An Artificial Intelligence approach to Shadow Rating. (arXiv:1912.09764v1...
We analyse the effectiveness of modern deep learning techniques in predicting credit ratings over a universe of thousands of global corporate entities obligations when compared to most popular,...
View ArticleMonetary Policy and Wealth Inequalities in Great Britain: Assessing the role...
This paper explores whether unconventional monetary policy operations have redistributive effects on household wealth. Drawing on household balance sheet data from the Wealth and Asset Survey, we...
View ArticleFrom Disequilibrium Markets to Equilibrium. (arXiv:1912.09679v1 [econ.GN])
The modeling of financial markets as disequilibrium models by ordinary differential equations has become a popular modeling tool. One famous example of such a model is the Beja-Goldman model(The...
View ArticleComparison of various risk measures for an optimal portfolio....
In this paper, we search for optimal portfolio strategies in the presence of various risk measure that are common in financial applications. Particularly, we deal with the static optimization problem...
View ArticleArgentum: a collaborative saving and investment platform for unstable...
A crypto coin designed to provide a stabilization instrument backed up by minded like financial investments instruments to maintain the purchase value of savings across time, in order to construct new...
View ArticleEvolving ab initio trading strategies in heterogeneous environments....
Securities markets are quintessential complex adaptive systems in which heterogeneous agents compete in an attempt to maximize returns. Species of trading agents are also subject to evolutionary...
View ArticleWhat’s the one thing that will disrupt quant finance the most?
John Hull @UofT: "the traditional material that might have been taught in quantitative finance courses 10 years ago is not as relevant now" Read more from…
View ArticleMoneyScience: MoneyScience's post: Call for Papers - Workshop on Economics...
Call for Papers - Workshop on Economics with Heterogeneous Interacting Agents (WEHIA) 2020 https://t.co/jRVNPNxhEI — moneyscience (@moneyscience) December 23,…
View ArticleQuant 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,...
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