On Utility Maximisation Under Model Uncertainty in Discrete-Time Markets....
We study the problem of maximising terminal utility for an agent facing model uncertainty, in a frictionless discrete-time market with one safe asset and finitely many risky assets. We show that an...
View ArticleAdversarial recovery of agent rewards from latent spaces of the limit order...
Inverse reinforcement learning has proved its ability to explain state-action trajectories of expert agents by recovering their underlying reward functions in increasingly challenging environments....
View ArticleLeakage 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 ArticleManagerial compensation with hyperbolic discounting
Publication date: Available online 9 December 2019Source: Finance Research LettersAuthor(s): Yingjie Niu, Linfeng He, Wei WuAbstractThis paper characterizes the optimal performance-based compensation...
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Richard Feynman on Artificial General Intelligence
In a lecture held by physicist Richard Feynman (1918–1988) on September 26th, 1985, the question of artificial general intelligence (also…Continue reading on Cantorâs Paradise »
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...
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