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Quantitative Finance

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Total of 66 entries : 34-66 51-66
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Fri, 22 Nov 2024 (continued, showing last 9 of 22 entries )

[34] arXiv:2411.13586 [pdf, html, other]
Title: Advance Detection Of Bull And Bear Phases In Cryptocurrency Markets
Rahul Arulkumaran, Suyash Kumar, Shikha Tomar, Manideep Gongalla, Harshitha
Subjects: Statistical Finance (q-fin.ST); Artificial Intelligence (cs.AI)
[35] arXiv:2411.13579 [pdf, other]
Title: Optimal portfolio under ratio-type periodic evaluation in stochastic factor models under convex trading constraints
Wenyuan Wang, Kaixin Yan, Xiang Yu
Comments: Keywords: Periodic evaluation, relative portfolio performance, incomplete market, stochastic factor model, convex trading constraints, convex duality approach. This manuscript combines two previous preprints arXiv:2311.12517 and arXiv:2401.14672 into one paper with more general and improved results
Subjects: Mathematical Finance (q-fin.MF); Optimization and Control (math.OC); Portfolio Management (q-fin.PM)
[36] arXiv:2411.13576 [pdf, other]
Title: The Role of Central Banks in Advancing Sustainable Finance
A T M Omor Faruq, Md Toufiqul Huq
Subjects: General Finance (q-fin.GN); General Economics (econ.GN)
[37] arXiv:2411.13565 [pdf, html, other]
Title: Intergenerational cross-subsidies in UK collective defined contribution (CDC) funds
John Armstrong, James Dalby, Catherine Donnelly
Subjects: General Finance (q-fin.GN)
[38] arXiv:2411.13564 [pdf, html, other]
Title: A Random Forest approach to detect and identify Unlawful Insider Trading
Krishna Neupane, Igor Griva
Subjects: Statistical Finance (q-fin.ST); Machine Learning (cs.LG); Risk Management (q-fin.RM); Trading and Market Microstructure (q-fin.TR)
[39] arXiv:2411.13562 [pdf, other]
Title: The Role of AI in Financial Forecasting: ChatGPT's Potential and Challenges
Shuochen Bi, Tingting Deng, Jue Xiao
Comments: 7 pages, 4 figures, 3 tables
Subjects: Statistical Finance (q-fin.ST); Artificial Intelligence (cs.AI); Computers and Society (cs.CY)
[40] arXiv:2411.13559 [pdf, other]
Title: Composing Ensembles of Instrument-Model Pairs for Optimizing Profitability in Algorithmic Trading
Sahand Hassanizorgabad
Subjects: Trading and Market Microstructure (q-fin.TR); Artificial Intelligence (cs.AI); Machine Learning (cs.LG)
[41] arXiv:2411.13558 [pdf, html, other]
Title: Finding the nonnegative minimal solutions of Cauchy PDEs in a volatility-stabilized market
Nicole Tianjiao Yang, Tomoyuki Ichiba
Subjects: Computational Finance (q-fin.CP); Probability (math.PR); Mathematical Finance (q-fin.MF)
[42] arXiv:2411.13555 [pdf, html, other]
Title: Deep Learning in Long-Short Stock Portfolio Allocation: An Empirical Study
Junjie Guo
Subjects: Statistical Finance (q-fin.ST)

Thu, 21 Nov 2024 (showing 11 of 11 entries )

[43] arXiv:2411.13516 [pdf, other]
Title: Trade, Trees, and Lives
Xinming Du, Lei Li, Eric Zou
Comments: 54 pages
Subjects: General Economics (econ.GN)
[44] arXiv:2411.13427 [pdf, other]
Title: Price Setting Rules, Rounding Tax, and Inattention Penalty
Doron Sayag, Avichai Snir, Daniel Levy
Comments: The file contains the paper and the appendix
Subjects: General Economics (econ.GN)
[45] arXiv:2411.13384 [pdf, html, other]
Title: Comparisons of multivariate contribution measures of risk contagion and their applications in cryptocurrency market
Limin Wen, Junxue Li, Tong Pu, Yiying Zhang
Subjects: Risk Management (q-fin.RM)
[46] arXiv:2411.13381 [pdf, html, other]
Title: Simulating Liquidity: Agent-Based Modeling of Illiquid Markets for Fractional Ownership
Lars Fluri, A. Ege Yilmaz, Denis Bieri, Thomas Ankenbrand, Aurelio Perucca
Comments: Please note that there is a supplementary document titled "Supplementary Material for 'Simulating Liquidity: Agent-Based Modeling of Illiquid Markets for Fractional Ownership'," which provides additional summary metrics from the sensitivity analysis
Subjects: Trading and Market Microstructure (q-fin.TR); General Economics (econ.GN)
[47] arXiv:2411.13180 [pdf, other]
Title: Investor Sentiment in Asset Pricing Models: A Review of Empirical Evidence
Szymon Lis
Subjects: Portfolio Management (q-fin.PM)
[48] arXiv:2411.12845 [pdf, html, other]
Title: Underlying Core Inflation with Multiple Regimes
Gabriel Rodriguez-Rondon
Subjects: General Economics (econ.GN); Applications (stat.AP); Methodology (stat.ME)
[49] arXiv:2411.12753 [pdf, html, other]
Title: Supervised Autoencoders with Fractionally Differentiated Features and Triple Barrier Labelling Enhance Predictions on Noisy Data
Bartosz Bieganowski, Robert Ślepaczuk
Comments: arXiv admin note: substantial text overlap with arXiv:2404.01866
Subjects: Trading and Market Microstructure (q-fin.TR); Machine Learning (cs.LG); Computation (stat.CO); Machine Learning (stat.ML)
[50] arXiv:2411.12748 [pdf, html, other]
Title: FinBERT-BiLSTM: A Deep Learning Model for Predicting Volatile Cryptocurrency Market Prices Using Market Sentiment Dynamics
Mabsur Fatin Bin Hossain, Lubna Zahan Lamia, Md Mahmudur Rahman, Md Mosaddek Khan
Subjects: Trading and Market Microstructure (q-fin.TR); Machine Learning (cs.LG)
[51] arXiv:2411.12747 [pdf, html, other]
Title: A Survey of Financial AI: Architectures, Advances and Open Challenges
Junhua Liu
Comments: Full list of papers and summary slides are available at: this https URL
Subjects: Trading and Market Microstructure (q-fin.TR); Artificial Intelligence (cs.AI); Computational Engineering, Finance, and Science (cs.CE); Machine Learning (cs.LG)
[52] arXiv:2411.12746 [pdf, html, other]
Title: A Review of Reinforcement Learning in Financial Applications
Yahui Bai, Yuhe Gao, Runzhe Wan, Sheng Zhang, Rui Song
Subjects: Computational Finance (q-fin.CP); Artificial Intelligence (cs.AI); Machine Learning (cs.LG)
[53] arXiv:2411.13403 (cross-list from math.PR) [pdf, html, other]
Title: Path weighting sensitivities
Liu Xuan, Gauthier Michel
Subjects: Probability (math.PR); Statistical Finance (q-fin.ST)

Wed, 20 Nov 2024 (showing 13 of 13 entries )

[54] arXiv:2411.12655 [pdf, other]
Title: The Distributional Effects of Economic Uncertainty
Florian Huber, Massimiliano Marcellino, Tommaso Tornese
Subjects: General Economics (econ.GN)
[55] arXiv:2411.12543 [pdf, other]
Title: Germany's Tax Revenue and its Total Administrative Cost
Christopher Mantzaris, Ajda Fošner
Journal-ref: Originally published in an earlier version in the peer-reviewed Journal of Multidisciplinary Research, ISSN: 1947-2900(p), 1947-2919(e) in 2024-09 (Vol 16 No 1), found at t1p.de/nweix
Subjects: General Economics (econ.GN); Statistical Finance (q-fin.ST); Applications (stat.AP)
[56] arXiv:2411.12509 [pdf, html, other]
Title: During and after COVID-19: What happened to the home advantage in Germany's first football division?
Thorsten Schank, Vivien Voigt, Christian Orthey
Comments: 20 pages
Subjects: General Economics (econ.GN); Physics and Society (physics.soc-ph)
[57] arXiv:2411.12412 [pdf, html, other]
Title: Procompetitive effects of vertical takeovers. Evidence from the European Union
Chiara Bellucci, Armando Rungi
Subjects: General Economics (econ.GN)
[58] arXiv:2411.12375 [pdf, html, other]
Title: Risk-Neutral Pricing Model of Uniswap Liquidity Providing Position: A Stopping Time Approach
Liang Hou, Hao Yu, Guosong Xu
Comments: 6 pages, 6 figures
Subjects: Pricing of Securities (q-fin.PR); Mathematical Finance (q-fin.MF)
[59] arXiv:2411.12323 [pdf, html, other]
Title: Mirror Descent Algorithms for Risk Budgeting Portfolios
Martin Arnaiz Iglesias (UP1 UFR27), Adil Rengim Cetingoz (UP1 UFR27), Noufel Frikha (UP1 UFR27)
Subjects: Portfolio Management (q-fin.PM); Probability (math.PR); Risk Management (q-fin.RM)
[60] arXiv:2411.12110 [pdf, other]
Title: Impacto Redistributivo da Reforma da Tributacao do Consumo no Brasil: Simulacoes Baseadas no PLP68/2004
Rozane Bezerra de Siqueira, Jose Ricardo Bezerra Nogueira, Carlos Feitosa Luna
Comments: in Portuguese language
Subjects: General Economics (econ.GN)
[61] arXiv:2411.12013 [pdf, html, other]
Title: Pricing Weather Derivatives: A Time Series Neural Network Approach
Marco Hening-Tallarico, Pablo Olivares
Subjects: Mathematical Finance (q-fin.MF); Machine Learning (cs.LG); Statistical Finance (q-fin.ST); Machine Learning (stat.ML)
[62] arXiv:2411.11848 [pdf, other]
Title: Robust Graph Neural Networks for Stability Analysis in Dynamic Networks
Xin Zhang, Zhen Xu, Yue Liu, Mengfang Sun, Tong Zhou, Wenying Sun
Comments: It was accepted by the 3rd International Conference on Cloud Computing Big Data Application and Software Engineering
Subjects: Statistical Finance (q-fin.ST); Machine Learning (cs.LG)
[63] arXiv:2411.11847 [pdf, other]
Title: Modelling financial returns with mixtures of generalized normal distributions
Pierdomenico Duttilo
Comments: This PhD thesis was defended by the author on 26 June 2024 at the University of "G. d'Annunzio" in Chieti-Pescara
Subjects: Statistical Finance (q-fin.ST); Methodology (stat.ME)
[64] arXiv:2411.12522 (cross-list from math.PR) [pdf, html, other]
Title: Canonical insurance models: stochastic equations and comparison theorems
Marcus C. Christiansen, Christian Furrer
Subjects: Probability (math.PR); Risk Management (q-fin.RM)
[65] arXiv:2411.12128 (cross-list from cs.AI) [pdf, html, other]
Title: The Role of Accuracy and Validation Effectiveness in Conversational Business Analytics
Adem Alparslan
Subjects: Artificial Intelligence (cs.AI); General Economics (econ.GN)
[66] arXiv:2411.11853 (cross-list from cs.CY) [pdf, html, other]
Title: Chat Bankman-Fried: an Exploration of LLM Alignment in Finance
Claudia Biancotti, Carolina Camassa, Andrea Coletta, Oliver Giudice, Aldo Glielmo
Subjects: Computers and Society (cs.CY); Artificial Intelligence (cs.AI); Computation and Language (cs.CL); General Finance (q-fin.GN)
Total of 66 entries : 34-66 51-66
Showing up to 50 entries per page: fewer | more | all