Optimal liquidation for a risk averse investor in a one-sided limit order...
In a general one-sided limit order book where the unaffected price process follows a Levy process, we consider the problem for an investor with constant absolute risk aversion to optimally liquidate a...
View ArticleOptimal liquidation trajectories for the Almgren-Chriss model with Levy...
We consider an optimal liquidation problem with infinite horizon in the Almgren-Chriss framework, where the unaffected asset price follows a Levy process. The temporary price impact is described by a...
View ArticleCrowded trades, market clustering, and price instability. (arXiv:2002.03319v1...
Crowded trades by similarly trading peers influence the dynamics of asset prices, possibly creating systemic risk. We propose a market clustering measure using granular trading data. For each stock the...
View ArticleStochastic optimization of the Dividend strategy with reinsurance in...
The present paper addresses the issue of the stochastic control of the optimal dynamic reinsurance policy and dynamic dividend strategy, which are state-dependent, for an insurance company that...
View ArticleStability and asymptotic analysis of the F"ollmer-Schweizer...
First, we consider the problem of hedging in complete binomial models. Using the discrete-time F"ollmer-Schweizer decomposition, we demonstrate the equivalence of the backward induction and sequential...
View ArticleAn internal fraud model for operational losses in retail banking....
This paper develops a dynamic internal fraud model for operational losses in retail banking. It considers public operational losses arising from internal fraud in retail banking within a group of...
View ArticleUK hopes to have freeports up and running next year
"Some trade experts say the net benefit of freeports is limited and they often just redistribute economic activity from elsewhere in the country."â¦
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‘Robot’ mania and language: useful or self-defeating?
âWhen I use a word,â Humpty Dumpty said in rather a scornful tone, âit means just what I choose it to mean â neither more nor less.â â Lewis Carroll, Alice In Wonderland. In Lewis...
View ArticleThe value of informational arbitrage
Abstract In the context of a general semimartingale model, we aim at determining how much an investor is willing to pay to learn additional information that allows achieving arbitrage. If such a value...
View ArticleEvaluation Of Synergistic Effects In M&A Deals In The Construction Industry
Publication date: Available online 11 February 2020Source: Finance Research LettersAuthor(s): Varvara Nazarova, Konstantin KoshelevAbstractThe article focuses on models that can assess the efficiency...
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Root-Finding Algorithms
If only everything was as simple as the quadratic formula…Continue reading on Cantorâs Paradise »
View ArticleStockpickers turn to #bigdata to arrest decline
Stockpickers turn to #bigdata to arrest decline | #MachineLearning #AI #Finance #Investment https://t.co/xIUQyNxWfb via @financialtimes â Yves Hilpisch (@dyjh)â¦
View ArticleCall for Papers: Special Issue: Complexity and Risk in International Banking
This special issue, edited by Thorsten Beck and Guest Editors Claudia Buch and Linda Goldberg, aims to help researchers and policymakers better understand both this important feature of banking...
View ArticleSEC Charges Orchestrator of Cryptocurrency Scheme Ensnaring Physicians
The Securities and Exchange Commission today filed charges against an Ohio-based businessman who allegedly orchestrated a digital asset scheme that defrauded approximately 150 investors, including many...
View ArticleLessons from CAIS 2020
John Bowman, CFA, Senior Managing Director at CAIA Association âYouâre a kite dancing in a hurricane, Mr. Bond.â (Mr. White to 007, Spectre) Despite the crystal blue island water, softly rolling...
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Measuring Network Centrality
An Intro To Quantifying “Importance” Through Graph TheoryContinue reading on Cantorâs Paradise »
View ArticleThe Perils of Late-Cycle Investing
It is widely believed that much of the world is now experiencing the late stages of a bull market. There will be a downturn because no tree grows to the sky. Forecasting the nature and severity of the...
View ArticleComputation Graphs for AAD and Machine Learning Part II: Adjoint...
Second in a series of three articles with code, exploring the notion of computation graph, with words, mathematics and code, and application in Machine Learning and finance to compute a vast number of...
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