Quantitative Finance

Authors and titles for February 2019

[1] arXiv:1902.00382 [pdf, other]

Title: Forecasting the Impact of Connected and Automated Vehicles on Energy Use A Microeconomic Study of Induced Travel and Energy Rebound

Morteza Taiebat, Samuel Stolper, Ming Xu

Journal-ref: Applied Energy, 2019, 247, 297-308

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

[2] arXiv:1902.00428 [pdf, other]

Title: Does Better Governance Guarantee Less Corruption? Evidence of Loss in Effectiveness of the Rule of Law

Omar A. Guerrero, Gonzalo Castañeda

Subjects: General Economics (econ.GN)

[3] arXiv:1902.00429 [pdf, other]

Title: The Importance of Social and Government Learning in Ex Ante Policy Evaluation

Gonzalo Castaeda, Omar A. Guerrero

Subjects: General Economics (econ.GN)

[4] arXiv:1902.00430 [pdf, other]

Title: Quantifying the Coherence of Development Policy Priorities

Omar A. Guerrero, Gonzalo Castañeda

Subjects: General Economics (econ.GN)

[5] arXiv:1902.00432 [pdf, other]

Title: How do governments determine policy priorities? Studying development strategies through spillover networks

Omar A. Guerrero, Gonzalo Castañeda, Florian Chávez-Juárez

Subjects: General Economics (econ.GN)

[6] arXiv:1902.00678 [pdf, other]

Title: Robust Productivity Analysis: An application to German FADN data

Mathias Kloss, Thomas Kirschstein, Steffen Liebscher, Martin Petrick

Comments: 27 pages, 5 figures

Subjects: General Economics (econ.GN)

[7] arXiv:1902.00691 [pdf, other]

Title: A copula based Markov Reward approach to the credit spread in European Union

Guglielmo D'Amico, Filippo Petroni, Philippe Regnault, Stefania Scocchera, Loriano Storchi

Subjects: Computational Finance (q-fin.CP); Risk Management (q-fin.RM)

[8] arXiv:1902.00766 [pdf, other]

Title: Multivariate risk measures in the non-convex setting

Andreas Haier, Ilya Molchanov

Comments: 14 pages. Minor revision

Journal-ref: Statistics and Risk Analysis, 2019, 36, 25-35

Subjects: Risk Management (q-fin.RM)

[9] arXiv:1902.00786 [pdf, other]

Title: The Applications of Graph Theory to Investing

Joseph Attia

Comments: 53 Pages

Subjects: Statistical Finance (q-fin.ST); Discrete Mathematics (cs.DM); Mathematical Finance (q-fin.MF)

[10] arXiv:1902.00924 [pdf, other]

Title: Approximation of the first passage time distribution for the birth-death processes

Aleksejus Kononovicius, Vygintas Gontis

Comments: 12 pages, 6 figures

Journal-ref: Journal of Statistical Mechanics 2019: 073402 (2019)

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

[11] arXiv:1902.01157 [pdf, other]

Title: Optimal market making under partial information with general intensities

Diego Zabaljauregui, Luciano Campi

Comments: 37 pages, 4 figures

Journal-ref: Applied Mathematical Finance (2020)

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

[12] arXiv:1902.01265 [pdf, other]

Title: Surprised by the Hot Hand Fallacy? A Truth in the Law of Small Numbers

Joshua B. Miller, Adam Sanjurjo

Journal-ref: Econometrica, Vol. 86, No. 6 (November 2018), pp. 2019-2047

Subjects: General Economics (econ.GN)

[13] arXiv:1902.01398 [pdf, other]

Title: How on Earth: Flourishing in a Not-for-Profit World by 2050

Jennifer Hinton, Donnie Maclurcan

Comments: Working draft from August 2016 (still a work-in-progress), 266 pages, 41 figures

Subjects: General Economics (econ.GN)

[14] arXiv:1902.01471 [pdf, other]

Title: Strong convergence rates for Markovian representations of fractional processes

Philipp Harms

Comments: improved presentation and correction of some minor mistakes

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

[15] arXiv:1902.01673 [pdf, other]

Title: On spatially irregular ordinary differential equations and a pathwise volatility modelling framework

Ryan McCrickerd

Comments: Accepted PhD thesis. Minor revision of v3. 215 pages, 22 figures

Subjects: Mathematical Finance (q-fin.MF)

[16] arXiv:1902.01802 [pdf, other]

Title: How should you discount your backtest PnL?

Adam Rej, Philip Seager, Jean-Philippe Bouchaud

Comments: 5 pages, 5 figures

Subjects: Statistical Finance (q-fin.ST)

[17] arXiv:1902.01941 [pdf, other]

Title: Market Manipulation of Bitcoin: Evidence from Mining the Mt. Gox Transaction Network

Weili Chen, Jun Wu, Zibin Zheng, Chuan Chen, Yuren Zhou

Comments: This paper has been accepted by 2019 IEEE International Conference on Computer Communications(Infocom2019)

Subjects: General Finance (q-fin.GN); Computational Engineering, Finance, and Science (cs.CE); Trading and Market Microstructure (q-fin.TR)

[18] arXiv:1902.01986 [pdf, other]

Title: A lifestyle-based model of household neighbourhood location and individual travel mode choice behaviours

Ali Ardeshiri, Akshay Vij

Subjects: General Economics (econ.GN)

[19] arXiv:1902.02040 [pdf, other]

Title: Development of an agent-based speculation game for higher reproducibility of financial stylized facts

Kei Katahira, Yu Chen, Gaku Hashimoto, Hiroshi Okuda

Comments: 37 pages, 15 figures

Subjects: Statistical Finance (q-fin.ST)

[20] arXiv:1902.02418 [pdf, other]

Title: Conservation or deterioration in heritage sites? Estimating willingness to pay for preservation

Ali Ardeshiri, Roya Etminani Ghasrodashti, Taha Hossein Rashidi, Mahyar Ardeshiri, Ken Willis

Subjects: General Economics (econ.GN)

[21] arXiv:1902.02419 [pdf, other]

Title: Seasonality Effects on Consumers Preferences Over Quality Attributes of Different Beef Products

Ali Ardeshiri, Spring Sampson, Joffre Swait

Subjects: General Economics (econ.GN)

[22] arXiv:1902.02480 [pdf, other]

Title: Crowdfunding Public Projects: Collaborative Governance for Achieving Citizen Co-funding of Public Goods

Sounman Hong, Jungmin Ryu

Subjects: General Economics (econ.GN)

[23] arXiv:1902.02659 [pdf, other]

Title: Implementation of a Port-graph Model for Finance

Nneka Ene (Kings College London)

Comments: In Proceedings TERMGRAPH 2018, arXiv:1902.01510

Journal-ref: EPTCS 288, 2019, pp. 14-25

Subjects: Mathematical Finance (q-fin.MF)

[24] arXiv:1902.02854 [pdf, other]

Title: Static and semi-static hedging as contrarian or conformist bets

Svetlana Boyarchenko, Sergei Levendorskii

Subjects: Computational Finance (q-fin.CP)

[25] arXiv:1902.03041 [pdf, other]

Title: Modelling Extremal Dependence for Operational Risk by a Bipartite Graph

Oliver Kley, Claudia Klüppelberg, Sandra Paterlini

Subjects: Risk Management (q-fin.RM)

[26] arXiv:1902.03125 [pdf, other]

Title: High-performance stock index trading: making effective use of a deep LSTM neural network

Chariton Chalvatzis, Dimitrios Hristu-Varsakelis

Subjects: Statistical Finance (q-fin.ST); Machine Learning (cs.LG); Machine Learning (stat.ML)

[27] arXiv:1902.03310 [pdf, other]

Title: Preserve or retreat? Willingness-to-pay for Coastline Protection in New South Wales

Ali Ardeshiri, Joffre Swait, Elizabeth C. Heagney, Mladen Kovac

Comments: arXiv admin note: substantial text overlap with arXiv:1902.02418

Subjects: General Economics (econ.GN)

[28] arXiv:1902.03350 [pdf, other]

Title: Bayesian Nonparametric Adaptive Spectral Density Estimation for Financial Time Series

Nick James, Roman Marchant, Richard Gerlach, Sally Cripps

Comments: 8 pages

Subjects: Statistical Finance (q-fin.ST); Machine Learning (cs.LG); Applications (stat.AP); Machine Learning (stat.ML)

[29] arXiv:1902.03457 [pdf, other]

Title: Are trading invariants really invariant? Trading costs matter

Frédéric Bucci, Fabrizio Lillo, Jean-Philippe Bouchaud, Michael Benzaquen

Comments: 13 pages, 7 figures

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

[30] arXiv:1902.03610 [pdf, other]

Title: Physics and Derivatives: Effective-Potential Path-Integral Approximations of Arrow-Debreu Densities

Luca Capriotti, Ruggero Vaia

Comments: 12 pages, 4 figures

Journal-ref: Journal of Derivatives 28, 8-25 (2020)

Subjects: Computational Finance (q-fin.CP)

[31] arXiv:1902.03797 [pdf, other]

Title: Phase transition in the Bayesian estimation of the default portfolio

Masato Hisakado, Shintaro Mori

Comments: 24 pages, 9 figures

Journal-ref: Physica A: Statistical Mechanics and its Applications Volume 544, 15 April 2020, 123480

Subjects: Statistical Finance (q-fin.ST)

[32] arXiv:1902.03982 [pdf, other]

Title: Unified Bayesian Conditional Autoregressive Risk Measures using the Skew Exponential Power Distribution

Marco Bottone, Mauro Bernardi, Lea Petrella

Subjects: Statistical Finance (q-fin.ST)

[33] arXiv:1902.04367 [pdf, other]

Title: Low-rank tensor approximation for Chebyshev interpolation in parametric option pricing

Kathrin Glau, Daniel Kressner, Francesco Statti

Subjects: Computational Finance (q-fin.CP)

[34] arXiv:1902.04437 [pdf, other]

Title: Direct determination approach for the multifractal detrending moving average analysis

Hai-Chuan Xu, Gao-Feng Gu, Wei-Xing Zhou (ECUST)

Comments: 12 pages including 8 figures

Journal-ref: Physical Review E 96 (5), 052201 (2017)

Subjects: Statistical Finance (q-fin.ST)

[35] arXiv:1902.04456 [pdf, other]

Title: Building arbitrage-free implied volatility: Sinkhorn's algorithm and variants

Hadrien De March (ECOLE POLYTECHNIQUE, QANTEV), Pierre Henry-Labordere (SOCIETE GENERALE)

Subjects: Computational Finance (q-fin.CP)

[36] arXiv:1902.04690 [pdf, other]

Title: Fragmentation and inefficiencies in US equity markets: Evidence from the Dow 30

Brian F. Tivnan, David Rushing Dewhurst, Colin M. Van Oort, John H. Ring IV, Tyler J. Gray, Brendan F. Tivnan, Matthew T. K. Koehler, Matthew T. McMahon, David Slater, Jason Veneman, Christopher M. Danforth

Comments: 30 pages, 9 tables, 10 figures

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

[37] arXiv:1902.04691 [pdf, other]

Title: Scaling of inefficiencies in the U.S. equity markets: Evidence from three market indices and more than 2900 securities

John H. Ring IV, Colin M. Van Oort, David R. Dewhurst, Tyler J. Gray, Christopher M. Danforth, Brian F. Tivnan

Comments: 35 pages, 16 figures, 24 tables

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

[38] arXiv:1902.04940 [pdf, other]

Title: The fair reward problem: the illusion of success and how to solve it

Didier Sornette, Spencer Wheatley, Peter Cauwels

Comments: 41 pages, 12 figures, 2 tables

Subjects: General Economics (econ.GN); Physics and Society (physics.soc-ph)

[39] arXiv:1902.05287 [pdf, other]

Title: Risk management with machine-learning-based algorithms

Simon Fécamp, Joseph Mikael, Xavier Warin

Comments: 22 pages

Subjects: Risk Management (q-fin.RM)

[40] arXiv:1902.05418 [pdf, other]

Title: Market Impact: A Systematic Study of the High Frequency Options Market

Emilio Said, Ahmed Bel Hadj Ayed, Damien Thillou, Jean-Jacques Rabeyrin, Frédéric Abergel

Comments: arXiv admin note: text overlap with arXiv:1802.08502

Journal-ref: Quantitative Finance, 2021, vol. 21, no 1, p. 69-84

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

[41] arXiv:1902.05710 [pdf, other]

Title: Constrained Risk Budgeting Portfolios: Theory, Algorithms, Applications & Puzzles

Jean-Charles Richard, Thierry Roncalli

Comments: 36 pages, 3 figures

Subjects: Portfolio Management (q-fin.PM)

[42] arXiv:1902.05810 [pdf, other]

Title: Supervised Deep Neural Networks (DNNs) for Pricing/Calibration of Vanilla/Exotic Options Under Various Different Processes

Ali Hirsa, Tugce Karatas, Amir Oskoui

Comments: 17 pages, 28 figures and tables

Subjects: Pricing of Securities (q-fin.PR); Machine Learning (cs.LG)

[43] arXiv:1902.05938 [pdf, other]

Title: A Comparison of Economic Agent-Based Model Calibration Methods

Donovan Platt

Comments: 32 pages, 16 figures

Subjects: Computational Finance (q-fin.CP); General Economics (econ.GN)

[44] arXiv:1902.06053 [pdf, other]

Title: Non-Stationary Dividend-Price Ratios

Vassilis Polimenis, Ioannis Neokosmidis

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

[45] arXiv:1902.06175 [pdf, other]

Title: Optimal Stopping and Utility in a Simple Model of Unemployment Insurance

Jason S. Anquandah, Leonid V. Bogachev

Comments: 45 pages, 8 figures

Journal-ref: Risks, vol. 7 (2019), issue 3, paper #94, pages 1-41; Special Issue "Applications of Stochastic Optimal Control to Economics and Finance"

Subjects: Statistical Finance (q-fin.ST); Optimization and Control (math.OC); Mathematical Finance (q-fin.MF); Applications (stat.AP); Other Statistics (stat.OT)

[46] arXiv:1902.06483 [pdf, other]

Title: Correlation Patterns in Foreign Exchange Markets

Lasko Basnarkov, Viktor Stojkoski, Zoran Utkovski, Ljupco Kocarev

Subjects: Statistical Finance (q-fin.ST)

[47] arXiv:1902.06505 [pdf, other]

Title: Options on CPPI with guaranteed minimum equity exposure

L. Di Persio, I. Oliva. K. Wallbaum

Comments: 19 pages, 8 figures

Subjects: Portfolio Management (q-fin.PM)

[48] arXiv:1902.06549 [pdf, other]

Title: Market fragmentation and market consolidation: Multiple steady states in systems of adaptive traders choosing where to trade

Aleksandra Alorić, Peter Sollich

Comments: 25 pages, 17 figures

Journal-ref: Phys. Rev. E 99, 062309 (2019)

Subjects: Trading and Market Microstructure (q-fin.TR); General Economics (econ.GN); Adaptation and Self-Organizing Systems (nlin.AO)

[49] arXiv:1902.06623 [pdf, other]

Title: Model risk in mean-variance portfolio selection: an analytic solution to the worst-case approach

Roberto Baviera, Giulia Bianchi

Comments: 22 pages, 4 figures

Subjects: Portfolio Management (q-fin.PM)

[50] arXiv:1902.06883 [pdf, other]

Title: Multiscale Asymptotic Analysis for Portfolio Optimization under Stochastic Environment

Jean-Pierre Fouque, Ruimeng Hu

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