AMERICAN FINANCE ASSOCIATION
The Journal of Finance, Volume 74, Issue 6, Page 3390-3390, December 2019.
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The Journal of Finance, Volume 74, Issue 6, Page 3261-3261, December 2019.
View ArticleSolution of option pricing equations using orthogonal polynomial expansion....
In this paper we study both analytic and numerical solutions of option pricing equations using systems of orthogonal polynomials. Using a Galerkin-based method, we solve the parabolic partial...
View ArticlePortfolio liquidation under transient price impact -- theoretical solution...
We derive an explicit solution for deterministic market impact parameters in the Graewe and Horst (2017) portfolio liquidation model. The model allows to combine various forms of market impact, namely...
View ArticleA mechanical and economical based framework to help decision-makers for...
Many studies in economics deal with the non-reliability cost to assess insurance fees or investment analyses, but none takes into consideration the mechanical aspect of reliability analysis. Other...
View ArticlePrior Knowledge Neural Network for Automatic Feature Construction in...
In quantitative finance, useful features are constructed by human experts. However, this method is of low efficient. Thus, automatic feature construction algorithms have received more and more...
View ArticleOptimal, Truthful, and Private Securities Lending. (arXiv:1912.06202v1 [cs.GT])
We consider a fundamental dynamic allocation problem motivated by the problem of $textit{securities lending}$ in financial markets, the mechanism underlying the short selling of stocks. A lender would...
View ArticleA new method for similarity and anomaly detection in cryptocurrency markets....
We propose a new approach using the MJ$_1$ semi-metric, from the more general MJ$_p$ class of semi-metrics cite{James2019}, to detect similarity and anomalies in collections of cryptocurrencies. Since...
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Ten blog posts to help inform discussions on the UK economy going forward
How to improve social mobility. Merely tweaking existing policies won’t do, but four major changes have the potential to transform society. How to improve social mobility To meet its ambitious...
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How do Scientists Formulate New Equations?
This question must have crossed your mind at least once, even though you may not be so much of a fan of mathematics. If you are a curious…Continue reading on Cantorâs Paradise »
View ArticleUnderstanding Monte Carlo Simulation
Understanding Monte Carlo Simulation by John Clements https://t.co/pC0pEoEa5S â Towards Data Science (@TDataScience) December 16, 2019
View ArticleMoneyScience: Seasons Greetings
Season's Greeting from the Team at MoneyScience! https://t.co/kh6mYCK5QZ pic.twitter.com/7cXJMnJo8E â moneyscience (@moneyscience) December 16, 2019
View ArticleSEC Charges Former Goldman Sachs Executive With FCPA Violations
The Securities and Exchange Commission today announced charges against former Goldman Sachs Group Inc. executive Tim Leissner for engaging in a corruption scheme, by which he obtained millions of...
View ArticleNeural network regression for Bermudan option pricing. (arXiv:1907.06474v2...
The pricing of Bermudan options amounts to solving a dynamic programming principle, in which the main difficulty, especially in high dimension, comes from the conditional expectation involved in the...
View ArticleMean-variance portfolio selection under partial information with drift...
This paper studies a mean-variance portfolio selection problem under partial information with drift uncertainty. It is proved that all the contingent claims in this model are attainable in the sense of...
View ArticleNetwork Subgraphs of the heterogeneous Chinese credit system....
In this study, we investigate the evolution of Chinese guarantee networks from the angle of sub-patterns. First, we find that the mutual, 2-out-stars and triangle sub-patterns are motifs in 2- and...
View ArticleA natural experiment of the Chinese credit system with financial crisis and...
Examining the topological properties of networks formed by such guarantee relationships is critical for an in-depth understanding and effective regulations of the financial system. In this research, we...
View ArticleWeak existence and uniqueness for affine stochastic Volterra equations with...
We provide existence, uniqueness and stability results for affine stochastic Volterra equations with $L^1$-kernels. Such equations arise as scaling limits of branching processes in population genetics...
View ArticlePredicting intraday jumps in stock prices using liquidity measures and...
Predicting the intraday stock jumps is a significant but challenging problem in finance. Due to the instantaneity and imperceptibility characteristics of intraday stock jumps, relevant studies on their...
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