Quantitative Finance

Authors and titles for January 2024

[101] arXiv:2401.08606 [pdf, html, other]

Title: Forking paths in financial economics

Guillaume Coqueret

Subjects: General Finance (q-fin.GN); Methodology (stat.ME)

[102] arXiv:2401.08610 [pdf, html, other]

Title: Leverage Staking with Liquid Staking Derivatives (LSDs): Opportunities and Risks

Xihan Xiong, Zhipeng Wang, Xi Chen, William Knottenbelt, Michael Huth

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

[103] arXiv:2401.08645 [pdf, other]

Title: Automated Design Appraisal: Estimating Real Estate Price Growth and Value at Risk due to Local Development

Adam R. Swietek

Comments: 18 pages, 7 figures

Subjects: General Economics (econ.GN)

[104] arXiv:2401.08892 [pdf, html, other]

Title: Spurious Default Probability Projections in Credit Risk Stress Testing Models

Bernd Engelmann

Comments: 15 pages, 4 figures

Subjects: Risk Management (q-fin.RM)

[105] arXiv:2401.09054 [pdf, html, other]

Title: On conditioning and consistency for nonlinear functionals

Edoardo Berton, Alessandro Doldi, Marco Maggis

Subjects: Mathematical Finance (q-fin.MF); Theoretical Economics (econ.TH)

[106] arXiv:2401.09056 [pdf, html, other]

Title: AI Thrust: Ranking Emerging Powers for Tech Startup Investment in Latin America

Abraham Ramos Torres, Laura N Montoya

Comments: 9 pages, 4 tables, 9 figures

Subjects: General Economics (econ.GN); Risk Management (q-fin.RM)

[107] arXiv:2401.09174 [pdf, other]

Title: Airline delays, congestion internalization and non-price spillover effects of low cost carrier entry

William E. Bendinelli, Humberto F. A. J. Bettini, Alessandro V. M. Oliveira

Journal-ref: Transportation Research Part A: Policy and Practice, 85, 39-52 (2016)

Subjects: General Economics (econ.GN)

[108] arXiv:2401.09233 [pdf, html, other]

Title: A closer look at the chemical potential of an ideal agent system

Christoph J. Börner, Ingo Hoffmann, John H. Stiebel

Comments: 11 Pages, 0 Figures, Working Paper, Theoretical Contribution

Subjects: Statistical Finance (q-fin.ST)

[109] arXiv:2401.09265 [pdf, other]

Title: Equity Premium in Efficient Markets

B.N. Kausik

Subjects: General Economics (econ.GN)

[110] arXiv:2401.09361 [pdf, html, other]

Title: Neural Hawkes: Non-Parametric Estimation in High Dimension and Causality Analysis in Cryptocurrency Markets

Timothée Fabre, Ioane Muni Toke

Comments: Updated with numerical examples on high-dimensional and multimodal kernels as well as and extended empirical results

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

[111] arXiv:2401.09718 [pdf, other]

Title: AI and the Opportunity for Shared Prosperity: Lessons from the History of Technology and the Economy

Guy Ben-Ishai, Jeff Dean, James Manyika, Ruth Porat, Hal Varian, Kent Walker

Comments: 37 pages

Subjects: General Economics (econ.GN)

[112] arXiv:2401.09778 [pdf, html, other]

Title: Cross-Domain Behavioral Credit Modeling: transferability from private to central data

O. Didkovskyi, N. Jean, G. Le Pera, C. Nordio

Comments: 25 pages, 15 figures

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

[113] arXiv:2401.09811 [pdf, other]

Title: A Framework for Digital Currencies for Financial Inclusion in Latin America and the Caribbean

Gabriel Bizama, Alexander Wu, Bernardo Paniagua, Max Mitre

Comments: 32 pages, 7 figures, 3 tables and 3 boxes

Subjects: General Economics (econ.GN)

[114] arXiv:2401.09955 [pdf, html, other]

Title: Consistent asset modelling with random coefficients and switches between regimes

Felix L. Wolf, Griselda Deelstra, Lech A. Grzelak

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

[115] arXiv:2401.10162 [pdf, html, other]

Title: An Exploration to the Correlation Structure and Clustering of Macroeconomic Variables

Garvit Arora, Shubhangi Tiwari, Ying Wu, Xuan Mei

Subjects: Risk Management (q-fin.RM)

[116] arXiv:2401.10181 [pdf, html, other]

Title: Equilibrium Multiplicity: A Systematic Approach using Homotopies, with an Application to Chicago

Amine C-L. Ouazad

Subjects: General Economics (econ.GN)

[117] arXiv:2401.10238 [pdf, html, other]

Title: Interplay between Cryptocurrency Transactions and Online Financial Forums

Ana Fernández Vilas, Rebeca P. Díaz Redondo, Daniel Couto Cancela, Alejandro Torrado Pazos

Journal-ref: Mathematics 2021, 9(4), 411;

Subjects: General Finance (q-fin.GN); Computers and Society (cs.CY); Machine Learning (cs.LG)

[118] arXiv:2401.10255 [pdf, html, other]

Title: Nowcasting Madagascar's real GDP using machine learning algorithms

Franck Ramaharo, Gerzhino Rasolofomanana

Comments: 13 pages, 6 figures, 5 tables

Subjects: General Economics (econ.GN); Machine Learning (cs.LG)

[119] arXiv:2401.10261 [pdf, other]

Title: How industrial clusters influence the growth of the regional GDP: A spatial-approach

Vahidin Jeleskovic, Steffen Loeber

Subjects: General Economics (econ.GN); Econometrics (econ.EM)

[120] arXiv:2401.10370 [pdf, html, other]

Title: Deep Generative Modeling for Financial Time Series with Application in VaR: A Comparative Review

Lars Ericson, Xuejun Zhu, Xusi Han, Rao Fu, Shuang Li, Steve Guo, Ping Hu

Subjects: Computational Finance (q-fin.CP); Machine Learning (cs.LG); Risk Management (q-fin.RM); Statistical Finance (q-fin.ST)

[121] arXiv:2401.10473 [pdf, other]

Title: Dynamic Programming: Finite States

Thomas J. Sargent, John Stachurski

Subjects: General Economics (econ.GN); Optimization and Control (math.OC)

[122] arXiv:2401.10722 [pdf, html, other]

Title: Stylized Facts and Market Microstructure: An In-Depth Exploration of German Bond Futures Market

Hamza Bodor, Laurent Carlier

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

[123] arXiv:2401.10872 [pdf, html, other]

Title: An Experimental Study of Decentralized Matching

Federico Echenique, Alejandro Robinson-Cortés, Leeat Yariv

Subjects: General Economics (econ.GN)

[124] arXiv:2401.10903 [pdf, html, other]

Title: Application of Machine Learning in Stock Market Forecasting: A Case Study of Disney Stock

Dengxin Huang

Comments: 9 pages, 7 figures

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

[125] arXiv:2401.10931 [pdf, html, other]

Title: Forecasting Cryptocurrency Staking Rewards

Sauren Gupta, Apoorva Hathi Katharaki, Yifan Xu, Bhaskar Krishnamachari, Rajarshi Gupta

Comments: 9 pages, 18 figures

Subjects: Statistical Finance (q-fin.ST); Cryptography and Security (cs.CR); Machine Learning (cs.LG)

[126] arXiv:2401.11011 [pdf, other]

Title: BioFinBERT: Finetuning Large Language Models (LLMs) to Analyze Sentiment of Press Releases and Financial Text Around Inflection Points of Biotech Stocks

Valentina Aparicio, Daniel Gordon, Sebastian G. Huayamares, Yuhuai Luo

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

[127] arXiv:2401.11100 [pdf, other]

Title: Long-term Effects of India's Childhood Immunization Program on Earnings and Consumption Expenditure: Comment

David Roodman

Subjects: General Economics (econ.GN)

[128] arXiv:2401.11158 [pdf, html, other]

Title: Data-driven Option Pricing

Min Dai, Hanqing Jin, Xi Yang

Comments: 15 pages, 3 figures

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

[129] arXiv:2401.11343 [pdf, other]

Title: An income-based approach to modeling commuting distance in the Toronto area

Shawn Berry

Comments: pp.1-40, 8 tables, 5 figures

Journal-ref: Research in Transportation Business & Management, Volume 43, June 2022, 100720

Subjects: General Economics (econ.GN)

[130] arXiv:2401.11345 [pdf, other]

Title: Fake Google restaurant reviews and the implications for consumers and restaurants

Shawn Berry

Comments: pp.1-158, 41 tables, 11 figures. Doctor of Business Administration Dissertation

Subjects: General Economics (econ.GN)

[131] arXiv:2401.11585 [pdf, other]

Title: Analyzing the Impact of Financial Inclusion on Economic Growth in Bangladesh

Ganapati Kumar Biswas

Subjects: General Economics (econ.GN)

[132] arXiv:2401.11619 [pdf, html, other]

Title: The geometry of multi-curve interest rate models

Claudio Fontana, Giacomo Lanaro, Agatha Murgoci

Comments: revised version, 29 pages, 2 figures

Subjects: Mathematical Finance (q-fin.MF)

[133] arXiv:2401.11621 [pdf, other]

Title: A Novel Decision Ensemble Framework: Customized Attention-BiLSTM and XGBoost for Speculative Stock Price Forecasting

Riaz Ud Din, Salman Ahmed, Saddam Hussain Khan

Comments: 30 pages, 16 Figures, 4 Tables

Subjects: Statistical Finance (q-fin.ST); Computational Engineering, Finance, and Science (cs.CE); Machine Learning (cs.LG)

[134] arXiv:2401.11701 [pdf, html, other]

Title: Forecasting and Backtesting Gradient Allocations of Expected Shortfall

Takaaki Koike, Cathy W.S. Chen, Edward M.H. Lin

Subjects: Risk Management (q-fin.RM)

[135] arXiv:2401.12064 [pdf, other]

Title: Market Responses to Genuine Versus Strategic Generosity: An Empirical Examination of NFT Charity Fundraisers

Chen Liang, Murat Tunc, Gordon Burtch

Subjects: General Economics (econ.GN); Computers and Society (cs.CY); Human-Computer Interaction (cs.HC)

[136] arXiv:2401.12100 [pdf, other]

Title: Metrics matter, a Formal comment on Ward et al Plos-One 2016 paper : Is decoupling GDP growth from environmental impact possible?

Hervé Bercegol, Paul E. Brockway

Comments: 6 pages, 4 figures

Subjects: General Economics (econ.GN)

[137] arXiv:2401.12118 [pdf, other]

Title: Measures of the Capital Network of the U.S. Economy

Ben Klemens

Comments: 18 pages. JEL classifications: L14; C81; M42; G34

Subjects: General Economics (econ.GN)

[138] arXiv:2401.12274 [pdf, other]

Title: Are Charter Value and Supervision Aligned? A Segmentation Analysis

Juan Aparicio, Miguel A. Duran, Ana Lozano-Vivas, Jesus T. Pastor

Comments: 46 pages, 4 tables, 5 figures, accepted version of a paper published in the Journal of Financial Stability

Journal-ref: Journal of Financial Stability 37 (2018) 60-73

Subjects: Risk Management (q-fin.RM); General Economics (econ.GN)

[139] arXiv:2401.12301 [pdf, other]

Title: Pricing and Usage: An Empirical Analysis of Lines of Credit

Miguel A. Duran

Comments: 32 pages, 7 tables, accepted version of a paper published in the Journal of International Financial Markets, Institutions and Money

Journal-ref: Journal of International Financial Markets, Institutions and Money 50 (2017) 219-234

Subjects: General Economics (econ.GN)

[140] arXiv:2401.12315 [pdf, other]

Title: The Risk-Return Relation in the Corporate Loan Market

Miguel A. Duran

Comments: 56 pages, 3 figurees, 7 tables, accepted version of a paper published in the North American Journal of Economics and Finance

Journal-ref: North American Journal of Economics and Finance 60 (2020) 1-24

Subjects: General Economics (econ.GN)

[141] arXiv:2401.12323 [pdf, other]

Title: Bank Business Models, Size, and Profitability

F. Bolivar, M. A. Duran, A. Lozano-Vivas

Comments: 14 pages, 1 figure, 3 tables, accepted version of an article published in Finance Research Letters

Journal-ref: Finance Research Letters 53 (2023)

Subjects: General Economics (econ.GN)

[142] arXiv:2401.12334 [pdf, other]

Title: Business Model Contributions to Bank Profit Performance: A Machine Learning Approach

F. Bolivar, Miguel A. Duran, A. Lozano-Vivas

Comments: 46 pages, 10 tables, 3 figures, submitted version of a paper published in Research in International Business and Finance

Journal-ref: Research in International Business and Finance 64 (2023)

Subjects: General Economics (econ.GN)

[143] arXiv:2401.12669 [pdf, html, other]

Title: New approximate stochastic dominance approaches for Enhanced Indexation models

Francesco Cesarone, Justo Puerto

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

[144] arXiv:2401.12773 [pdf, html, other]

Title: Generative AI Triggers Welfare-Reducing Decisions in Humans

Fabian Dvorak, Regina Stumpf, Sebastian Fehrler, Urs Fischbacher

Comments: 19 pages, 2 figures

Subjects: General Economics (econ.GN)

[145] arXiv:2401.12856 [pdf, html, other]

Title: Reference-dependent asset pricing with a stochastic consumption-dividend ratio

Luca De Gennaro Aquino, Xuedong He, Moris Simon Strub, Yuting Yang

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

[146] arXiv:2401.13126 [pdf, html, other]

Title: Optimizing Transition Strategies for Small to Medium Sized Portfolios

Nakul Upadhya, Alexandre Granzer-Guay

Comments: All of the discussed experiments and presented results can be reproduced using our code at this https URL

Subjects: Computational Finance (q-fin.CP)

[147] arXiv:2401.13159 [pdf, other]

Title: Environmental impacts, nutritional profiles, and retail prices of commonly sold retail food items in 181 countries: an observational study

Elena M. Martinez, Nicole Tichenor Blackstone, Parke E. Wilde, Anna W. Herforth, William A. Masters

Subjects: General Economics (econ.GN)

[148] arXiv:2401.13314 [pdf, html, other]

Title: An Explicit Scheme for Pathwise XVA Computations

Lokman Abbas-Turki (LPSM), Stéphane Crépey (LPSM), Botao Li (LPSM), Bouazza Saadeddine (LPSM, LaMME)

Subjects: Risk Management (q-fin.RM); Numerical Analysis (math.NA); Computational Finance (q-fin.CP); Machine Learning (stat.ML)

[149] arXiv:2401.13399 [pdf, html, other]

Title: Real-time Risk Metrics for Programmatic Stablecoin Crypto Asset-Liability Management (CALM)

Marcel Bluhm (1), Adrian Cachinero Vasiljević (2), Sébastien Derivaux (2), Søren Terp Hørlück Jessen (3) ((1) The Block, (2) Steakhouse Financial Limited, (3) Balloonist ApS)

Comments: The authors would like to thank Professor Moorad Choudhry for review comments on an earlier draft. Submitted for the SNB-CIF Conference on Cryptoassets and Financial Innovation, 24 May 2024

Subjects: Risk Management (q-fin.RM); Cryptography and Security (cs.CR); General Finance (q-fin.GN)

[150] arXiv:2401.13670 [pdf, other]

Title: "The Roller Conduction Effect" from the A-share Data Evidence

Wenbo Lyu

Comments: 11 pages

Subjects: General Economics (econ.GN)