Can deep reinforcement learning algorithms be exploited as solvers for optimal trading strategies? The aim of this work is to test reinforcement learning algorithms on concept...

Mar 17 2020 06:01

We use a powerful extension of the classical method of heat potentials, recently developed by the present author and his collaborators, to solve several significant problems o...

Mar 17 2020 06:01

Reductions in the cost of PV and batteries encourage households to invest in PV battery prosumage. We explore the implications for the rest of the power sector by applying two...

Mar 17 2020 06:01

This article introduces the Hedonic Metric (HM) approach as an original method to model the demand for differentiated products. Using this approach, initially, we create an n-...

Mar 17 2020 06:01

This paper deals with pricing of European and American options, when the underlying asset price follows Heston model, via the interior penalty discontinuous Galerkin finite el...

Mar 17 2020 06:01

We address the issue of market making on electronic markets when taking into account the self exciting property of market order flow. We consider a market with order flows dri...

Mar 16 2020 12:01

Wang Shi, a business mogul who created his empire of wealth from scratch, relished in his fame and basked in the glory of his affluent business. Nothing lasts forever! After m...

Mar 16 2020 12:01

Coronavirus (COVID-19) creates fear and uncertainty, hitting the global economy and amplifying the financial markets volatility. The oil price reaction to COVID-19 was gradual...

Mar 16 2020 12:01

It is well-known that using delta hedging to hedge financial options is not feasible in practice. Traders often rely on discrete-time hedging strategies based on fixed trading...

Mar 16 2020 12:01

Machine Learning algorithms and Neural Networks are widely applied to many different areas such as stock market prediction, face recognition and population analysis. This pape...

Mar 16 2020 12:01

We present a detailed analysis of emph{observable} moments based parameter estimators for the Heston SDEs jointly driving the rate of returns $R_t$ and the squared volatiliti...

Mar 16 2020 12:01

In this paper we introduce and solve a class of optimal stopping problems of recursive type. In particular, the stopping payoff depends directly on the value function of the p...

Mar 16 2020 12:01

We develop a simple theoretic game a model to analyze the relationship between electoral sys tems and governments' choice in trade policies. We show that existence of internat...

Mar 13 2020 06:01

This study estimates the risk contributions of individual European countries regarding the indemnity payments in agricultural insurance. We model the total risk exposure as an...

Mar 13 2020 06:01

This study examines the monthly returns in Turkish and American stock market indices to investigate whether these markets experience abnormal returns during some months of the...

Mar 13 2020 06:01

The inf-convolution of risk measures is directly related to risk sharing and general equilibrium, and it has attracted considerable attention in mathematical finance and insur...

Mar 13 2020 06:01

Statistical inference of the dependence between objects often relies on covariance matrices. Unless the number of features (e.g. data points) is much larger than the number of...

Mar 13 2020 06:01

On 23rd June 2016, 51.9% of British voters voted to leave the European Union, triggering a process and events that have led to the United Kingdom leaving the EU, an event that...

Mar 13 2020 06:01

An increasing concern in power systems is how to elicit flexibilities in demand, which leads to nontraditional electricity products for accommodating loads of different flexib...

Mar 13 2020 06:01

Cryptocurrencies, such as Bitcoin, are becoming increasingly popular, having been widely used as an exchange medium in areas such as financial transaction and asset transfer v...

Mar 12 2020 12:01

We give explicit algorithms and source code for extracting factors underlying Treasury yields using (unsupervised) machine learning (ML) techniques, such as nonnegative matrix...

Mar 12 2020 12:01

In this paper, I introduce a new emissions trading system (ETS) design to address the problems with existing ETSs and carbon taxes. First, existing ETS designs inhibit emissio...

Mar 12 2020 12:01

The expansion of global production networks has raised many important questions about the interdependence among countries and how future changes in the world economy are likel...

Mar 12 2020 12:01

This paper is focused on American option pricing in the subdiffusive Black Scholes model. Two methods for valuing American options in the considered model are proposed. The we...

Mar 12 2020 12:01

In this paper, we propose deep learning algorithms for ranking response surfaces, with applications to optimal stopping problems in financial mathematics. The problem of ranki...

Mar 12 2020 12:01

This paper examines the export promotion of processed foods by a regional economy and regional vitalisation policy. We employ Bertrand models that contain a major home produce...

Mar 12 2020 00:02

The installation of high-speed rail in the world during the last two decades resulted in significant socioeconomic and environmental changes. The U.S. has the longest rail net...

Mar 12 2020 00:02

Perusing three important elements (economic, safety and traffic) is the overall objective of decision evaluation across all transport projects. In this study, we investigate t...

Mar 12 2020 00:01

We study the pricing of contracts in fixed income markets in the presence of volatility uncertainty. We consider an arbitrage-free bond market under volatility uncertainty. Th...

Mar 12 2020 00:01

Generally, open innovation is a lucrative research topic within industries relying on innovation, such as the pharmaceutical industry, which are also known as knowledge-intens...

Mar 12 2020 00:01

We consider the problem of the optimal trading strategy in the presence of a price predictor, linear trading costs and a quadratic risk control. The solution is known to be a ...

Mar 12 2020 00:01

Wrong way risk (WWR) is a consideration for regulatory capital for credit valuation adjustment (CVA). WWR is also of interest for pricing and accounting and in these cases mus...

Mar 10 2020 06:01

Skill verification is a central problem in workforce hiring. Companies and academia often face the difficulty of ascertaining the skills of an applicant since the certificatio...

Mar 10 2020 06:01

We provide the first analysis on how fear of the novel coronavirus affects current economic sentiment. First, we collect a global dataset on internet searches indicative of ec...

Mar 10 2020 06:01

In this article we propose and calculate, under the Black Scholes option pricing model, a measure of the relative value of a delta- Symmetric Strangle. The proposed measure ac...

Mar 10 2020 06:01

40 days after the start of the international monitoring of COVID-19, we search for the effect of official announcements regarding new cases of infection and death ratio on the...

Mar 10 2020 06:01

This paper studies the extreme dependencies between energy, agriculture and metal commodity markets, with a focus on local co-movements, allowing the identification of asymmet...

Mar 10 2020 06:01

This article analyzes the procedure for the initial employment of research assistants in Turkish universities to see if it complies with the rules and regulations. We manually...

Mar 10 2020 06:01

Empirical distributions of wealth and income can be reproduced using simplified agent-based models of economic interactions, analogous to microscopic collisions of gas particl...

Mar 10 2020 06:01

We explain the main concepts of Prospect Theory and Cumulative Prospect Theory within the framework of rational dynamic asset pricing theory. We derive option pricing formulas...

Mar 10 2020 06:01

The atomic swap protocol allows for the exchange of cryptocurrencies on different blockchains without the need to trust a third-party. However, market participants who desire ...

Mar 10 2020 06:01

We study the problem of determining risk-minimizing investment strategies for insurance payment processes in the presence of taxes and expenses. We consider the situation wher...

Mar 10 2020 06:01

#COVID19 Research at arXiv - Feb 12 - March 6 - https://t.co/DczMtVGPmB #Coronavirus #PANdemic2020 # — moneyscience (@moneyscience) March 9, 2020

Mar 09 2020 18:08

We implement and test kernel averaging Non-Uniform Fast-Fourier Transform (NUFFT) methods to enhance the performance of correlation and covariance estimation on asynchronously...

Mar 09 2020 18:06

I study the relationship between the likelihood of a violent domestic conflict and the risk that such a conflict "externalizes" (i.e. spreads to another country by becoming an...

Mar 09 2020 18:06

We study the effect of religion and intense religious experiences on terrorism by focusing on one of the five pillars of Islam: Ramadan fasting. For identification, we exploit...

Mar 09 2020 18:06

This paper solves the consumption-investment problem under Epstein-Zin preferences on a random horizon. In an incomplete market, we take the random horizon to be a stopping ti...

Mar 09 2020 18:06

We consider the problem of neural network training in a time-varying context. Machine learning algorithms have excelled in problems that do not change over time. However, prob...

Mar 06 2020 06:01

We develop a monitoring procedure to detect changes in a large approximate factor model. Letting $r$ be the number of common factors, we base our statistics on the fact that t...

Mar 06 2020 06:01

We consider a variation on the classic Weitzman search problem: competing firms with products of unknown quality may design how much information a consumer's visit will glean....

Mar 06 2020 06:01

This paper investigates optimal consumption, investment, and healthcare spending under Epstein-Zin preferences. Given consumption and healthcare spending plans, Epstein-Zin ut...

Mar 05 2020 06:01

We apply numerical dynamic programming techniques to solve discrete-time multi-asset dynamic portfolio optimization problems with proportional transaction costs and shorting/b...

Mar 05 2020 06:01

We show that adversarial reinforcement learning (ARL) can be used to produce market marking agents that are robust to adversarial and adaptively chosen market conditions. To a...

Mar 05 2020 06:01

EBIs/ESOs substantially change the traditional production/service function because ESOs/EBIs can have different psychological effects(motivation or de-motivation), and can cre...

Mar 05 2020 06:01

Stock market prediction has been a classical yet challenging problem, with the attention from both economists and computer scientists. With the purpose of building an effectiv...

Mar 05 2020 06:01

In this paper, we propose a neural network-based method for approximating expected exposures and potential future exposures of Bermudan options. In a first phase, the method r...

Mar 05 2020 06:01

In the presence of monotone information, stochastic Thiele equations describing the dynamics of state-wise prospective reserves are closely related to the classic martingale r...

Mar 05 2020 06:01

We consider dynamic risk measures induced by Backward Stochastic Differential Equations (BSDEs) in enlargement of filtration setting. On a fixed probability space, we are give...

Mar 05 2020 06:01

A commonly used stochastic model for derivative and commodity market analysis is the Barndorff-Nielsen and Shephard (BN-S) model. Though this model is very efficient and analy...

Mar 05 2020 06:01

Algorithmic trading systems are often completely automated, and deep learning is increasingly receiving attention in this domain. Nonetheless, little is known about the robust...

Mar 05 2020 06:01

We consider a market in which both suppliers and consumers compete for a product via scalar-parameterized supply offers and demand bids. Scalar-parameterized offers/bids are a...

Mar 04 2020 06:01

Our study aims at quantifying the impact of climate change on corn farming in Ontario under several warming scenarios at the 2068 horizon. It is articulated around a discrete-...

Mar 04 2020 06:01

Integrated Assessment Models (IAMs) of the climate and economy aim to analyze the impact and efficacy of policies that aim to control climate change, such as carbon taxes and ...

Mar 04 2020 06:01

We develop a dynamic decomposition of the empirical Beveridge curve, i.e., the level of vacancies conditional on unemployment. Using a standard model, we show that three facto...

Mar 03 2020 12:02

Currently, high-dimensional data is ubiquitous in data science, which necessitates the development of techniques to decompose and interpret such multidimensional (aka tensor) ...

Mar 03 2020 12:02

We introduce a new deep learning architecture for predicting price movements from limit order books. This architecture uses a causal convolutional network for feature extracti...

Mar 03 2020 12:02

In this paper, we study the asymptotic behaviors of implied volatility of an affine jump-diffusion model. Let log stock price under risk-neutral measure follow an affine jump-...

Mar 03 2020 12:02

We propose a simple model where the innovation rate of a technological domain depends on the innovation rate of the technological domains it relies on. Using data on US patent...

Mar 03 2020 12:02

Financial time-series analysis and forecasting have been extensively studied over the past decades, yet still remain as a very challenging research topic. Since financial mark...

Mar 03 2020 12:02

We find economically and statistically significant gains from using machine learning to dynamically allocate between the market index and the risk-free asset. We model the mar...

Mar 03 2020 12:02

The cryptocurrency market is amongst the fastest-growing of all the financial markets in the world. Unlike traditional markets, such as equities, foreign exchange and commodit...

Mar 03 2020 12:02

An artificial general intelligence (AGI) might have an instrumental drive to modify its utility function to improve its ability to cooperate, bargain, promise, threaten, and r...

Mar 03 2020 12:02

The importance of supply chain management in analyzing and later catalyzing economic expectations while simultaneously prioritizing cleaner production aspects is a vital compo...

Mar 03 2020 12:02

We consider a random financial network with a large number of agents. The agents connect through credit instruments borrowed from each other or through direct lending, and the...

Mar 03 2020 12:02

We discuss various limits of a simple random exchange model that can be used for the distribution of wealth. We start from a discrete state space - discrete time version of th...

Mar 03 2020 12:02

We investigate the possibility of completing financial markets in a model with no exogenous probability measure and market imperfections. A necessary and sufficient condition ...

Mar 03 2020 12:02

In this paper we study a continuous time equilibrium model of limit order book (LOB) in which the liquidity dynamics follows a non-local, reflected mean-field stochastic diffe...

Mar 02 2020 06:01

The classical concept of martingales and compensators bases on the monotony of filtrations. This paper looks at the situation where innovations can have an expiry date such th...

Mar 02 2020 06:01

Let $mathcal{X}$ be a subset of $L^1$ that contains the space of simple random variables $mathcal{L}$ and $rho: mathcal{X} rightarrow (-infty,infty]$ a dilatation monot...

Feb 28 2020 06:01

This paper presents a model order reduction (MOR) approach for high dimensional problems in the analysis of financial risk. To understand the financial risks and possible outc...

Feb 28 2020 06:01

Algorithmic trading is well studied in traditional financial markets. However, it has received less attention in centralized cryptocurrency exchanges. The Commodity Futures Tr...

Feb 28 2020 06:01

A noteworthy feature of U.S. politics in recent years is serious partisan conflict, which has led to intensifying polarization and exacerbating high policy uncertainty. The US...

Feb 28 2020 06:01

This paper presents a new financial market simulator that may be used as a tool in both industry and academia for research in market microstructure. It allows multiple automat...

Feb 27 2020 06:01

This article presents fast lower and upper estimates for a large class of options: the class of constrained multiple exercise American options. Typical options in this class a...

Feb 27 2020 06:01

The development of reinforced learning methods has extended application to many areas including algorithmic trading. In this paper trading on the stock exchange is interpreted...

Feb 27 2020 06:01

Holston, Laubach and Williams' (2017) estimates of the natural rate of interest are driven by the downward trending behaviour of `other factor' $z_{t}$. I show that their impl...

Feb 27 2020 06:01

Standard game-theoretic formulations for settings like contextual pricing and security games assume that agents act in accordance with a specific behavioral model. In practice...

Feb 27 2020 06:01

Academics and practitioners have studied over the years models for predicting firms bankruptcy, using statistical and machine-learning approaches. An earlier sign that a compa...

Feb 27 2020 06:01

We develop a model for contagion in reinsurance networks by which primary insurers' losses are spread through the network. Our model handles general reinsurance contracts, suc...

Feb 27 2020 06:01

We consider a general formulation of the random horizon Principal-Agent problem with a continuous payment and a lump-sum payment at termination. In the European version of the...

Feb 26 2020 12:02

We present a reinforcement learning approach to goal based wealth management problems such as optimization of retirement plans or target dated funds. In such problems, an inve...

Feb 26 2020 12:02

Models of social learning feature either binary signals or abstract signal structures often deprived of micro-foundations. Both models are limited when analyzing interim resul...

Feb 26 2020 12:02

We estimate prices of exotic options in a discrete-time model-free setting when the trader has access to market prices of a rich enough class of exotic and vanilla options. Th...

Feb 26 2020 12:02

We investigate relaxation and correlations in a class of mean-reverting models for stochastic variances. We derive closed-form expressions for the correlation functions and le...

Feb 26 2020 12:02

We study optimal liquidation in the presence of linear temporary and transient price impact along with taking into account a general price predicting finite-variation signal. ...

Feb 25 2020 06:02

Interest in predicting multivariate probability distributions is growing due to the increasing availability of rich datasets and computational developments. Scoring functions ...

Feb 25 2020 06:02

Faced with the growing research towards crude oil price fluctuations influential factors following the accelerated development of Internet technology, accessible data such as ...

Feb 25 2020 06:01

We investigate the behaviour of cryptocurrencies' return data. Using return data for bitcoin, ethereum and ripple which account for over 70% of the cyrptocurrency market, we d...

Feb 25 2020 06:01

The present article studies geometric step options in exponential L'evy markets. Our contribution is manifold and extends several aspects of the geometric step option pricing...

Feb 25 2020 06:01

An approach to the modelling of financial return series using a class of uniformity-preserving transforms for uniform random variables is proposed. V-transforms describe the r...

Feb 25 2020 06:01