Evolving ab initio trading strategies in heterogeneous environments....
Securities markets are quintessential complex adaptive systems in which heterogeneous agents compete in an attempt to maximize returns. Species of trading agents are also subject to evolutionary...
View ArticleWhat’s the one thing that will disrupt quant finance the most?
John Hull @UofT: "the traditional material that might have been taught in quantitative finance courses 10 years ago is not as relevant now" Read more from…
View ArticleMoneyScience: MoneyScience's post: Call for Papers - Workshop on Economics...
Call for Papers - Workshop on Economics with Heterogeneous Interacting Agents (WEHIA) 2020 https://t.co/jRVNPNxhEI — moneyscience (@moneyscience) December 23,…
View ArticleEbenezer Scrooge: An Alternative View
By Bill Kelly, CEO, CAIA Association Ebenezer Scrooge was not exactly a cuddly CEO. The way he treated poor Bob Cratchit alone would not have exactly put Scrooge & Marley Ltd. in the top quartile...
View ArticleSusan Nash, Associate Director in Division of Investment Management, to Leave...
The Securities and Exchange Commission today announced that Susan Nash, Associate Director and Senior Policy Advisor to the Director, Division of Investment Management, will retire from the SEC at the...
View ArticleQuant GANs: Deep Generation of Financial Time Series. (arXiv:1907.06673v2...
Modeling financial time series by stochastic processes is a challenging task and a central area of research in financial mathematics. As an alternative, we introduce Quant GANs, a data-driven model...
View ArticleIntermediated Implementation. (arXiv:1810.11475v5 [econ.TH] UPDATED)
We examine problems of "intermediated implementation," in which a single principal can only regulate limited aspects of the consumption bundles traded between intermediaries and agents with hidden...
View ArticleElectoral Crime Under Democracy: Information Effects from Judicial Decisions...
This paper examines voters' responses to the disclosure of electoral crime information in large democracies. I focus on Brazil, where the electoral court makes candidates' criminal records public...
View ArticleEconomic Complexity: why we like "Complexity weighted...
A recent paper by Hausmann and collaborators (1) reaches the important conclusion that Complexity-weighted diversification is the essential element to predict country growth. We like this result...
View ArticleQuantile Diffusions. (arXiv:1912.10866v1 [math.PR])
This paper focuses on the development of a new class of diffusion processes that allows for direct and dynamic modelling of quantile diffusions. We constructed quantile diffusion processes by...
View ArticleModel uncertainty in financial forecasting. (arXiv:1912.10813v1 [q-fin.GN])
Models necessarily capture only parts of a reality. Prediction models aim at capturing a future reality. In this paper we address the question of how the future is constructed (or: imagined) in an...
View ArticleDP-LSTM: Differential Privacy-inspired LSTM for Stock Prediction Using...
Stock price prediction is important for value investments in the stock market. In particular, short-term prediction that exploits financial news articles is promising in recent years. In this paper, we...
View ArticleOn Information Coefficient and Directional Statistics. (arXiv:1912.10709v1...
Cross-sectional "Information Coefficient"(IC) is a widely and deeply accepted measure in portfolio management. In this paper, we propose that IC is a linear operator on the components of a standardized...
View ArticlePricing of the Geometric Asian Options Under a Multifactor Stochastic...
This paper focuses on the pricing of continuous geometric Asian options (GAOs) under a multifactor stochastic volatility model. The model considers fast and slow mean reverting factors of volatility,...
View ArticleBuilding and Testing Yield Curve Generators for P&C Insurance....
Interest-rate risk is a key factor for property-casualty insurer capital. P&C companies tend to be highly leveraged, with bond holdings much greater than capital. For GAAP capital, bonds are marked...
View ArticleThe Black-Scholes-Merton dual equation. (arXiv:1912.10380v1 [q-fin.PR])
We derive the Black-Scholes-Merton dual equation, which has exactly the same form as the Black-Scholes-Merton equation. The new equation is general and works for European, American, Bermudan, Asian,...
View ArticleDesign of High-Frequency Trading Algorithm Based on Machine Learning....
Based on iterative optimization and activation function in deep learning, we proposed a new analytical framework of high-frequency trading information, that reduced structural loss in the assembly of...
View ArticlePortfolio optimization based on forecasting models using vine copulas: An...
We employ and examine vine copulas in modeling symmetric and asymmetric dependency structures and forecasting financial returns. We analyze the asset allocations performed during the 2008-2009...
View ArticleComparative Study of Two Extensions of Heston Stochastic Volatility Model....
In the option valuation literature, the shortcomings of one factor stochastic volatility models have traditionally been addressed by adding jumps to the stock price process. An alternate approach in...
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