of crypto discount bonds are worked out, along with...
View ArticleExploring Multi-Banking Customer-to-Customer Relations in AML Context with...
In the recent years money laundering schemes have grown in complexity and speed of realization, affecting financial institutions and millions of customers globally. Strengthened privacy policies, along...
View ArticleA Robust Predictive Model for Stock Price Prediction Using Deep Learning and...
Prediction of future movement of stock prices has been a subject matter of many research work. There is a gamut of literature of technical analysis of stock prices where the objective is to identify...
View ArticleEstimating a Behavioral New Keynesian Model. (arXiv:1912.07601v1 [econ.GN])
This paper analyzes identification issues of a behavorial New Keynesian model and estimates it using likelihood-based and limited-information methods with identification-robust confidence sets. The...
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Individual investment advice is key to promoting sustainable investment...
Given the global environmental and societal challenges of the 21st century, the concept of sustainability is becoming increasingly important in the financial markets. It seems necessary to involve...
View ArticleR Cookbook, 2nd Edition
The 2nd Edition of the @R_cookbook by @CMastication and Paul Teetor Freely available online athttps://t.co/6PXywfHtUY Has great examples of using base #rstatsâ¦
View ArticleSEC Adopts Risk Mitigation Techniques for Uncleared Security-Based Swaps
The Securities and Exchange Commission today voted to adopt rules requiring the application of risk mitigation techniques to portfolios of uncleared security-based swaps. New Rules 15Fi-3, 15Fi-4,...
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