Quant GANs: Deep Generation of Financial Time Series. (arXiv:1907.06673v2...
Modeling financial time series by stochastic processes is a challenging task and a central area of research in financial mathematics. As an alternative, we introduce Quant GANs, a data-driven model...
View ArticleIntermediated Implementation. (arXiv:1810.11475v5 [econ.TH] UPDATED)
We examine problems of "intermediated implementation," in which a single principal can only regulate limited aspects of the consumption bundles traded between intermediaries and agents with hidden...
View ArticleElectoral Crime Under Democracy: Information Effects from Judicial Decisions...
This paper examines voters' responses to the disclosure of electoral crime information in large democracies. I focus on Brazil, where the electoral court makes candidates' criminal records public...
View ArticleEconomic Complexity: why we like "Complexity weighted...
A recent paper by Hausmann and collaborators (1) reaches the important conclusion that Complexity-weighted diversification is the essential element to predict country growth. We like this result...
View ArticleQuantile Diffusions. (arXiv:1912.10866v1 [math.PR])
This paper focuses on the development of a new class of diffusion processes that allows for direct and dynamic modelling of quantile diffusions. We constructed quantile diffusion processes by...
View ArticleModel uncertainty in financial forecasting. (arXiv:1912.10813v1 [q-fin.GN])
Models necessarily capture only parts of a reality. Prediction models aim at capturing a future reality. In this paper we address the question of how the future is constructed (or: imagined) in an...
View ArticleDP-LSTM: Differential Privacy-inspired LSTM for Stock Prediction Using...
Stock price prediction is important for value investments in the stock market. In particular, short-term prediction that exploits financial news articles is promising in recent years. In this paper, we...
View ArticleOn Information Coefficient and Directional Statistics. (arXiv:1912.10709v1...
Cross-sectional "Information Coefficient"(IC) is a widely and deeply accepted measure in portfolio management. In this paper, we propose that IC is a linear operator on the components of a standardized...
View ArticlePricing of the Geometric Asian Options Under a Multifactor Stochastic...
This paper focuses on the pricing of continuous geometric Asian options (GAOs) under a multifactor stochastic volatility model. The model considers fast and slow mean reverting factors of volatility,...
View ArticleBuilding and Testing Yield Curve Generators for P&C Insurance....
Interest-rate risk is a key factor for property-casualty insurer capital. P&C companies tend to be highly leveraged, with bond holdings much greater than capital. For GAAP capital, bonds are marked...
View ArticleThe Black-Scholes-Merton dual equation. (arXiv:1912.10380v1 [q-fin.PR])
We derive the Black-Scholes-Merton dual equation, which has exactly the same form as the Black-Scholes-Merton equation. The new equation is general and works for European, American, Bermudan, Asian,...
View ArticleDesign of High-Frequency Trading Algorithm Based on Machine Learning....
Based on iterative optimization and activation function in deep learning, we proposed a new analytical framework of high-frequency trading information, that reduced structural loss in the assembly of...
View ArticlePortfolio optimization based on forecasting models using vine copulas: An...
We employ and examine vine copulas in modeling symmetric and asymmetric dependency structures and forecasting financial returns. We analyze the asset allocations performed during the 2008-2009...
View ArticleComparative Study of Two Extensions of Heston Stochastic Volatility Model....
In the option valuation literature, the shortcomings of one factor stochastic volatility models have traditionally been addressed by adding jumps to the stock price process. An alternate approach in...
View ArticleDissecting Ethereum Blockchain Analytics: What We Learn from Topology and...
Blockchain technology and, in particular, blockchain-based cryptocurrencies offer us information that has never been seen before in the financial world. In contrast to fiat currencies, all transactions...
View ArticleMining the Automotive Industry: A Network Analysis of Corporate Positioning...
The digital transformation is driving revolutionary innovations and new market entrants threaten established sectors of the economy such as the automotive industry. Following the need for monitoring...
View ArticleWhat are you searching for? On the equivalence of proxies for online investor...
Publication date: Available online 23 December 2019Source: Finance Research LettersAuthor(s): Simon Behrendt, Philipp PrangeAbstractGoogle searches for stock tickers and company-specific Wikipedia...
View ArticleIntangible Factor and Idiosycratic Volatility Puzzles
Publication date: Available online 23 December 2019Source: Finance Research LettersAuthor(s): Xing LI, Keqiang HOU, Chao ZhangAbstractIn this paper, we explore whether intangible capital (IC) can help...
View ArticleA Bayesian Re-Interpretation of ”Significant” Empirical Financial...
Publication date: Available online 23 December 2019Source: Finance Research LettersAuthor(s): Ralf Kellner, Daniel RöschAbstractCurrently, the use of t statistics and p-values is under scrutiny in...
View ArticleFrom bottom ten to top ten: the role of cryptocurrencies in enhancing...
Publication date: Available online 23 December 2019Source: Finance Research LettersAuthor(s): Roman Matkovskyy, Akanksha Jalan, Michael Dowling, Taoufik BouraouiAbstractThis study attempts to analyze...
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