Merton's portfolio problem under Volterra Heston model. (arXiv:1905.05371v2...
This paper investigates Merton's portfolio problem in a rough stochastic environment described by Volterra Heston model. The model has a non-Markovian and non-semimartingale structure. By considering...
View ArticleArtificial intelligence approach to momentum risk-taking. (arXiv:1911.08448v1...
We propose a mathematical model of momentum risk-taking, which is real-time risk management, and discuss its implementation: an automated momentum equity trading system. Risk-taking is one of the key...
View ArticleInfinitesimal generators for two-dimensional L'evy process-driven hypothesis...
In this paper, we present the testing of four hypotheses on two streams of observations that are driven by L'evy processes. This is applicable for sequential decision making on the state of two-sensor...
View ArticleBidding in Smart Grid PDAs: Theory, Analysis and Strategy (Extended Version)....
Periodic Double Auctions (PDAs) are commonly used in the real world for trading, e.g. in stock markets to determine stock opening prices, and energy markets to trade energy in order to balance net...
View ArticleA Multicriteria Macroeconomic Model with Intertemporal Equity and Spatial...
We analyze a macroeconomic model with intergenerational equity considerations and spatial spillovers, which gives rise to a multicriteria optimization problem. Intergenerational equity requires to add...
View ArticleClik here to view.
Is the idea of ‘care robots’ an oxymoron?
The idea that technology and the digital revolution will transform our lives and be wholly positive is a familiar trope. Undoubtedly the pace of change is rapid â especially since the arrival of...
View ArticleClik here to view.
How to turn trust into a competitive advantage
Business is facing an existential trust crisis, a recent article found. Companies from Boeing to Facebook are losing the publicâs faith by paying insufficient attention to trust as an important...
View ArticleClik here to view.
What is Actually Machine Learning?
A simple, intuitive guide to artificial intelligenceContinue reading on Cantorâs Paradise »
View ArticleA regularity structure for rough volatility
Abstract A new paradigm has emerged recently in financial modeling: rough (stochastic) volatility. First observed by Gatheral et al. in highâfrequency data, subsequently derived within market...
View ArticleRenewable Energy and Regional Value: Identifying Value Added of Public Power...
Publication date: Available online 19 November 2019Source: Finance Research LettersAuthor(s): Aki SuwaAbstractRenewable energy has been increasing its share and importance in the contexts of national...
View ArticleSEC Announces Conference on Macroeconomic and Structural Trends and Dynamics...
The Securities and Exchange Commission today announced that it will host a conference on Dec. 4 entitled âThe State of Our Securities Markets.â The conference will bring together current and...
View ArticleMarcos Lopez de Prado on the Democratization of Alpha
Some thoughts on the future role of financial economists, financial data scientists, ML tournaments, and the democratization of alpha:â¦
View ArticleMoneyScience: Financial Software on GPUs: Between Haskell and Fortran (pdf,...
Resource: Financial Software on GPUs: Between Haskell and Fortran (pdf, 2012) https://t.co/iomDMgfSM3 â moneyscience (@moneyscience) November 19, 2019
View ArticleMoneyScience: A Self-Study Plan for Becoming a Quantitative Developer
Resource: A Self-Study Plan for Becoming a Quantitative Developer https://t.co/YRDpS0z6TU â moneyscience (@moneyscience) November 20, 2019
View ArticleA simulation of the insurance industry: The problem of risk model...
We develop an agent-based simulation of the catastrophe insurance and reinsurance industry and use it to study the problem of risk model homogeneity. The model simulates the balance sheets of insurance...
View ArticleTowards more effective consumer steering via network analysis....
Increased data gathering capacity, together with the spread of data analytics techniques, has prompted an unprecedented concentration of information related to the individuals' preferences in the hands...
View ArticleDynamics of Value-Tracking in Financial Markets. (arXiv:1903.09898v2...
The efficiency of a modern economy depends on what we call the Value-Tracking Hypothesis: that market prices of key assets broadly track some underlying value. This can be expected if a sufficient...
View ArticleCombining Outcome-Based and Preference-Based Matching: The g-Constrained...
We introduce a constrained priority mechanism that combines outcome-based matching from machine-learning with preference-based allocation schemes common in market design. Using real-world data, we...
View ArticleCompetition of noise and collectivity in global cryptocurrency trading: route...
Cross-correlations in fluctuations of the daily exchange rates within the basket of the 100 highest-capitalization cryptocurrencies over the period October 1, 2015, through March 31, 2019, are studied....
View Article