Quantitative Finance

Authors and titles for February 2024

[1] arXiv:2402.00299 [pdf, html, other]

Title: Attention-based Dynamic Multilayer Graph Neural Networks for Loan Default Prediction

Sahab Zandi, Kamesh Korangi, María Óskarsdóttir, Christophe Mues, Cristián Bravo

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

[2] arXiv:2402.00445 [pdf, html, other]

Title: Option pricing for Barndorff-Nielsen and Shephard model by supervised deep learning

Takuji Arai, Yuto Imai

Subjects: Computational Finance (q-fin.CP)

[3] arXiv:2402.00515 [pdf, html, other]

Title: Developing A Multi-Agent and Self-Adaptive Framework with Deep Reinforcement Learning for Dynamic Portfolio Risk Management

Zhenglong Li, Vincent Tam, Kwan L. Yeung

Comments: In Proceedings of the 23rd International Conference on Autonomous Agents and Multiagent Systems

Subjects: Portfolio Management (q-fin.PM); Machine Learning (cs.LG)

[4] arXiv:2402.00543 [pdf, other]

Title: The extension of Pearson correlation coefficient, measuring noise, and selecting features

Reza Salimi, Kamran Pakizeh

Comments: 24 pages, 40 figures

Subjects: Mathematical Finance (q-fin.MF)

[5] arXiv:2402.00855 [pdf, other]

Title: 'Egalitarian pooling and sharing of longevity risk', a.k.a. 'The many ways to skin a tontine cat'

Jan L.M. Dhaene, Moshe A. Milevsky

Subjects: Risk Management (q-fin.RM)

[6] arXiv:2402.01141 [pdf, other]

Title: Income distribution in Thailand is scale-invariant

Thitithep Sitthiyot, Kanyarat Holasut

Comments: 9 pages, 2 figures, 3 tables

Journal-ref: PLoS ONE 18(7): e0288265, 2023

Subjects: General Economics (econ.GN); Applied Physics (physics.app-ph); Applications (stat.AP)

[7] arXiv:2402.01142 [pdf, other]

Title: A simple method for joint evaluation of skill in directional forecasts of multiple variables

Thitithep Sitthiyot, Kanyarat Holasut

Comments: 10 pages, 8 tables

Journal-ref: Heliyon 9: e19729, 2023

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

[8] arXiv:2402.01354 [pdf, html, other]

Title: Predicting the volatility of major energy commodity prices: the dynamic persistence model

Jozef Barunik, Lukas Vacha

Subjects: General Finance (q-fin.GN); Applications (stat.AP)

[9] arXiv:2402.01441 [pdf, html, other]

Title: Learning the Market: Sentiment-Based Ensemble Trading Agents

Andrew Ye, James Xu, Vidyut Veedgav, Yi Wang, Yifan Yu, Daniel Yan, Ryan Chen, Vipin Chaudhary, Shuai Xu

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

[10] arXiv:2402.01784 [pdf, other]

Title: GHG emissions in the EU-28. A multilevel club convergence study of the Emission Trading System and Effort Sharing Decision mechanisms

María José Presno, Manuel Landajo, Paula Fernández González

Comments: This manuscript is an early draft of Presno, M.J., Landajo, M., Fernández González, P. (2021): "GHG emissions in the EU-28. A multilevel club convergence study of the Emission Trading System and Effort Sharing Decision mechanisms," Sustainable Production and Consumption, Vol. 27, pp. 998-1009. The final version of the paper is available at the Journal's web page

Journal-ref: Sustainable Production and Consumption, 27, 998-1009 (2021)

Subjects: General Economics (econ.GN)

[11] arXiv:2402.01820 [pdf, html, other]

Title: Signature volatility models: pricing and hedging with Fourier

Eduardo Abi Jaber, Louis-Amand Gérard

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

[12] arXiv:2402.02402 [pdf, html, other]

Title: Machine Learning Analysis of the Impact of Increasing the Minimum Wage on Income Inequality in Spain from 2001 to 2021

Marcos Lacasa Cazcarra

Comments: 3 tables, 7 figures

Subjects: General Economics (econ.GN)

[13] arXiv:2402.02714 [pdf, html, other]

Title: Neural option pricing for rough Bergomi model

Changqing Teng, Guanglian Li

Subjects: Computational Finance (q-fin.CP)

[14] arXiv:2402.02745 [pdf, other]

Title: Optimal dynamic climate adaptation pathways: a case study of New York City

Chi Truong (Department of Actuarial Studies and Business Analytics, Macquarie Business School, Macquarie University), Matteo Malavasi (School of Risk and Actuarial Studies, UNSW Business School, UNSW), Han Li (Department of Economics, University of Melbourne), Stefan Trueck (Department of Actuarial Studies and Business Analytics, Macquarie Business School, Macquarie University), Pavel V. Shevchenko (Department of Actuarial Studies and Business Analytics, Macquarie Business School, Macquarie University)

Comments: 29 pages, 5 figures, and 4 tables

Subjects: Risk Management (q-fin.RM)

[15] arXiv:2402.03338 [pdf, html, other]

Title: CNN-DRL with Shuffled Features in Finance

Sina Montazeri, Akram Mirzaeinia, Amir Mirzaeinia

Comments: 10th Annual Conf. on Computational Science & Computational Intelligence (CSCI'23). arXiv admin note: substantial text overlap with arXiv:2401.06179

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

[16] arXiv:2402.03353 [pdf, other]

Title: Tweet Influence on Market Trends: Analyzing the Impact of Social Media Sentiment on Biotech Stocks

C. Sarai R. Avila

Comments: This submission includes 51 pages and 24 figures

Subjects: Statistical Finance (q-fin.ST); Machine Learning (cs.LG); Functional Analysis (math.FA); Numerical Analysis (math.NA)

[17] arXiv:2402.03411 [pdf, html, other]

Title: Bride Kidnapping and Informal Governance Institutions

Zachary Porreca

Subjects: General Economics (econ.GN)

[18] arXiv:2402.03800 [pdf, other]

Title: Effects of carbon pricing and other climate policies on CO2 emissions

Emanuel Kohlscheen, Richhild Moessner, Elod Takats

Subjects: General Economics (econ.GN)

[19] arXiv:2402.03806 [pdf, other]

Title: Explainable Automated Machine Learning for Credit Decisions: Enhancing Human Artificial Intelligence Collaboration in Financial Engineering

Marc Schmitt

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

[20] arXiv:2402.03953 [pdf, html, other]

Title: Exploring the Impact: How Decentralized Exchange Designs Shape Traders' Behavior on Perpetual Future Contracts

Erdong Chen, Mengzhong Ma, Zixin Nie

Subjects: Trading and Market Microstructure (q-fin.TR); Pricing of Securities (q-fin.PR)

[21] arXiv:2402.04429 [pdf, html, other]

Title: Meritocracy and Its Discontents: Long-run Effects of Repeated School Admission Reforms

Chiaki Moriguchi, Yusuke Narita, Mari Tanaka

Comments: Keywords: Elite Education, Market Design, Strategic Behavior, Regional Mobility, Universal Access, Persistent Effects

Subjects: General Economics (econ.GN)

[22] arXiv:2402.04472 [pdf, html, other]

Title: Healthcare Quality by Specialists under a Mixed Compensation System: an Empirical Analysis

Damien Echevin, Bernard Fortin, Aristide Houndetoungan

Subjects: General Economics (econ.GN)

[23] arXiv:2402.04474 [pdf, html, other]

Title: The Role of Child Gender in the Formation of Parents' Social Networks

Aristide Houndetoungan, Asad Islam, Michael Vlassopoulos, Yves Zenou

Subjects: General Economics (econ.GN)

[24] arXiv:2402.04662 [pdf, other]

Title: Token vs Equity for Startup Financing

Guangye Cao

Comments: 11 pages, 1 figure

Subjects: General Finance (q-fin.GN)

[25] arXiv:2402.04765 [pdf, html, other]

Title: Measuring the performance of investments in information security startups: An empirical analysis by cybersecurity sectors using Crunchbase data

Loïc Maréchal, Alain Mermoud, Dimitri Percia David, Mathias Humbert

Comments: This document results from a research project funded by the Cyber-Defence Campus, armasuisse Science and Technology. We appreciate helpful comments from seminar participants at the Cyber Alp Retreat 2022 and WEIS 2023

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

[26] arXiv:2402.04773 [pdf, other]

Title: Prioritizing Investments in Cybersecurity: Empirical Evidence from an Event Study on the Determinants of Cyberattack Costs

Daniel Celeny, Loïc Maréchal, Evgueni Rousselot, Alain Mermoud, Mathias Humbert

Comments: This document results from a research project funded by the Cyber-Defence Campus, armasuisse Science and Technology. Our code will be available at this https URL. Corresponding author: Daniel Celeny e-mail: this http URL@alumni.this http URL, Cyber-Defence Campus, Innovation Park, EPFL, 1015 Lausanne

Subjects: General Finance (q-fin.GN)

[27] arXiv:2402.04775 [pdf, html, other]

Title: Cyber risk and the cross-section of stock returns

Daniel Celeny, Loïc Maréchal

Comments: This document results from a research project funded by the Cyber-Defence Campus, armasuisse Science and Technology. We appreciate helpful comments from seminar participants at the Cyber Alp Retreat 2023. We also thank Pierre Collin-Dufresne and Michel Dubois for their invaluable comments

Subjects: Portfolio Management (q-fin.PM)

[28] arXiv:2402.05113 [pdf, html, other]

Title: Portfolio Time Consistency and Utility Weighted Discount Rates

Oumar Mbodji, Traian A. Pirvu

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

[29] arXiv:2402.05152 [pdf, other]

Title: Is the price right? Reconceptualizing price and income elasticity to anticipate price perception issues

Shawn Berry

Comments: 12 pages, 2 figures, 6 tables

Subjects: General Economics (econ.GN)

[30] arXiv:2402.05272 [pdf, html, other]

Title: Downside Risk Reduction Using Regime-Switching Signals: A Statistical Jump Model Approach

Yizhan Shu, Chenyu Yu, John M. Mulvey

Comments: 22 pages, 6 figures. Final article

Subjects: Portfolio Management (q-fin.PM); Statistical Finance (q-fin.ST)

[31] arXiv:2402.05364 [pdf, html, other]

Title: Coarse graining correlation matrices according to macrostructures: Financial markets as a paradigm

M. Mijaíl Martínez-Ramos, Parisa Majari, Andres R. Cruz-Hernández, Hirdesh K. Pharasi, Manan Vyas

Comments: 15 pages, 16 figures, version as accepted for publication in Physica Scripta (2024)

Subjects: Statistical Finance (q-fin.ST); Data Analysis, Statistics and Probability (physics.data-an); Applications (stat.AP)

[32] arXiv:2402.05679 [pdf, other]

Title: Heterogeneous drivers of overnight and same-day visits

Francesco Scotti, Andrea Flori, Piercesare Secchi, Marika Arena, Giovanni Azzone

Subjects: General Economics (econ.GN)

[33] arXiv:2402.05729 [pdf, other]

Title: Monetary Policy and the Gendered Labor Market Dynamics: Evidence from Developing Economies

Marjan Petreski, Stefan Tanevski, Alejandro D. Jacobo

Subjects: General Economics (econ.GN)

[34] arXiv:2402.06032 [pdf, html, other]

Title: Navigating Market Turbulence: Insights from Causal Network Contagion Value at Risk

Katerina Rigana, Ernst C. Wit, Samantha Cook

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

[35] arXiv:2402.06594 [pdf, html, other]

Title: They were robbed! Scoring by the middlemost to attenuate biased judging in boxing

Stuart Baumann, Carl Singleton

Comments: We are grateful for comments and advice from Anwesha Mukherjee

Subjects: General Economics (econ.GN)

[36] arXiv:2402.06633 [pdf, html, other]

Title: MDGNN: Multi-Relational Dynamic Graph Neural Network for Comprehensive and Dynamic Stock Investment Prediction

Hao Qian, Hongting Zhou, Qian Zhao, Hao Chen, Hongxiang Yao, Jingwei Wang, Ziqi Liu, Fei Yu, Zhiqiang Zhang, Jun Zhou

Comments: 9 pages, 3 figures, accepted by AAAI 2024

Subjects: Statistical Finance (q-fin.ST); Information Retrieval (cs.IR); Machine Learning (cs.LG)

[37] arXiv:2402.06635 [pdf, html, other]

Title: Large (and Deep) Factor Models

Bryan Kelly, Boris Kuznetsov, Semyon Malamud, Teng Andrea Xu

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

[38] arXiv:2402.06638 [pdf, html, other]

Title: Transformers with Attentive Federated Aggregation for Time Series Stock Forecasting

Chu Myaet Thwal, Ye Lin Tun, Kitae Kim, Seong-Bae Park, Choong Seon Hong

Comments: Published in IEEE ICOIN 2023

Subjects: Statistical Finance (q-fin.ST); Artificial Intelligence (cs.AI); Distributed, Parallel, and Cluster Computing (cs.DC); Machine Learning (cs.LG)

[39] arXiv:2402.06642 [pdf, html, other]

Title: From GARCH to Neural Network for Volatility Forecast

Pengfei Zhao, Haoren Zhu, Wilfred Siu Hung NG, Dik Lun Lee

Comments: Accepted by AAAI'24

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

[40] arXiv:2402.06656 [pdf, html, other]

Title: DiffsFormer: A Diffusion Transformer on Stock Factor Augmentation

Yuan Gao, Haokun Chen, Xiang Wang, Zhicai Wang, Xue Wang, Jinyang Gao, Bolin Ding

Subjects: Statistical Finance (q-fin.ST); Artificial Intelligence (cs.AI); Machine Learning (cs.LG)

[41] arXiv:2402.06689 [pdf, html, other]

Title: A Study on Stock Forecasting Using Deep Learning and Statistical Models

Himanshu Gupta, Aditya Jaiswal

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

[42] arXiv:2402.06698 [pdf, html, other]

Title: FNSPID: A Comprehensive Financial News Dataset in Time Series

Zihan Dong, Xinyu Fan, Zhiyuan Peng

Subjects: Statistical Finance (q-fin.ST)

[43] arXiv:2402.06731 [pdf, html, other]

Title: Closed-form solutions for generic N-token AMM arbitrage

Matthew Willetts, Christian Harrington

Comments: 6 pages plus appendix

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

[44] arXiv:2402.06758 [pdf, html, other]

Title: Measuring the Dunkelflaute: How (not) to analyze variable renewable energy shortage

Martin Kittel, Wolf-Peter Schill

Journal-ref: Environmental Research: Energy, Volume 1, Number 3, 2024

Subjects: General Economics (econ.GN)

[45] arXiv:2402.06840 [pdf, html, other]

Title: A monotone piecewise constant control integration approach for the two-factor uncertain volatility model

Duy-Minh Dang, Hao Zhou

Comments: 31 pages, 2 figures

Subjects: Computational Finance (q-fin.CP)

[46] arXiv:2402.07080 [pdf, html, other]

Title: RiskMiner: Discovering Formulaic Alphas via Risk Seeking Monte Carlo Tree Search

Tao Ren, Ruihan Zhou, Jinyang Jiang, Jiafeng Liang, Qinghao Wang, Yijie Peng

Subjects: Computational Finance (q-fin.CP)

[47] arXiv:2402.07124 [pdf, other]

Title: Econometric analysis to estimate the impact of holidays on airfares

Helena Povoa, Alessandro V. M. Oliveira

Journal-ref: Journal of Transport Literature, 7, 284-296, 2013

Subjects: General Economics (econ.GN)

[48] arXiv:2402.07125 [pdf, other]

Title: Intermodal competition in the Brazilian interstate travel market

Frederico A. Turolla, Moises D. Vassallo, Alessandro V. M. Oliveira

Journal-ref: Revista de Analisis Economico, vol. 23, n. 1, pp. 21-33, June 2008

Subjects: General Economics (econ.GN)

[49] arXiv:2402.07134 [pdf, other]

Title: Tail risk forecasting with semi-parametric regression models by incorporating overnight information

Cathy W.S. Chen, Takaaki Koike, Wei-Hsuan Shau

Subjects: Risk Management (q-fin.RM); Applications (stat.AP)

[50] arXiv:2402.07170 [pdf, other]

Title: Research on the multi-stage impact of digital economy on rural revitalization in Hainan Province based on GPM model

Wenbo Lyu

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