SEC Amends Exemptions from Investment Adviser Registration for Advisers to...
The Securities and Exchange Commission adopted amendments to two rules in order to implement congressionally mandated exemptions from registration for investment advisers who advise rural business...
View ArticleSEC Amends Rules to Improve Disclosure and Encourage Issuers to Conduct Debt...
The Securities and Exchange Commission adopted amendments to the financial disclosure requirements applicable to registered debt offerings that include credit enhancements, such as subsidiary...
View ArticleTaleb: What Size Tail Does the Smart Money Bet On?
Statistician/philosopher Nassim Nicholas Taleb critiques âbehavioralâ economics and finance as he looks at the differences between âbinary forecastsâ and âreal world payoffs,â in a recent...
View ArticleComplete and competitive financial markets in a complex world....
We investigate the possibility of completing financial markets in a model with no exogenous probability measure and market imperfections. A necessary and sufficient condition is obtained for such...
View ArticleContinuum and thermodynamic limits for a simple random-exchange model....
We discuss various limits of a simple random exchange model that can be used for the distribution of wealth. We start from a discrete state space - discrete time version of this model and, under...
View ArticleFinancial replicator dynamics: emergence of systemic-risk-averting...
We consider a random financial network with a large number of agents. The agents connect through credit instruments borrowed from each other or through direct lending, and these create the liabilities....
View ArticleCleaner Production in Optimized Multivariate Networks: Operations Management...
The importance of supply chain management in analyzing and later catalyzing economic expectations while simultaneously prioritizing cleaner production aspects is a vital component of modern finance....
View ArticleAn AGI Modifying Its Utility Function in Violation of the Orthogonality...
An artificial general intelligence (AGI) might have an instrumental drive to modify its utility function to improve its ability to cooperate, bargain, promise, threaten, and resist and engage in...
View ArticleAscertaining price formation in cryptocurrency markets with DeepLearning....
The cryptocurrency market is amongst the fastest-growing of all the financial markets in the world. Unlike traditional markets, such as equities, foreign exchange and commodities, cryptocurrency market...
View ArticleMachine Learning Portfolio Allocation. (arXiv:2003.00656v1 [q-fin.PM])
We find economically and statistically significant gains from using machine learning to dynamically allocate between the market index and the risk-free asset. We model the market price of risk to...
View ArticleData Normalization for Bilinear Structures in High-Frequency Financial...
Financial time-series analysis and forecasting have been extensively studied over the past decades, yet still remain as a very challenging research topic. Since financial market is inherently noisy and...
View ArticleTechnological interdependencies predict innovation dynamics....
We propose a simple model where the innovation rate of a technological domain depends on the innovation rate of the technological domains it relies on. Using data on US patents from 1836 to 2017, we...
View ArticleLarge-Maturity Smiles for an Affine Jump-Diffusion Model. (arXiv:2003.00334v1...
In this paper, we study the asymptotic behaviors of implied volatility of an affine jump-diffusion model. Let log stock price under risk-neutral measure follow an affine jump-diffusion model, we show...
View ArticleTransformers for Limit Order Books. (arXiv:2003.00130v1 [q-fin.CP])
We introduce a new deep learning architecture for predicting price movements from limit order books. This architecture uses a causal convolutional network for feature extraction in combination with...
View ArticleDetermination of Latent Dimensionality in International Trade Flow....
Currently, high-dimensional data is ubiquitous in data science, which necessitates the development of techniques to decompose and interpret such multidimensional (aka tensor) datasets. Finding a low...
View ArticleDynamic Beveridge Curve Accounting. (arXiv:2003.00033v1 [econ.GN])
We develop a dynamic decomposition of the empirical Beveridge curve, i.e., the level of vacancies conditional on unemployment. Using a standard model, we show that three factors can shift the Beveridge...
View ArticleMoneyScience: Machine Learning for Option Pricing, Calibration and Hedging
Brand New from MoneyScience. Machine Learning for Option Pricing, Calibration and Hedging with Jörg Kienitz & Nikolai Nowaczyk - 2-day Training Course - Londonâ¦
View ArticleWhy Money Manages Us
After being reminded of money, people were less kind, less helpful, and less generous. https://t.co/qdyEkIpRWU â Harvard Business Review (@HarvardBiz) March 4,â¦
View ArticleA Comparison of Global Factor Models
Mirror, mirror on the wall, what's the best factor model of them all? We at Quantpedia are probably not the only one asking this question. A lot of competing factor models are described in the academic...
View ArticleSEC Provides Conditional Regulatory Relief and Assistance for Companies...
Today, the Securities and Exchange Commission announced that it is providing conditional regulatory relief for certain publicly traded company filing obligations under the federal securities laws. The...
View Article