Quantitative Finance

Authors and titles for March 2019

[1] arXiv:1903.00067 [pdf, other]

Title: Implementing a financial derivative as smart contract

Christian Fries, Peter Kohl-Landgraf, Björn Paffen, Stefanie Weddigen, Luca Del Re, Wilfried Schütte, David Bacher, Rebecca Declara, Daniel Eichsteller, Florian Weichand, Michael Streubel

Comments: 51 pages, 7 figures

Subjects: General Finance (q-fin.GN)

[2] arXiv:1903.00261 [pdf, other]

Title: Stealed-bid Auctions: Detecting Bid Leakage via Semi-Supervised Learning

Dmitry I. Ivanov, Alexander S. Nesterov

Comments: This is long version of short paper 'Identifying Bid Leakage in Procurement Auctions: Machine Learning Approach', published at EC'19: this https URL

Subjects: General Economics (econ.GN)

[3] arXiv:1903.00313 [pdf, other]

Title: Hierarchical financial structures with money cascade

Mahendra K. Verma

Comments: to appear as a chapter in "New Perspectives and Challenges in Econophysics and Sociophysics", 2019

Subjects: General Finance (q-fin.GN); Statistical Mechanics (cond-mat.stat-mech); Fluid Dynamics (physics.flu-dyn); History and Philosophy of Physics (physics.hist-ph)

[4] arXiv:1903.00369 [pdf, other]

Title: Gaussian Process Regression for Pricing Variable Annuities with Stochastic Volatility and Interest Rate

Ludovic Goudenège, Andrea Molent, Antonino Zanette

Subjects: Computational Finance (q-fin.CP)

[5] arXiv:1903.00472 [pdf, other]

Title: Cryptocurrency market structure: connecting emotions and economics

Tomaso Aste

Comments: 17 pages, 5 figures, 2 tables

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

[6] arXiv:1903.00590 [pdf, other]

Title: Non-Parametric Robust Model Risk Measurement with Path-Dependent Loss Functions

Yu Feng

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

[7] arXiv:1903.00631 [pdf, other]

Title: Optimal Investment-Consumption-Insurance with Durable and Perishable Consumption Goods in a Jump Diffusion Market

Jin Sun, Ryle S. Perera, Pavel V. Shevchenko

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

[8] arXiv:1903.00690 [pdf, other]

Title: Using Artificial Intelligence to Recapture Norms: Did #metoo change gender norms in Sweden?

Sara Moricz

Subjects: General Economics (econ.GN)

[9] arXiv:1903.00829 [pdf, other]

Title: Cover's Rebalancing Option With Discrete Hindsight Optimization

Alex Garivaltis

Comments: This paper has been withdrawn by the author

Subjects: Portfolio Management (q-fin.PM); General Economics (econ.GN); Theoretical Economics (econ.TH); Mathematical Finance (q-fin.MF); Pricing of Securities (q-fin.PR)

[10] arXiv:1903.00937 [pdf, other]

Title: Pricing foreign exchange options under stochastic volatility and interest rates using an RBF--FD method

Fazlollah Soleymani, Andrey Itkin

Comments: 24 pages, 7 tables, 4 figures

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

[11] arXiv:1903.00952 [pdf, other]

Title: Piketty's second fundamental law of capitalism as an emergent property in a kinetic wealth-exchange model of economic growth

D. S. Quevedo, C. J. Quimbay

Comments: 16 pages, 4 figures, some types corrected

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

[12] arXiv:1903.00955 [pdf, other]

Title: Artificial Counselor System for Stock Investment

Hadi NekoeiQachkanloo, Benyamin Ghojogh, Ali Saheb Pasand, Mark Crowley

Comments: 7 pages, 8 figures, 1 table

Journal-ref: Proceedings of the AAAI Conference on Artificial Intelligence, vol. 33, no. 01, pp. 9558-9564, 2019

Subjects: General Finance (q-fin.GN); Computational Engineering, Finance, and Science (cs.CE); General Economics (econ.GN)

[13] arXiv:1903.01655 [pdf, other]

Title: Cross-shareholding networks and stock price synchronicity: Evidence from China

Fenghua Wen (CSU), Yujie Yuan (CSU), Wei-Xing Zhou (ECUST)

Comments: 24 pages including 12 tables

Journal-ref: International Journal of Finance & Economics 26 (1), 914-948 (2021)

Subjects: Statistical Finance (q-fin.ST)

[14] arXiv:1903.01744 [pdf, other]

Title: Scaling Features of Price-Volume Cross-Correlation

Jamshid Ardalankia, Mohammad Osoolian, Emmanuel Haven, G.Reza Jafari

Comments: 9 pages, 5 figures

Subjects: Computational Finance (q-fin.CP); Statistical Finance (q-fin.ST)

[15] arXiv:1903.01820 [pdf, other]

Title: Influence of petroleum and gas trade on EU economies from the reduced Google matrix analysis of UN COMTRADE data

Célestin Coquidé, Leonardo Ermann, José Lages, D.L. Shepelyansky

Comments: 13 pages, 11 figures, 2 tables

Journal-ref: Eur. Phys. J. B (2019) 92: 171

Subjects: Statistical Finance (q-fin.ST); Social and Information Networks (cs.SI); Physics and Society (physics.soc-ph)

[16] arXiv:1903.01861 [pdf, other]

Title: Externalities in Knowledge Production: Evidence from a Randomized Field Experiment

Marit Hinnosaar, Toomas Hinnosaar, Michael Kummer, Olga Slivko

Subjects: General Economics (econ.GN); Computers and Society (cs.CY); Computer Science and Game Theory (cs.GT)

[17] arXiv:1903.01954 [pdf, other]

Title: Elusive Longer-Run Impacts of Head Start: Replications Within and Across Cohorts

Remy J.-C. Pages, Dylan J. Lukes, Drew H. Bailey, Greg J. Duncan

Comments: Remy J.-C. Pages and Dylan J. Lukes are co-equal first authors. Before collaborating, both individuals separately and contemporaneously worked on individual papers which substantially overlapped. After careful consideration all parties agreed to collaborate and produce a single unified paper. Online appendix included

Subjects: General Economics (econ.GN)

[18] arXiv:1903.02043 [pdf, other]

Title: Optimal Climate Strategy with Mitigation, Carbon Removal, and Solar Geoengineering

Mariia Belaia

Comments: 25 pages + Appendix

Subjects: General Economics (econ.GN)

[19] arXiv:1903.02228 [pdf, other]

Title: Learning the dynamics of technical trading strategies

Nicholas Murphy, Tim Gebbie

Comments: 35 pages, 7 figures

Journal-ref: Quantitative Finance (2021)

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

[20] arXiv:1903.02383 [pdf, other]

Title: Strict Local Martingales and the Khasminskii test for Explosions

Philip Protter, Aditi Dandapani

Subjects: Mathematical Finance (q-fin.MF)

[21] arXiv:1903.02833 [pdf, other]

Title: Asymptotics for volatility derivatives in multi-factor rough volatility models

Chloe Lacombe, Aitor Muguruza, Henry Stone

Comments: 28 pages, 9 figures

Subjects: Mathematical Finance (q-fin.MF)

[22] arXiv:1903.02924 [pdf, other]

Title: The Interdependence of Hierarchical Institutions: Federal Regulation, Job Creation, and the Moderating Effect of State Economic Freedom

David S. Lucas, Christopher J. Boudreaux

Comments: 46 pages. 1 Figure, 5 Tables

Subjects: General Economics (econ.GN)

[23] arXiv:1903.02934 [pdf, other]

Title: Entrepreneurship, Institutions, and Economic Growth: Does the Level of Development Matter?

Christopher J. Boudreaux

Comments: 30 pages, 5 tables, 3 figures

Subjects: General Economics (econ.GN)

[24] arXiv:1903.03201 [pdf, other]

Title: Quantitative evaluation of consecutive resilience cycles in stock market performance: A systems-oriented approach

Junqing Tang, Hans R. Heinimann

Comments: 27 pages, 9 figures, 2 tables

Subjects: General Finance (q-fin.GN)

[25] arXiv:1903.03202 [pdf, other]

Title: Nowcasting Recessions using the SVM Machine Learning Algorithm

Alexander James, Yaser S. Abu-Mostafa, Xiao Qiao

Comments: My company policy about sharing research papers has been changed. As a result, I would like to withdraw the paper, with the full understanding that previous version will remain accessible. Thank you very much

Subjects: General Finance (q-fin.GN); Machine Learning (cs.LG); General Economics (econ.GN); Applications (stat.AP); Machine Learning (stat.ML)

[26] arXiv:1903.03203 [pdf, other]

Title: Economic resilience from input-output susceptibility improves predictions of economic growth and recovery

Peter Klimek, Sebastian Poledna, Stefan Thurner

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

[27] arXiv:1903.03304 [pdf, other]

Title: Kernel Based Estimation of Spectral Risk Measures

Suparna Biswas, Rituparna Sen

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

[28] arXiv:1903.03407 [pdf, other]

Title: Uncovering networks amongst stocks returns by studying nonlinear interactions in high frequency data of the Indian Stock Market using mutual information

Charu Sharma, Amber Habib

Comments: 32 pages, 13 figures

Subjects: Statistical Finance (q-fin.ST)

[29] arXiv:1903.03721 [pdf, other]

Title: On occupation times in the red of L\'evy risk models

David Landriault, Bin Li, Mohamed Amine Lkabous

Subjects: Risk Management (q-fin.RM); Probability (math.PR)

[30] arXiv:1903.03925 [pdf, other]

Title: Heterogeneous Impact of the Minimum Wage: Implications for Changes in Between- and Within-group Inequality

Tatsushi Oka, Ken Yamada

Subjects: General Economics (econ.GN)

[31] arXiv:1903.03969 [pdf, other]

Title: Pro-Cyclicality of Traditional Risk Measurements: Quantifying and Highlighting Factors at its Source

Marcel Bräutigam, Michel Dacorogna, Marie Kratz

Comments: 49 pages, 9 figures, 15 tables. Changes to previous version: Restructured the introduction; added missing regression lines in Figures 5 and 7; added an appendix with further material

Subjects: Risk Management (q-fin.RM)

[32] arXiv:1903.04106 [pdf, other]

Title: Pricing Formulae of Power Binary and Normal Distribution Standard Options and Applications

Hyong-Chol O, Dae-Sung Choe

Comments: 24 pages

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

[33] arXiv:1903.04211 [pdf, other]

Title: Affine term structure models : a time-changed approach with perfect fit to market curves

Cheikh Mbaye, Frédéric Vrins

Comments: 44 pages, figures and tables

Subjects: Mathematical Finance (q-fin.MF)

[34] arXiv:1903.04305 [pdf, other]

Title: A fractional-order difference Cournot duopoly game with long memory

Baogui Xin, Wei Peng, Yekyung Kwon

Subjects: General Economics (econ.GN)

[35] arXiv:1903.04841 [pdf, other]

Title: Financial Applications of Gaussian Processes and Bayesian Optimization

Joan Gonzalvez, Edmond Lezmi, Thierry Roncalli, Jiali Xu

Comments: 42 pages, 20 figures

Subjects: Portfolio Management (q-fin.PM); Machine Learning (stat.ML)

[36] arXiv:1903.04954 [pdf, other]

Title: Frictional Unemployment on Labor Flow Networks

Robert L. Axtell, Omar A. Guerrero, Eduardo López

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

[37] arXiv:1903.05020 [pdf, other]

Title: Science Quality and the Value of Inventions

Felix Poege, Dietmar Harhoff, Fabian Gaessler, Stefano Baruffaldi

Comments: 44 pages

Subjects: General Economics (econ.GN); Digital Libraries (cs.DL)

[38] arXiv:1903.05189 [pdf, other]

Title: Variational inequality for perpetual American option price and convergence to the solution of the difference equation

Hyong-chol O, Song-San Jo

Comments: 23 pages

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

[39] arXiv:1903.05322 [pdf, other]

Title: Stylized facts of the Indian Stock Market

Rituparna Sen, Manavthi S

Journal-ref: 2019 Asia-Pacific Financial Markets, 26(4): 479-493

Subjects: Statistical Finance (q-fin.ST)

[40] arXiv:1903.05747 [pdf, other]

Title: The fractional and mixed-fractional CEV model

Axel A. Araneda

Comments: The final version of the paper, after the referee process

Journal-ref: Journal of computational and applied mathematics, 2019

Subjects: Mathematical Finance (q-fin.MF)

[41] arXiv:1903.05781 [pdf, other]

Title: A micro-simulation model of irrigation farms in the southern Murray-Darling Basin

Huong Dinh, Manannan Donoghoe, Neal Hughes, Tim Goesch

Comments: 44 pages, 18 figures, 18 tables

Subjects: General Economics (econ.GN)

[42] arXiv:1903.05990 [pdf, other]

Title: Modern tontine with bequest: innovation in pooled annuity products

Thomas Bernhardt, Catherine Donnelly

Comments: 40 pages, 23 pictures. Insurance: Mathematics and Economics(2019)

Journal-ref: Insurance: Mathematics and Economics 86 (2019) 168-188

Subjects: Portfolio Management (q-fin.PM)

[43] arXiv:1903.06033 [pdf, other]

Title: Altcoin-Bitcoin Arbitrage

Zura Kakushadze, Willie Yu

Comments: 26 pages; a few trivial typos corrected. arXiv admin note: substantial text overlap with arXiv:1811.07860

Journal-ref: Bulletin of Applied Economics 6(1) (2019) 87-110

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

[44] arXiv:1903.06042 [pdf, other]

Title: A lending scheme for a system of interconnected banks with probabilistic constraints of failure

Francesco Cordoni, Luca Di Persio, Luca Prezioso

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

[45] arXiv:1903.06334 [pdf, other]

Title: Machine Learning Risk Models

Zura Kakushadze, Willie Yu

Comments: 26 pages; a few trivial typos corrected

Journal-ref: Journal of Risk & Control 6(1) (2019) 37-64

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

[46] arXiv:1903.06346 [pdf, other]

Title: Optimal FX Hedge Tenor with Liquidity Risk

Rongju Zhang, Mark Aarons, Gregoire Loeper

Subjects: Risk Management (q-fin.RM)

[47] arXiv:1903.06478 [pdf, other]

Title: Multimodal Deep Learning for Finance: Integrating and Forecasting International Stock Markets

Sang Il Lee, Seong Joon Yoo

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

[48] arXiv:1903.06632 [pdf, other]

Title: Designing an Optimal Portfolio for Iran's Stock Market with Genetic Algorithm using Neural Network Prediction of Risk and Return Stocks

Masoud Fekri, Babak Barazandeh

Subjects: Portfolio Management (q-fin.PM)

[49] arXiv:1903.06912 [pdf, other]

Title: Semimartingale theory of monotone mean--variance portfolio allocation

Aleš Černý

Comments: (v4) updated bibliography

Journal-ref: Mathematical Finance 30(3), 1168-1178, 2020

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

[50] arXiv:1903.06928 [pdf, other]

Title: Active and Passive Portfolio Management with Latent Factors

Ali Al-Aradi, Sebastian Jaimungal

Subjects: Portfolio Management (q-fin.PM); Machine Learning (stat.ML)