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The Mathematics of Water
A primer on the Navier-Stokes equationsContinue reading on Cantorâs Paradise »
View ArticleA Robust Transferable Deep Learning Framework for Cross-sectional Investment...
Stock return predictability is an important research theme as it reflects our economic and social organization, and significant efforts are made to explain the dynamism therein. Statistics of strong...
View ArticleThe option pricing model based on time values: an application of the...
Hutchinson, Lo and Poggio raised the question that if learning works can learn the Black-Scholes formula, and they proposed the network mapping the ratio of underlying price to strike $S_t/K$ and the...
View ArticleOptimal Converge Trading with Unobservable Pricing Errors....
We study a dynamic portfolio optimization problem related to convergence trading, which is an investment strategy that exploits temporary mispricing by simultaneously buying relatively underpriced...
View ArticleA tale of two sentiment scales: Disentangling short-run and long-run...
We propose a novel approach to sentiment data filtering for a portfolio of assets. In our framework, a dynamic factor model drives the evolution of the observed sentiment and allows to identify two...
View ArticleHomogeneity and heterogeneity of cryptocurrencies. (arXiv:1910.01330v1...
Thousands of cryptocurrencies have been issued and publicly exchanged since Bitcoin was invented in 2008. The total cryptocurrency market value exceeds 300 billion US dollars as of 2019. This paper...
View ArticleCentral counterparties: magic relighting candles?
In this paper, the rules of selected major CCPs (LCH, CME, Eurex and ICE) are reviewed for both their end-of-waterfall procedures and the rights granted to clearing members in end-of-waterfall scenarios.
View ArticlePubChain: A Decentralized Open-Access Publication Platform with Participants...
PubChain: A Decentralized Open-Access Publication Platform with Participants Incentivized by Blockchain Technology https://t.co/pWyeGmxNIO â CryptAssetsâ¦
View ArticleLinear credit risk models
Abstract We introduce a novel class of credit risk models in which the drift of the survival process of a firm is a linear function of the factors. The prices of defaultable bonds and credit default...
View ArticleHousing Prices and Investor Sentiment Dynamics: Evidence from China using a...
Publication date: Available online 3 October 2019Source: Finance Research LettersAuthor(s): Yun Hong, Yi LiAbstractThis paper investigates the multiscale relation between housing prices and investor...
View ArticleImpact of economic policy uncertainty shocks on China's financial conditions
Publication date: Available online 4 October 2019Source: Finance Research LettersAuthor(s): Zhenghui Li, Junhao ZhongAbstractThis study explores the effect of global economic policy uncertainty (EPU)...
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How to Estimate the Number of Aliens in the Milky Way
Understanding the Drake equationContinue reading on Cantorâs Paradise »
View ArticleWhat causes the asymmetric correlation in stock returns?
Publication date: Available online 5 October 2019Source: Journal of Empirical FinanceAuthor(s): Y. Peter Chung, Hyun A Hong, S. Thomas KimAbstractThe literature indicates that the correlations between...
View ArticleLimits to arbitrage and CDS-bond dynamics around the financial crisis
Publication date: Available online 5 October 2019Source: Journal of Empirical FinanceAuthor(s): George Chalamandaris, Spyros PagratisAbstractAn ostensibly broken cointegrating relationship between CDS...
View ArticleLow Vol vs Option-Based Strategies
By Nicolas Rabener of FactorResearch (@FactorResearch) INTRODUCTION Some investment products and strategies can be considered toxic given their history on Wall Street. Portfolio insurance is rarely...
View ArticlePredicting Consumer Default: A Deep Learning Approach. (arXiv:1908.11498v2...
We develop a model to predict consumer default based on deep learning. We show that the model consistently outperforms standard credit scoring models, even though it uses the same data. Our model is...
View ArticleA lending scheme for a system of interconnected banks with probabilistic...
We derive a closed form solution for an optimal control problem related to an interbank lending schemes subject to terminal probability constraints on the failure of banks which are interconnected...
View ArticleStatistical analysis and stochastic interest rate modelling for valuing the...
High future discounting rates favor inaction on present expending while lower rates advise for a more immediate political action. A possible approach to this key issue in global economy is to take...
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