SEC Names Kathleen M. Hutchinson as Deputy Director of International Affairs
The Securities and Exchange Commission today announced Kathleen M. Hutchinson as the new Deputy Director in the agency's Office of International Affairs (OIA), which advises the Commission on...
View ArticleSEC Proposes Rule Changes to Harmonize, Simplify and Improve the Exempt...
The Securities and Exchange Commission today announced that it has voted to propose a set of amendments that would harmonize, simplify, and improve the exempt offering framework to promote capital...
View ArticleA Walk Through the Forest with Joe Simonian
What Does Machine Learning Have to do with Fama and French? By Keith Black, PhD, CFA, CAIA, FDP, Managing Director, CAIA Association âI went to the woods because I wished to live deliberately, to...
View ArticleAdversarial Attacks on Machine Learning Systems for High-Frequency Trading....
Algorithmic trading systems are often completely automated, and deep learning is increasingly receiving attention in this domain. Nonetheless, little is known about the robustness properties of these...
View ArticleRefinements of Barndorff-Nielsen and Shephard model: an analysis of crude oil...
A commonly used stochastic model for derivative and commodity market analysis is the Barndorff-Nielsen and Shephard (BN-S) model. Though this model is very efficient and analytically tractable, it...
View ArticleRisk measures and progressive enlargement of filtration: a BSDE approach....
We consider dynamic risk measures induced by Backward Stochastic Differential Equations (BSDEs) in enlargement of filtration setting. On a fixed probability space, we are given a standard Brownian...
View ArticleDynamics of state-wise prospective reserves in the presence of non-monotone...
In the presence of monotone information, stochastic Thiele equations describing the dynamics of state-wise prospective reserves are closely related to the classic martingale representation theorem....
View ArticleAdaptive exponential power distribution with moving estimator for...
While standard estimation assumes that all datapoints are from probability distribution of the same fixed parameters $theta$, we will focus on maximum likelihood (ML) adaptive estimation for...
View ArticlePDGM: a Neural Network Approach to Solve Path-Dependent Partial Differential...
In this paper we propose a generalization of the Deep Galerking Method (DGM) of cite{dgm} to deal with Path-Dependent Partial Differential Equations (PPDEs). These equations firstly appeared in the...
View ArticleA deep learning approach for computations of exposure profiles for...
In this paper, we propose a neural network-based method for approximating expected exposures and potential future exposures of Bermudan options. In a first phase, the method relies on the Deep Optimal...
View ArticleApplications of deep learning in stock market prediction: recent progress....
Stock market prediction has been a classical yet challenging problem, with the attention from both economists and computer scientists. With the purpose of building an effective prediction model, both...
View ArticleEquity-Based Incentives, Production/Service Functions And Game Theory....
EBIs/ESOs substantially change the traditional production/service function because ESOs/EBIs can have different psychological effects(motivation or de-motivation), and can create intangible capital and...
View ArticleRobust Market Making via Adversarial Reinforcement Learning....
We show that adversarial reinforcement learning (ARL) can be used to produce market marking agents that are robust to adversarial and adaptively chosen market conditions. To apply ARL, we turn the...
View ArticleNumerical Solution of Dynamic Portfolio Optimization with Transaction Costs....
We apply numerical dynamic programming techniques to solve discrete-time multi-asset dynamic portfolio optimization problems with proportional transaction costs and shorting/borrowing constraints....
View ArticleMortality and Healthcare: an Analysis under Epstein-Zin Preferences....
This paper investigates optimal consumption, investment, and healthcare spending under Epstein-Zin preferences. Given consumption and healthcare spending plans, Epstein-Zin utilities are defined over...
View ArticleOptimal equilibria for time�inconsistent stopping problems in...
Abstract For an infiniteâhorizon continuousâtime optimal stopping problem under nonexponential discounting, we look for an optimal equilibrium, which generates larger values than any other...
View ArticleTech M&A Market: Demanding Sellers, Fewer Buyers
Corum Group, a merger and acquisitions advisor, which works with privately held technology companies, has put out its annual report, which tells us a good deal about where the action is in the tech...
View ArticleNo-Arbitrage Commodity Option Pricing with Market Manipulation....
We design three continuous--time models in finite horizon of a commodity price, whose dynamics can be affected by the actions of a representative risk--neutral producer and a representative...
View ArticleThe Role of Uncertainty in Controlling Climate Change. (arXiv:2003.01615v1...
Integrated Assessment Models (IAMs) of the climate and economy aim to analyze the impact and efficacy of policies that aim to control climate change, such as carbon taxes and subsidies. A major...
View ArticleInfluence Of Climate Change On The Corn Yield In Ontario And Its Impact On...
Our study aims at quantifying the impact of climate change on corn farming in Ontario under several warming scenarios at the 2068 horizon. It is articulated around a discrete-time dynamic model of corn...
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