Dynamics of the Price Behavior in Stock Market: A Statistical Physics...
We study in this paper the time evolution of stock markets using a statistical physics approach. Each agent is represented by a spin having a number of discrete states $q$ or continuous states,...
View ArticleSecretary-General Says United Nations Must Embrace Blockchain
United Nations secretary-general António Guterres says the intergovernmental giant needs to embrace blockchain https://t.co/wX4JCkgEZF — CryptAssets…
View ArticleHow financial markets turned upside down in 2019
Weak data used to send stocks down but the promise of never-ending cheap money from central banks means the only way is uphttps://t.co/Izyz2B6jcN —…
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Newsletter December 2019 Vertically and Crosswise
Editorial Vertically and Crosswise  With constantly moving spots MathFinance has moved its Frankfurt office to Kaiserstraße 50, located between the central station and the old ECB building. Looking...
View ArticleEstimation of Ornstein-Uhlenbeck Process Using Ultra-High-Frequency Data with...
When stock prices are observed at high frequencies, more information can be utilized in estimation of parameters of the price process. However, high-frequency data are contaminated by the market...
View ArticleFast calibration of two-factor models for energy option pricing....
A general method is presented to compute the variance of a linear stochastic process through a matrix Lyapunov differential equation. This approach, adopted from control theory, is alternative and...
View ArticleA review of two decades of correlations, hierarchies, networks and clustering...
This document is an ongoing review on the state of the art of clustering financial time series and the study of correlation and other interaction networks. This preliminary document is intended for...
View ArticleSystemic liquidity contagion in the European interbank market....
Systemic liquidity risk, defined by the IMF as "the risk of simultaneous liquidity difficulties at multiple financial institutions", is a key topic in macroprudential policy and financial stress...
View ArticleOn the positivity of local mild solutions to stochastic evolution equations....
We provide sufficient conditions on the coefficients of a stochastic evolution equation on a Hilbert space of functions driven by a cylindrical Wiener process ensuring that its mild solution is...
View ArticleOpen Markets. (arXiv:1912.13110v1 [q-fin.MF])
An open market is a subset of an entire equity market composed of a certain fixed number of top capitalization stocks. Though the number of stocks in the open market is fixed, the constituents of the...
View ArticleA Consistently Oriented Basis for Eigenanalysis. (arXiv:1912.12983v1 [math.NA])
Repeated application of machine-learning, eigen-centric methods to an evolving dataset reveals that eigenvectors calculated by well-established computer implementations are not stable along an evolving...
View ArticleEffect of Franchised Business models on Fast Food Company Stock Prices in...
At the initial stages of this research, the assumption was that the franchised businesses perhaps should not be affected much by recession as there are multiple cash pools available inherent to the...
View ArticlePriority to unemployed immigrants? A causal machine learning evaluation of...
We investigate heterogenous employment effects of Flemish training programmes. Based on administrative individual data, we analyse programme effects at various aggregation levels using Modified Causal...
View ArticleApproximating intractable short ratemodel distribution with neural network....
We propose an algorithm which predicts each subsequent time step relative to the previous time step of intractable short rate model (when adjusted for drift and overall distribution of previous...
View ArticleCredit Risk: Simple Closed Form Approximate Maximum Likelihood Estimator....
We consider discrete default intensity based and logit type reduced form models for conditional default probabilities for corporate loans where we develop simple closed form approximations to the...
View ArticleThe Generalisation of the DMCA Coefficient to Serve Distinguishing Between...
This paper aims to investigate the role of gold as a hedge and/or safe haven against oil price and currency market movements for medium (calm period) and large (extreme movement) fluctuations. In...
View ArticleFocused Bayesian Prediction. (arXiv:1912.12571v1 [stat.ME])
We propose a new method for conducting Bayesian prediction that delivers accurate predictions without correctly specifying the unknown true data generating process. A prior is defined over a class of...
View ArticlePortfolio Optimization under Correlation Constraint. (arXiv:1912.12521v1...
We consider the problem of portfolio optimization with a correlation constraint. The framework is the multiperiod stochastic financial market setting with one tradable stock, stochastic income and a...
View ArticlePositivity of mild solution to stochastic evolution equations with an...
We prove a maximum principle for mild solutions to stochastic evolution equations with (locally) Lipschitz coefficients and Wiener noise on weighted $L^2$ spaces. As an application, we provide...
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