Quantitative Finance

Authors and titles for August 2017

[1] arXiv:1708.00062 [pdf, other]

Title: Sparse Structural Approach for Rating Transitions

Volodymyr Perederiy

Comments: Keywords: Multi-year, Lifetime, Probability of Default, PD, Default Rates, Rating Transition Matrices, IFRS 9, Expected Credit Losses, ECL, Through-the-Cycle, TTC, Point-in-Time, PIT, Macroeconomic Adjustments, Time Series, Autoregression, Accounting, Financial Instruments, Maximum Likelihood Estimation

Subjects: Risk Management (q-fin.RM)

[2] arXiv:1708.00189 [pdf, other]

Title: Sequential Sampling for CGMY Processes via Decomposition of their Time Changes

Chengwei Zhang, Zhiyuan Zhang

Subjects: Computational Finance (q-fin.CP)

[3] arXiv:1708.00506 [pdf, other]

Title: Control-stopping Games for Market Microstructure and Beyond

Roman Gayduk, Sergey Nadtochiy

Subjects: Mathematical Finance (q-fin.MF)

[4] arXiv:1708.00644 [pdf, other]

Title: The "Size Premium" in Equity Markets: Where is the Risk?

Stefano Ciliberti, Emmanuel Sérié, Guillaume Simon, Yves Lempérière, Jean-Philippe Bouchaud

Comments: Working paper

Subjects: Portfolio Management (q-fin.PM)

[5] arXiv:1708.00645 [pdf, other]

Title: Stock-flow consistent macroeconomic model with nonuniform distributional constraint

Aurélien Hazan (UPEC UP12)

Subjects: General Finance (q-fin.GN); Physics and Society (physics.soc-ph); Applications (stat.AP)

[6] arXiv:1708.01085 [pdf, other]

Title: Lorenz curves interpretations of the Bruss-Duerinckx theorem for resource dependent branching processes

Alexandre Jacquemain

Comments: 10 pages with 2 figures

Subjects: General Economics (econ.GN); Probability (math.PR)

[7] arXiv:1708.01161 [pdf, other]

Title: Why we like the ECI+ algorithm

Andrea Gabrielli, Matthieu Cristelli, Dario Mazzilli, Andrea Tacchella, Andrea Zaccaria, Luciano Pietronero

Subjects: General Economics (econ.GN)

[8] arXiv:1708.01489 [pdf, other]

Title: Spectral backtests of forecast distributions with application to risk management

Michael B. Gordy, Alexander J. McNeil

Comments: 41 pages, 3 figures, supplementary material

Subjects: Risk Management (q-fin.RM)

[9] arXiv:1708.01561 [pdf, other]

Title: Sensitivity of the Eisenberg-Noe clearing vector to individual interbank liabilities

Zachary Feinstein, Weijie Pang, Birgit Rudloff, Eric Schaanning, Stephan Sturm, Mackenzie Wildman

Comments: 37 pages

Journal-ref: SIAM J. Finan. Math. 9:4 (2018), 1286-1325

Subjects: Mathematical Finance (q-fin.MF); Risk Management (q-fin.RM)

[10] arXiv:1708.01665 [pdf, other]

Title: A Two Factor Forward Curve Model with Stochastic Volatility for Commodity Prices

Mark Higgins

Comments: 20 pages, 8 figures

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

[11] arXiv:1708.01890 [pdf, other]

Title: Optimal Learning under Robustness and Time-Consistency

Larry G. Epstein, Shaolin Ji

Comments: 35 pages

Subjects: General Economics (econ.GN)

[12] arXiv:1708.01897 [pdf, other]

Title: Machine learning in sentiment reconstruction of the simulated stock market

Mikhail Goykhman, Ali Teimouri

Comments: 18 pages, 6 figures

Subjects: Trading and Market Microstructure (q-fin.TR); Neural and Evolutionary Computing (cs.NE)

[13] arXiv:1708.02073 [pdf, other]

Title: Volatility Spillovers and Heavy Tails: A Large t-Vector AutoRegressive Approach

Luca Barbaglia, Christophe Croux, Ines Wilms

Subjects: Statistical Finance (q-fin.ST)

[14] arXiv:1708.02180 [pdf, other]

Title: Financial option insurance

Qi-Wen Wang, Jian-Jun Shu

Journal-ref: Risk Management-Journal of Risk Crisis and Disaster, Vol. 19, No. 1, pp. 72-101, 2017

Subjects: Risk Management (q-fin.RM)

[15] arXiv:1708.02193 [pdf, other]

Title: The phase space structure of the oligopoly dynamical system by means of Darboux integrability

Adam Krawiec, Tomasz Stachowiak, Marek Szydlowski

Comments: 25 pages, 4 figures

Subjects: General Economics (econ.GN); Dynamical Systems (math.DS); Exactly Solvable and Integrable Systems (nlin.SI)

[16] arXiv:1708.02365 [pdf, other]

Title: Indirect Inference with a Non-Smooth Criterion Function

David T. Frazier, Tatsushi Oka, Dan Zhu

Comments: This paper is a revision of arXiv:1708.02365 and supersedes the earlier arXiv paper "Derivative-Based Optimization with a Non-Smooth Simulated Criterion"

Subjects: General Economics (econ.GN); Computation (stat.CO); Methodology (stat.ME)

[17] arXiv:1708.02411 [pdf, other]

Title: Nonlinear price impact from linear models

Felix Patzelt, Jean-Philippe Bouchaud

Comments: Companion paper to [1]: arXiv:1706.04163

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

[18] arXiv:1708.02424 [pdf, other]

Title: Cardinality constrained portfolio selection via factor models

Juan Francisco Monge

Journal-ref: Optimization Letters, 2020

Subjects: Portfolio Management (q-fin.PM)

[19] arXiv:1708.02563 [pdf, other]

Title: Turbocharging Monte Carlo pricing for the rough Bergomi model

Ryan McCrickerd, Mikko S. Pakkanen

Comments: 16 pages, 10 figures, v3: minor amendments and reformatted

Journal-ref: Quantitative Finance 2018, Vol. 18, No. 11, 1877-1886

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

[20] arXiv:1708.02605 [pdf, other]

Title: Exact probability distribution function for the volatility of cumulative production

Rubina Zadourian, Andreas Klümper

Comments: 6 pages, 6 figures

Subjects: General Finance (q-fin.GN)

[21] arXiv:1708.02625 [pdf, other]

Title: Risk Constrained Trading Strategies for Stochastic Generation with a Single-Price Balancing Market

Jethro Browell

Subjects: General Finance (q-fin.GN); Statistical Finance (q-fin.ST)

[22] arXiv:1708.02715 [pdf, other]

Title: Order Flows and Limit Order Book Resiliency on the Meso-Scale

Kyle Bechler, Michael Ludkovski

Comments: 8 figures; One figure is missing due to arxiv size constraints (was 6MB originally)

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

[23] arXiv:1708.02984 [pdf, other]

Title: Decoding Stock Market with Quant Alphas

Zura Kakushadze, Willie Yu

Comments: 20 pages; to appear in Journal of Asset Management

Journal-ref: Journal of Asset Management 19(1) (2018) 38-48

Subjects: Portfolio Management (q-fin.PM); Mathematical Finance (q-fin.MF); Risk Management (q-fin.RM)

[24] arXiv:1708.03099 [pdf, other]

Title: On the existence of sure profits via flash strategies

Claudio Fontana, Markus Pelger, Eckhard Platen

Comments: 16 pages; revised and expanded version

Journal-ref: J. Appl. Probab. 56 (2019) 384-397

Subjects: Trading and Market Microstructure (q-fin.TR); Probability (math.PR)

[25] arXiv:1708.03242 [pdf, other]

Title: Conditional-Mean Hedging Under Transaction Costs in Gaussian Models

Tommi Sottinen, Lauri Viitasaari

Comments: arXiv admin note: text overlap with arXiv:1706.01534

Subjects: Mathematical Finance (q-fin.MF); Probability (math.PR)

[26] arXiv:1708.03511 [pdf, other]

Title: Technology networks: the autocatalytic origins of innovation

Lorenzo Napolitano, Evangelos Evangelou, Emanuele Pugliese, Paolo Zeppini, Graham Room

Subjects: General Economics (econ.GN); Social and Information Networks (cs.SI)

[27] arXiv:1708.03533 [pdf, other]

Title: Oil economy phase plot: a physical analogy

Luciano Celi, Claudio Della Volpe, Luca Pardi, Stefano Siboni

Comments: 8 pages, 4 figures

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

[28] arXiv:1708.04107 [pdf, other]

Title: 729 new measures of economic complexity (Addendum to Improving the Economic Complexity Index)

Saleh Albeaik, Mary Kaltenberg, Mansour Alsaleh, César A. Hidalgo

Subjects: General Economics (econ.GN)

[29] arXiv:1708.04217 [pdf, other]

Title: A General Class of Multifractional Processes and Stock Price Informativeness

Qidi Peng, Ran Zhao

Subjects: Mathematical Finance (q-fin.MF); Probability (math.PR); Applications (stat.AP)

[30] arXiv:1708.04281 [pdf, other]

Title: Valuation of a Bermudan DB underpin hybrid pension benefit

Xiaobai Zhu, Mary Hardy, David Saunders

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

[31] arXiv:1708.04337 [pdf, other]

Title: Optimal placement of a small order in a diffusive limit order book

José E. Figueroa-López, Hyoeun Lee, Raghu Pasupathy

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

[32] arXiv:1708.04339 [pdf, other]

Title: Optimum thresholding using mean and conditional mean square error

José E. Figueroa-López, Cecilia Mancini

Comments: 36 pages, 1 figure

Subjects: Statistical Finance (q-fin.ST); Applications (stat.AP)

[33] arXiv:1708.04430 [pdf, other]

Title: Dynamics of Investor Spanning Trees Around Dot-Com Bubble

Sindhuja Ranganathan, Mikko Kivelä, Juho Kanniainen

Comments: 15 pages, 4 figures

Subjects: General Economics (econ.GN)

[34] arXiv:1708.04532 [pdf, other]

Title: Some stylized facts of the Bitcoin market

Aurelio F. Bariviera, María José Basgall, Waldo Hasperué, Marcelo Naiouf

Comments: 17 pages, 6 figures. arXiv admin note: text overlap with arXiv:1605.06700

Journal-ref: Physica A Statistical Mechanics and Its Applications, Vol. 484, pp. 82-90 (2017)

Subjects: Statistical Finance (q-fin.ST); General Finance (q-fin.GN)

[35] arXiv:1708.04711 [pdf, other]

Title: Generalizations of Szpilrajn's Theorem in economic and game theories

Athanasios Andrikopoulos

Subjects: General Economics (econ.GN)

[36] arXiv:1708.04829 [pdf, other]

Title: Pricing compound and extendible options under mixed fractional Brownian motion with jumps

Foad Shokrollahi

Journal-ref: Axioms 2019

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

[37] arXiv:1708.04952 [pdf, other]

Title: New Market Creation via Innovation: A Study on Tata Nano

Swati Singh, Manoj Joshi

Comments: 13 pages

Journal-ref: aWEshkar Vol. XIX Issue 2, Sept 2015

Subjects: General Economics (econ.GN)

[38] arXiv:1708.04955 [pdf, other]

Title: qBitcoin: A Peer-to-Peer Quantum Cash System

Kazuki Ikeda

Comments: 11 pages, 2 figures

Journal-ref: Proceedings of the 2018 Computing Conference

Subjects: General Finance (q-fin.GN); Cryptography and Security (cs.CR); Quantum Physics (quant-ph)

[39] arXiv:1708.05319 [pdf, other]

Title: An indifference approach to the cost of capital constraints: KVA and beyond

Damiano Brigo, Marco Francischello, Andrea Pallavicini

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

[40] arXiv:1708.05689 [pdf, other]

Title: Quantum Barro--Gordon Game in Monetary Economics

Ali Hussein Samadi, Afshin Montakhab, Hussein Marzban, Sakine Owjimehr

Comments: 15 pages, 2 tables. Accepted for publication in Physica A

Journal-ref: Physica A 489 (2018) 94 - 101

Subjects: General Economics (econ.GN); Statistical Mechanics (cond-mat.stat-mech); Quantum Physics (quant-ph)

[41] arXiv:1708.05713 [pdf, other]

Title: Portfolio Optimization with Entropic Value-at-Risk

Amir Ahmadi-Javid, Malihe Fallah-Tafti

Journal-ref: European Journal of Operational Research, 279(1), 225-241

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

[42] arXiv:1708.06704 [pdf, other]

Title: Unemployment: Study of Causes and Possible Solutions

Thomas Pedro Eggarter

Comments: this http URL (physicist) passed away in August 1997. This work was done during his last months of life and only locally published up to now. Work is in Spanish and could be translated upon request. Please contact E. Alvarez sequi@df.this http URL

Subjects: General Economics (econ.GN)

[43] arXiv:1708.06792 [pdf, other]

Title: Volatility and Economic Growth in the Twentieth Century

Mercedes Campi, Marco Dueñas

Comments: 25 pages, 6 figures, 4 tables

Subjects: General Finance (q-fin.GN); Physics and Society (physics.soc-ph); Applications (stat.AP)

[44] arXiv:1708.06855 [pdf, other]

Title: Systematic Noise: Micro-movements in Equity Options Markets

Adam Wu

Comments: Undergraduate Research Paper

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

[45] arXiv:1708.06886 [pdf, other]

Title: VIX-linked fees for GMWBs via Explicit Solution Simulation Methods

Michael A. Kouritzin, Anne MacKay

Subjects: Risk Management (q-fin.RM)

[46] arXiv:1708.07037 [pdf, other]

Title: Relationship between Remittances and Macroeconomic Variables in Times of Political and Social Upheaval: Evidence from Tunisia's Arab Spring

Jamal Bouoiyour (1), Refk Selmi (1), Amal Miftah (1) ((1) CATT)

Comments: ERF 23rd Annual Conference , Mar 2017, Amman, Jordan

Subjects: General Economics (econ.GN)

[47] arXiv:1708.07047 [pdf, other]

Title: Behind the price: on the role of agent's reflexivity in financial market microstructure

Paolo Barucca, Fabrizio Lillo

Comments: 12 pages, 1 figure

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

[48] arXiv:1708.07061 [pdf, other]

Title: Forecasting day-ahead electricity prices in Europe: the importance of considering market integration

Jesus Lago, Fjo De Ridder, Peter Vrancx, Bart De Schutter

Journal-ref: Applied Energy, Volume 211, 1 February 2018, Pages 890-903

Subjects: Statistical Finance (q-fin.ST); Computational Engineering, Finance, and Science (cs.CE); Machine Learning (cs.LG); Neural and Evolutionary Computing (cs.NE); Applications (stat.AP)

[49] arXiv:1708.07063 [pdf, other]

Title: Dynamic Conditional Correlation between Electricity and Stock markets during the Financial Crisis in Greece

Panagiotis G. Papaioannou, George P. Papaioannou, Kostas Siettos, Akylas Stratigakos, Christos Dikaiakos

Subjects: Statistical Finance (q-fin.ST)

[50] arXiv:1708.07305 [pdf, other]

Title: Optimal firm's policy under lead time-and price-dependent demand: interest of customers rejection policy

Abduh Sayid (G-SCOP\_GCSP), Yannick Frein (G-SCOP\_GCSP), Ramzi Hammami

Journal-ref: POMS 27th Annual Conference, May 2016, Orlando, Florida, United States

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