Quantitative Finance

Authors and titles for November 2013

[1] arXiv:1311.0118 [pdf, other]

Title: Regulatory-Compliant Derivatives Pricing is Not Risk-Neutral

Chris Kenyon, Andrew Green

Comments: 12 pages; 3 figures, Risk, September 2014

Subjects: Pricing of Securities (q-fin.PR); Risk Management (q-fin.RM)

[2] arXiv:1311.0236 [pdf, other]

Title: Variance matters (in stochastic dividend discount models)

Arianna Agosto, Enrico Moretto

Subjects: Pricing of Securities (q-fin.PR); General Finance (q-fin.GN)

[3] arXiv:1311.0354 [pdf, other]

Title: On the Capital Allocation Problem for a New Coherent Risk Measure in Collective Risk Theory

Assa Hirbod, Morales Manuel, Omidi Firouzi Hassan

Subjects: Risk Management (q-fin.RM)

[4] arXiv:1311.0414 [pdf, other]

Title: On Agents and Equilibria

Ted Theodosopoulos

Comments: 6 pages, essay inspired by discussions at the 18th Annual Workshop on Economic Science with Heterogeneous Interacting Agents in Reykjavik

Subjects: General Finance (q-fin.GN); Probability (math.PR)

[5] arXiv:1311.0530 [pdf, other]

Title: Multivariate stochastic volatility modelling using Wishart autoregressive processes

K. Triantafyllopoulos

Comments: 29 pages, 3 figures, 2 tables

Journal-ref: Journal of Time Series Analysis, 2012, 33, 48-60

Subjects: Computational Finance (q-fin.CP); Methodology (stat.ME)

[6] arXiv:1311.0657 [pdf, other]

Title: Detrending moving-average cross-correlation coefficient: Measuring cross-correlations between non-stationary series

Ladislav Kristoufek

Comments: 8 pages, 4 figures

Subjects: Statistical Finance (q-fin.ST)

[7] arXiv:1311.0675 [pdf, other]

Title: On strong binomial approximation for stochastic processes and applications for financial modelling

Nikolai Dokuchaev

Comments: 21 pages

Subjects: Computational Finance (q-fin.CP); Probability (math.PR); Pricing of Securities (q-fin.PR)

[8] arXiv:1311.0688 [pdf, other]

Title: Affine HJM Framework on $S_{d}^{+}$ and Long-Term Yield

Francesca Biagini, Alessandro Gnoatto, Maximilian Härtel

Comments: 30 pages

Subjects: Pricing of Securities (q-fin.PR)

[9] arXiv:1311.1097 [pdf, other]

Title: Does Banque de France control inflation and unemployment?

Ivan Kitov, Oleg Kitov

Comments: 25 pages, 12 figures

Subjects: General Finance (q-fin.GN)

[10] arXiv:1311.1122 [pdf, other]

Title: On time scaling of semivariance in a jump-diffusion process

Rodrigue Oeuvray, Pascal Junod

Subjects: Statistical Finance (q-fin.ST); Risk Management (q-fin.RM)

[11] arXiv:1311.1154 [pdf, other]

Title: Modeling of Volatility with Non-linear Time Series Model

Kim Song Yon, Kim Mun Chol

Comments: 8 pages

Subjects: Statistical Finance (q-fin.ST); Probability (math.PR); Statistics Theory (math.ST)

[12] arXiv:1311.1535 [pdf, other]

Title: Nash equilibrium for coupling of CO2 allowances and electricity markets

Mireille Bossy, Nadia Maizi, Odile Pourtallier

Subjects: Trading and Market Microstructure (q-fin.TR)

[13] arXiv:1311.1545 [pdf, other]

Title: Varadhan's formula, conditioned diffusions, and local volatilities

Stefano De Marco, Peter Friz

Comments: 34 pages, 2 figures

Subjects: Pricing of Securities (q-fin.PR); Probability (math.PR); Computational Finance (q-fin.CP)

[14] arXiv:1311.1715 [pdf, other]

Title: Portfolio Choice with Stochastic Investment Opportunities: a User's Guide

Ren Liu, Johannes Muhle-Karbe

Comments: 31 pages, 4 figures

Subjects: Portfolio Management (q-fin.PM); Optimization and Control (math.OC)

[15] arXiv:1311.2273 [pdf, other]

Title: Measures of uncertainty in market network analysis

V. A. Kalyagin, A. P. Koldanov, P. A. Koldanov, P. M. Pardalos, V. A. Zamaraev

Subjects: Statistical Finance (q-fin.ST); Data Analysis, Statistics and Probability (physics.data-an)

[16] arXiv:1311.2511 [pdf, other]

Title: Spin Glasses and Nonlinear Constraints in Portfolio Optimization

M. Andrecut

Comments: 10 pages, 4 figures

Subjects: Portfolio Management (q-fin.PM); Data Analysis, Statistics and Probability (physics.data-an)

[17] arXiv:1311.2550 [pdf, other]

Title: The Kelly growth optimal strategy with a stop-loss rule

Mads Nielsen

Comments: 13 pages, 4 figures. Submitted to Quantitative Finance 29 May 2013

Subjects: Portfolio Management (q-fin.PM)

[18] arXiv:1311.3019 [pdf, other]

Title: An Excursion-Theoretic Approach to Regulator's Bank Reorganization Problem

Masahiko Egami, Tadao Oryu

Comments: 16 pages, 4 figures

Subjects: Pricing of Securities (q-fin.PR); Optimization and Control (math.OC)

[19] arXiv:1311.3529 [pdf, other]

Title: Time--consistent investment under model uncertainty: the robust forward criteria

Sigrid Kallblad, Jan Obloj, Thaleia Zariphopoulou

Subjects: Portfolio Management (q-fin.PM)

[20] arXiv:1311.3764 [pdf, other]

Title: Modeling systemic risks in financial markets

Abhijnan Rej

Comments: 9 pages, discussion paper

Subjects: Risk Management (q-fin.RM); Social and Information Networks (cs.SI); Physics and Society (physics.soc-ph)

[21] arXiv:1311.3871 [pdf, other]

Title: Financial interaction networks inferred from traded volumes

Hongli Zeng, Rémi Lemoy, Mikko Alava

Comments: 14 pages, 6 figures

Subjects: Statistical Finance (q-fin.ST); Disordered Systems and Neural Networks (cond-mat.dis-nn); Physics and Society (physics.soc-ph)

[22] arXiv:1311.3881 [pdf, other]

Title: Functional Ito Calculus, Path-dependence and the Computation of Greeks

Samy Jazaerli, Yuri F. Saporito

Comments: 45 pages

Subjects: Computational Finance (q-fin.CP); Probability (math.PR)

[23] arXiv:1311.4057 [pdf, other]

Title: A Fast Algorithm for Computing High-dimensional Risk Parity Portfolios

Théophile Griveau-Billion, Jean-Charles Richard, Thierry Roncalli

Comments: 9 pages, 1 figure

Subjects: Portfolio Management (q-fin.PM)

[24] arXiv:1311.4068 [pdf, other]

Title: Uncertain growth and the value of the future

Jaume Masoliver, Miquel Montero, Josep Perelló, John Geanakoplos, J. Doyne Farmer

Comments: 8 pages, 4 figures

Subjects: Statistical Finance (q-fin.ST)

[25] arXiv:1311.4074 [pdf, other]

Title: Option Pricing with Lie Symmetry Analysis and Similarity Reduction Method

Wenqing Bao, ChunLi Chen, Jin E. Zhang

Comments: 23 pages

Subjects: Pricing of Securities (q-fin.PR); Computational Finance (q-fin.CP)

[26] arXiv:1311.4078 [pdf, other]

Title: Skew and implied leverage effect: smile dynamics revisited

Vincent Vargas, Tung-Lam Dao, Jean-Philippe Bouchaud

Comments: 12 pages, 6 figures

Subjects: Statistical Finance (q-fin.ST)

[27] arXiv:1311.4160 [pdf, other]

Title: Simulating the Synchronizing Behavior of High-Frequency Trading in Multiple Markets

Benjamin Myers, Austin Gerig

Comments: 7 pages, 4 figures, 1 table

Subjects: Trading and Market Microstructure (q-fin.TR); General Finance (q-fin.GN)

[28] arXiv:1311.4230 [pdf, other]

Title: Structural Changes on Warsaw's Stock Exchange: the end of Financial Crisis

Paweł Fiedor

Comments: 19 pages, 15 figures, submitted to Physica A

Subjects: Statistical Finance (q-fin.ST); Physics and Society (physics.soc-ph)

[29] arXiv:1311.4249 [pdf, other]

Title: Multiscale Stochastic Volatility Model for Derivatives on Futures

Jean-Pierre Fouque, Yuri F. Saporito, Jorge P. Zubelli

Comments: 30 pages and 3 figures

Subjects: Computational Finance (q-fin.CP); Pricing of Securities (q-fin.PR)

[30] arXiv:1311.4266 [pdf, other]

Title: Pr\'evision du risque de cr\'edit : Une \'etude comparative entre l'Analyse Discriminante et l'Approche Neuronale

Younes Boujelbène, Sihem Khemakhem

Subjects: Risk Management (q-fin.RM)

[31] arXiv:1311.4274 [pdf, other]

Title: Impact of information cost and switching of trading strategies in an artificial stock market

Yi-Fang Liu, Wei Zhang, Chao Xu, Jørgen Vitting Andersen, Hai-Chuan Xu

Comments: 15 pages, 9 figures, Physica A, 2014

Subjects: Trading and Market Microstructure (q-fin.TR)

[32] arXiv:1311.4342 [pdf, other]

Title: Option pricing and hedging with execution costs and market impact

Olivier Guéant, Jiang Pu

Subjects: Trading and Market Microstructure (q-fin.TR)

[33] arXiv:1311.4698 [pdf, other]

Title: A central limit theorem for Latin hypercube sampling with dependence and application to exotic basket option pricing

Christoph Aistleitner, Markus Hofer, Robert Tichy

Journal-ref: International Journal of Theoretical & Applied Finance, 15 (2012), no. 7, (20 pages)

Subjects: Computational Finance (q-fin.CP)

[34] arXiv:1311.4771 [pdf, other]

Title: Stock Market Trend Analysis Using Hidden Markov Models

G. Kavitha, A. Udhayakumar, D. Nagarajan

Comments: International Journal of Computer Science and Information Security october 2013

Subjects: Statistical Finance (q-fin.ST); Probability (math.PR)

[35] arXiv:1311.4798 [pdf, other]

Title: The multiplex structure of interbank networks

Leonardo Bargigli, Giovanni di Iasio, Luigi Infante, Fabrizio Lillo, Federico Pierobon

Comments: 41 pages, 8 figures, 10 tables

Subjects: General Finance (q-fin.GN)

[36] arXiv:1311.4969 [pdf, other]

Title: Recursive formula for arithmetic Asian option prices

Kyungsub Lee

Subjects: Pricing of Securities (q-fin.PR)

[37] arXiv:1311.4973 [pdf, other]

Title: High moment variations and their application

Geon Ho Choe, Kyungsub Lee

Subjects: Pricing of Securities (q-fin.PR)

[38] arXiv:1311.4977 [pdf, other]

Title: Conditional correlation in asset return and GARCH intensity model

Geon Ho Choe, Kyungsub Lee

Subjects: Statistical Finance (q-fin.ST)

[39] arXiv:1311.5036 [pdf, other]

Title: Probabilistic and statistical properties of moment variations and their use in inference and estimation based on high frequency return data

Kyungsub Lee

Journal-ref: tudies in Nonlinear Dynamics & Econometrics, 2016, 20.1: 19-36

Subjects: Statistical Finance (q-fin.ST)

[40] arXiv:1311.5120 [pdf, other]

Title: Actuarial fairness and solidarity in pooled annuity funds

Catherine Donnelly

Comments: 25 pages, 4 figures

Subjects: Portfolio Management (q-fin.PM); General Finance (q-fin.GN)

[41] arXiv:1311.5211 [pdf, other]

Title: Remark on repo and options

Andrei Kapaev

Comments: 10 pages, 2 figures

Journal-ref: Advances in Economics and Business, Vol. 1(2) (2013) pp. 213 - 221

Subjects: Pricing of Securities (q-fin.PR)

[42] arXiv:1311.5511 [pdf, other]

Title: Unified Growth Theory: A puzzling collection of myths based on hyperbolic illusions

Ron W Nielsen

Comments: 9 pages, 5 figures

Subjects: General Finance (q-fin.GN)

[43] arXiv:1311.5661 [pdf, other]

Title: The order book as a queueing system: average depth and influence of the size of limit orders

Ioane Muni Toke

Journal-ref: Quantitative Finance, 15(5), 795-808. (2015)

Subjects: Trading and Market Microstructure (q-fin.TR); Statistical Finance (q-fin.ST)

[44] arXiv:1311.5753 [pdf, other]

Title: Nucleation, condensation and lambda-transition on a real-life stock market

M. Wilinski, B. Szewczak, T. Gubiec, R. Kutner, Z. R. Struzik

Subjects: Statistical Finance (q-fin.ST); Data Analysis, Statistics and Probability (physics.data-an)

[45] arXiv:1311.6027 [pdf, other]

Title: Left-wing asymptotics of the implied volatility in the presence of atoms

Archil Gulisashvili

Subjects: Pricing of Securities (q-fin.PR)

[46] arXiv:1311.6080 [pdf, other]

Title: A New Characterization of Comonotonicity and its Application in Behavioral Finance

Zuo Quan Xu

Comments: This paper has been withdrawn by the author. The main results are existing in the literature, so we withdraw it

Journal-ref: Journal of Mathematical Analysis and Applications, Vol.418 (2014), 612-625

Subjects: Portfolio Management (q-fin.PM)

[47] arXiv:1311.6179 [pdf, other]

Title: Optimal Strategies for a Long-Term Static Investor

Lingjiong Zhu

Comments: 14 pages

Journal-ref: Stochastic Models 2014, Volume 30, Issue 3, 300-318

Subjects: Portfolio Management (q-fin.PM)

[48] arXiv:1311.6257 [pdf, other]

Title: Filters and smoothers for self-exciting Markov modulated counting processes

Samuel N. Cohen, Robert J. Elliott

Subjects: Computational Finance (q-fin.CP); Probability (math.PR); Trading and Market Microstructure (q-fin.TR); Other Statistics (stat.OT)

[49] arXiv:1311.6262 [pdf, other]

Title: Agent-based models for latent liquidity and concave price impact

Iacopo Mastromatteo, Bence Toth, Jean-Philippe Bouchaud

Comments: 36 pages, 12 figures, published version

Journal-ref: Phys. Rev. E 89, 042805 (2014)

Subjects: Trading and Market Microstructure (q-fin.TR); Statistical Mechanics (cond-mat.stat-mech)

[50] arXiv:1311.7027 [pdf, other]

Title: A note on arbitrage, approximate arbitrage and the fundamental theorem of asset pricing

Claudio Fontana

Comments: 10 pages

Journal-ref: Stochastics, 2014, vol. 86(6), 922-931

Subjects: Pricing of Securities (q-fin.PR); Probability (math.PR)