Quantitative Finance

Authors and titles for December 2017

[1] arXiv:1712.00001 [pdf, other]

Title: Some Physics Notions on Monetary Standard

Tiago Fernandes

Comments: 9 pages, no figures

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

[2] arXiv:1712.00077 [pdf, other]

Title: Fluctuation identities with continuous monitoring and their application to price barrier options

Carolyn E. Phelan, Daniele Marazzina, Gianluca Fusai, Guido Germano

Comments: 30 pages, 13 figures

Subjects: Computational Finance (q-fin.CP)

[3] arXiv:1712.00130 [pdf, other]

Title: Hint of a Universal Law for the Financial Gains of Competitive Sport Teams. The case of Tour de France cycle race

Marcel Ausloos

Comments: 7 pages, 2 figures, 13 references

Journal-ref: Frontiers in Physics 5: 59 (Nov 2017)

Subjects: General Finance (q-fin.GN); Adaptation and Self-Organizing Systems (nlin.AO)

[4] arXiv:1712.00131 [pdf, other]

Title: Benford's law first significant digit and distribution distances for testing the reliability of financial reports in developing countries

Jing Shi, Marcel Ausloos, Tingting Zhu

Comments: 22 pages, 34 references, 4 figures, 7 tables; to be published in Physica A

Subjects: Statistical Finance (q-fin.ST); Statistical Mechanics (cond-mat.stat-mech); Applications (stat.AP)

[5] arXiv:1712.00235 [pdf, other]

Title: Empirical comparison of three models for determining market clearing prices in Turkish day-ahead electricity market

Gökhan Ceyhan, Nermin Elif Kurt, H. Bahadir Sahin, Kürşad Derinkuyu

Comments: 7 pages, 3 figures, 14th International Conference on the European Energy Market (EEM), 2017

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

[6] arXiv:1712.00463 [pdf, other]

Title: Retirement Wealth under Fixed Limits: The Optimal Strategy for Exponential Utility

Lena Schutte

Comments: Masters Thesis

Subjects: Portfolio Management (q-fin.PM)

[7] arXiv:1712.00585 [pdf, other]

Title: Dynamic optimization of a portfolio

Oleg Malafeyev, Achal Awasthi

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

[8] arXiv:1712.00602 [pdf, other]

Title: An Inverse Problem Study: Credit Risk Ratings as a Determinant of Corporate Governance and Capital Structure in Emerging Markets: Evidence from Chinese Listed Companies

ManYing Kang, Marcel Ausloos

Comments: 25 pages, 6 tables

Journal-ref: Economies 2017, 5, 41

Subjects: General Economics (econ.GN); Applications (stat.AP)

[9] arXiv:1712.01060 [pdf, other]

Title: A Numerical Method for Pricing Discrete Double Barrier Option by Lagrange Interpolation on Jacobi Node

Amirhossein Sobhani, Mariyan Milev

Comments: arXiv admin note: substantial text overlap with arXiv:1703.09129

Subjects: Computational Finance (q-fin.CP)

[10] arXiv:1712.01085 [pdf, other]

Title: A particle model for the herding phenomena induced by dynamic market signals

Hyeong-Ohk Bae, Seung-yeon Cho, Sang-hyeok Lee, Seok-Bae Yun

Comments: 31 pages

Subjects: Computational Finance (q-fin.CP); Dynamical Systems (math.DS)

[11] arXiv:1712.01137 [pdf, other]

Title: Inferring agent objectives at different scales of a complex adaptive system

Dieter Hendricks, Adam Cobb, Richard Everett, Jonathan Downing, Stephen J. Roberts

Comments: 6 pages, 3 figures, NIPS 2017 Workshop on Learning in the Presence of Strategic Behaviour (MLStrat)

Subjects: Trading and Market Microstructure (q-fin.TR); Machine Learning (stat.ML)

[12] arXiv:1712.01319 [pdf, other]

Title: Multi-currency reserving for coherent risk measures

Saul Jacka, Seb Armstrong, Abdel Berkaoui

Comments: Revision to previous submission. A definition is changed and an error corrected

Subjects: Mathematical Finance (q-fin.MF)

[13] arXiv:1712.01385 [pdf, other]

Title: Quantum Bounds for Option Prices

Paul McCloud

Comments: 33 pages, 18 figures

Subjects: Mathematical Finance (q-fin.MF); Operator Algebras (math.OA)

[14] arXiv:1712.02003 [pdf, other]

Title: Universal fluctuations in growth dynamics of economic systems

Nathan C. Frey, Sakib Matin, H. Eugene Stanley, Michael Salinger

Comments: 15 pages, 7 figures

Journal-ref: Scientific Reports 9, 713 (2019)

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

[15] arXiv:1712.02138 [pdf, other]

Title: A cluster driven log-volatility factor model: a deepening on the source of the volatility clustering

Anshul Verma, Riccardo Junior Buonocore, Tiziana di Matteo

Journal-ref: Quantitative Finance, 2018

Subjects: Statistical Finance (q-fin.ST)

[16] arXiv:1712.02182 [pdf, other]

Title: Risk Apportionment: The Dual Story

Louis R. Eeckhoudt, Roger J. A. Laeven, Harris Schlesinger

Subjects: Risk Management (q-fin.RM)

[17] arXiv:1712.02661 [pdf, other]

Title: Linear and nonlinear market correlations: characterizing financial crises and portfolio optimization

Alexander Haluszczynski, Ingo Laut, Heike Modest, Christoph Räth

Comments: 12 pages, 11 figures, Phys. Rev. E, accepted

Subjects: Statistical Finance (q-fin.ST); Chaotic Dynamics (nlin.CD); Data Analysis, Statistics and Probability (physics.data-an); Physics and Society (physics.soc-ph)

[18] arXiv:1712.02735 [pdf, other]

Title: Variance and Volatility Swaps and Futures Pricing for Stochastic Volatility Models

Anatoliy Swishchuk, Zijia Wang

Comments: 2 figures

Subjects: Mathematical Finance (q-fin.MF)

[19] arXiv:1712.03044 [pdf, other]

Title: Mixed Models as an Alternative to Farima

José Igor Morlanes

Subjects: Mathematical Finance (q-fin.MF)

[20] arXiv:1712.03106 [pdf, other]

Title: Compound Hawkes Processes in Limit Order Books

Anatoliy Swishchuk, Bruno Remillard, Robert Elliott, Jonathan Chavez-Casillas

Comments: 24 pages, 16 figures. arXiv admin note: substantial text overlap with arXiv:1706.07459

Subjects: Mathematical Finance (q-fin.MF); Trading and Market Microstructure (q-fin.TR)

[21] arXiv:1712.03566 [pdf, other]

Title: Enhancing Binomial and Trinomial Equity Option Pricing Models

Yong Shin Kim, Stoyan Stoyanov, Svetlozar Rachev, Frank J. Fabozzi

Subjects: Mathematical Finance (q-fin.MF)

[22] arXiv:1712.03681 [pdf, other]

Title: Revisiting the determinacy on New Keynesian Models: A survey

Alberto F. Boix, Adrián Segura Moreiras

Comments: 16 pages, comments are welcome. Changes with respect to the first version: change of title and updated references

Subjects: General Economics (econ.GN)

[23] arXiv:1712.04418 [pdf, other]

Title: Fair valuation of L\'evy-type drawdown-drawup contracts with general insured and penalty functions

Zbigniew Palmowski, Joanna Tumilewicz

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

[24] arXiv:1712.04609 [pdf, other]

Title: QLBS: Q-Learner in the Black-Scholes(-Merton) Worlds

Igor Halperin

Comments: 30 pages (minor changes in the presentation, updated references)

Subjects: Computational Finance (q-fin.CP); Machine Learning (cs.LG)

[25] arXiv:1712.04612 [pdf, other]

Title: Inverse Reinforcement Learning for Marketing

Igor Halperin

Comments: 18 pages, 5 figures

Subjects: Computational Finance (q-fin.CP); Artificial Intelligence (cs.AI); Computational Engineering, Finance, and Science (cs.CE); Machine Learning (cs.LG); Systems and Control (eess.SY)

[26] arXiv:1712.04844 [pdf, other]

Title: Optimal Stochastic Decensoring and Applications to Calibration of Market Models

Anastasis Kratsios

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

[27] arXiv:1712.04863 [pdf, other]

Title: Stock market as temporal network

Longfeng Zhao, Gang-Jin Wang, Mingang Wang, Weiqi Bao, Wei Li, H. Eugene Stanley

Subjects: Statistical Finance (q-fin.ST)

[28] arXiv:1712.04990 [pdf, other]

Title: Series representation of the pricing formula for the European option driven by space-time fractional diffusion

Jean-Philippe Aguilar, Cyril Coste, Jan Korbel

Comments: 24 pages, 2 figures This paper is now published (in revised form), and is available online at this http URL, so always cite it with the journal's coordinates

Journal-ref: Fractional calculus and applied analysis 21(4), 2018, 981-1004

Subjects: Mathematical Finance (q-fin.MF); Pricing of Securities (q-fin.PR)

[29] arXiv:1712.05031 [pdf, other]

Title: The Mathematics of Market Timing

Guy Metcalfe

Comments: 18 pages, 6 figures

Journal-ref: Metcalfe G (2018) The mathematics of market timing. PLoS ONE 13(7): e0200561

Subjects: Portfolio Management (q-fin.PM)

[30] arXiv:1712.05121 [pdf, other]

Title: The consentaneous model of the financial markets exhibiting spurious nature of long-range memory

Vygintas Gontis, Aleksejus Kononovicius

Comments: 16 pages, 6 figures

Journal-ref: Physica A 505 (2018): 1075-1083

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

[31] arXiv:1712.05254 [pdf, other]

Title: The evaluation of geometric Asian power options under time changed mixed fractional Brownian motion

Foad Shokrollahi

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

[32] arXiv:1712.05676 [pdf, other]

Title: Risk Sensitive Portfolio Optimization with Default Contagion and Regime-Switching

Lijun Bo, Huafu Liao, Xiang Yu

Comments: Final version. SIAM Journal on Control and Optimization, forthcoming; Keywords: Default contagion; regime switching; countably infinite states; risk sensitive control; recursive dynamical programming equations; verification theorems

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

[33] arXiv:1712.06263 [pdf, other]

Title: The relationship between trading volumes, number of transactions, and stock volatility in GARCH models

Tetsuya Takaishi, Ting Ting Chen

Comments: 4 pages, 1 figure

Journal-ref: J. Phys.: Conf. Ser. 738 (2016) 012097

Subjects: Statistical Finance (q-fin.ST)

[34] arXiv:1712.06466 [pdf, other]

Title: Back-of-the-envelope swaptions in a very parsimonious multicurve interest rate model

Roberto Baviera

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

[35] arXiv:1712.06664 [pdf, other]

Title: Another Look at the Ho-Lee Bond Option Pricing Model

Young Shin Kim, Stoyan Stoyanov, Svetlozar Rachev, Frank J. Fabozzi

Journal-ref: The Journal of Derivatives Summer 2018, 25 (4) 48-53

Subjects: Mathematical Finance (q-fin.MF)

[36] arXiv:1712.07320 [pdf, other]

Title: First-Order Asymptotics of Path-Dependent Derivatives in Multiscale Stochastic Volatility Environment

Yuri F. Saporito

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

[37] arXiv:1712.07649 [pdf, other]

Title: Trading Strategies with Position Limits

Valerii Salov

Comments: 64 pages, 17 figures, 6 tables, 123 references

Subjects: General Finance (q-fin.GN)

[38] arXiv:1712.07699 [pdf, other]

Title: Robust expected utility maximization with medial limits

Daniel Bartl, Patrick Cheridito, Michael Kupper

Journal-ref: Journal of Mathematical Analysis and Applications, 471(1-2), 752-775, 2019

Subjects: Portfolio Management (q-fin.PM)

[39] arXiv:1712.07796 [pdf, other]

Title: Gibbs sampler with jump diffusion model: application in European call option and annuity

Kein Joe Lau, Yong Kheng Goh, An-Chow Lai

Comments: 15 pages, 5 figures, Submitted to IJTAF

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

[40] arXiv:1712.08137 [pdf, other]

Title: Efficient European and American option pricing under a jump-diffusion process

Marcellino Gaudenzi, Alice Spangaro, Patrizia Stucchi

Subjects: Computational Finance (q-fin.CP)

[41] arXiv:1712.08247 [pdf, other]

Title: Pricing double barrier options on homogeneous diffusions: a Neumann series of Bessel functions representation

Igor V. Kravchenko, Vladislav V. Kravchenko, Sergii M. Torba, José Carlos Dias

Comments: 19 pages, 4 tables, 3 figures

Subjects: Computational Finance (q-fin.CP); Analysis of PDEs (math.AP)

[42] arXiv:1712.08329 [pdf, other]

Title: A threshold model for local volatility: evidence of leverage and mean reversion effects on historical data

Antoine Lejay (TOSCA, IECL), Paolo Pigato (WIAS)

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

[43] arXiv:1712.08654 [pdf, other]

Title: Closed-form Solutions for the Lucas-Uzawa model: Unique or Multiple

Rehana Naz

Subjects: General Economics (econ.GN); Mathematical Finance (q-fin.MF)

[44] arXiv:1712.09087 [pdf, other]

Title: Dynamic intersectoral models with power-law memory

Valentina V. Tarasova, Vasily E. Tarasov

Comments: 24 pages, pdf

Journal-ref: Communications in Nonlinear Science and Numerical Simulation. 2018. Vol. 54. P. 100-117

Subjects: General Economics (econ.GN)

[45] arXiv:1712.09088 [pdf, other]

Title: Concept of dynamic memory in economics

Valentina V. Tarasova, Vasily E. Tarasov

Comments: 32 pages, pdf

Journal-ref: Communications in Nonlinear Science and Numerical Simulation. 2018. Vol.55. P.127-145

Subjects: General Economics (econ.GN)

[46] arXiv:1712.09092 [pdf, other]

Title: Logistic map with memory from economic model

Valentina V. Tarasova, Vasily E. Tarasov

Comments: 19 pages, pdf

Journal-ref: Chaos, Solitons & Fractals. 2017. Vol. 95. P. 84-91

Subjects: General Economics (econ.GN)

[47] arXiv:1712.09108 [pdf, other]

Title: Non-stochastic portfolio theory

Vladimir Vovk

Comments: 16 pages, 1 figure; Working Paper 51 at this http URL

Subjects: Portfolio Management (q-fin.PM)

[48] arXiv:1712.09575 [pdf, other]

Title: Economic interpretation of fractional derivatives

Valentina V. Tarasova, Vasily E. Tarasov

Comments: 10 pages, 2 figures, LaTeX

Journal-ref: Progress in Fractional Differentiation and Applications. 2017. Vol.3. No.1. P.1-7

Subjects: General Economics (econ.GN); Classical Analysis and ODEs (math.CA)

[49] arXiv:1712.09605 [pdf, other]

Title: Accelerators in macroeconomics: Comparison of discrete and continuous approaches

Valentina V. Tarasova, Vasily E. Tarasov

Comments: 12 pages, pdf

Journal-ref: American Journal of Economics and Business Administration. 2017. Vol.9. No.3. P.47-55

Subjects: General Economics (econ.GN)

[50] arXiv:1712.09854 [pdf, other]

Title: No arbitrage and lead-lag relationships

Takaki Hayashi, Yuta Koike

Comments: 16 pages

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