Computational Finance

Authors and titles for q-fin.CP in Mar 2024

[1]  arXiv:2403.00746 [pdf, other]

Title: A time-stepping deep gradient flow method for option pricing in (rough) diffusion models

Authors: Antonis Papapantoleon, Jasper Rou

Comments: 18 pages, 10 figures

Subjects: Computational Finance (q-fin.CP); Machine Learning (cs.LG); Probability (math.PR); Mathematical Finance (q-fin.MF)

[2]  arXiv:2403.02832 [pdf, ps, other]

Title: Quasi-Monte Carlo for Efficient Fourier Pricing of Multi-Asset Options

Authors: Christian Bayer, Chiheb Ben Hammouda, Antonis Papapantoleon, Michael Samet, Raúl Tempone

Subjects: Computational Finance (q-fin.CP); Numerical Analysis (math.NA)

[3]  arXiv:2403.03606 [pdf, ps, other]

Title: Enhancing Price Prediction in Cryptocurrency Using Transformer Neural Network and Technical Indicators

Authors: Mohammad Ali Labbaf Khaniki, Mohammad Manthouri

Subjects: Computational Finance (q-fin.CP); Artificial Intelligence (cs.AI); Machine Learning (cs.LG)

[4]  arXiv:2403.10482 [pdf, ps, other]

Title: Can a GPT4-Powered AI Agent Be a Good Enough Performance Attribution Analyst?

Authors: Bruno de Melo, Jamiel Sheikh

Subjects: Computational Finance (q-fin.CP); Artificial Intelligence (cs.AI); Portfolio Management (q-fin.PM)

[5]  arXiv:2403.14841 [pdf, other]

Title: On the Hull-White model with volatility smile for Valuation Adjustments

Authors: T. van der Zwaard, L.A. Grzelak, C.W. Oosterlee

Subjects: Computational Finance (q-fin.CP); Mathematical Finance (q-fin.MF)

[6]  arXiv:2403.15062 [pdf, other]

Title: Construction of a Japanese Financial Benchmark for Large Language Models

Authors: Masanori Hirano

Comments: 9 pages, Joint Workshop of the 7th Financial Technology and Natural Language Processing (FinNLP), the 5th Knowledge Discovery from Unstructured Data in Financial Services (KDF), and The 4th Workshop on Economics and Natural Language Processing (ECONLP) In conjunction with LREC-COLING-2024

Subjects: Computational Finance (q-fin.CP); Computation and Language (cs.CL)

[7]  arXiv:2403.15243 [pdf, other]

Title: Robust Utility Optimization via a GAN Approach

Authors: Florian Krach, Josef Teichmann, Hanna Wutte

Subjects: Computational Finance (q-fin.CP); Machine Learning (cs.LG); Mathematical Finance (q-fin.MF); Portfolio Management (q-fin.PM)

[8]  arXiv:2403.00009 (cross-list from q-fin.PM) [pdf, other]

Title: Randomized Control in Performance Analysis and Empirical Asset Pricing

Authors: Cyril Bachelard, Apostolos Chalkis, Vissarion Fisikopoulos, Elias Tsigaridas

Comments: 57 pages, 7 figures, 2 tables

Subjects: Portfolio Management (q-fin.PM); Computational Geometry (cs.CG); Computational Finance (q-fin.CP)

[9]  arXiv:2403.02572 (cross-list from q-fin.TR) [pdf, ps, other]

Title: Fill Probabilities in a Limit Order Book with State-Dependent Stochastic Order Flows

Authors: Felix Lokin, Fenghui Yu

Subjects: Trading and Market Microstructure (q-fin.TR); Probability (math.PR); Computational Finance (q-fin.CP)

[10]  arXiv:2403.06303 (cross-list from q-fin.PR) [pdf, other]

Title: A Unifying Approach for the Pricing of Debt Securities

Authors: Marie-Claude Vachon, Anne Mackay

Subjects: Pricing of Securities (q-fin.PR); Computational Finance (q-fin.CP); Mathematical Finance (q-fin.MF)

[11]  arXiv:2403.13429 (cross-list from q-fin.TR) [pdf, other]

Title: Detecting and Triaging Spoofing using Temporal Convolutional Networks

Authors: Kaushalya Kularatnam, Tania Stathaki

Journal-ref: AAAI 2024 Workshop on AI in Finance for Social Impact

Subjects: Trading and Market Microstructure (q-fin.TR); Computational Engineering, Finance, and Science (cs.CE); Machine Learning (cs.LG); Computational Finance (q-fin.CP); General Finance (q-fin.GN)

[12]  arXiv:2403.16296 (cross-list from q-fin.RM) [pdf, ps, other]

Title: Workplace sustainability or financial resilience? Composite-financial resilience index

Authors: Elham Daadmehr

Journal-ref: Risk Manag 26, 7 (2024)

Subjects: Risk Management (q-fin.RM); Computational Finance (q-fin.CP); Statistical Finance (q-fin.ST)

[13]  arXiv:2403.05541 (cross-list from cs.CY) [pdf, ps, other]

Title: AI in ESG for Financial Institutions: An Industrial Survey

Authors: Jun Xu

Comments: 31 pages, 14 tables, 3 figures

Subjects: Computers and Society (cs.CY); Artificial Intelligence (cs.AI); Machine Learning (cs.LG); Computational Finance (q-fin.CP)

[14]  arXiv:2403.11738 (cross-list from math.NA) [pdf, other]

Title: A path-dependent PDE solver based on signature kernels

Authors: Alexandre Pannier, Cristopher Salvi

Comments: 35 pages, 1 figure

Subjects: Numerical Analysis (math.NA); Computational Finance (q-fin.CP)

[15]  arXiv:2403.13625 (cross-list from cs.LG) [pdf, ps, other]

Title: Enhancing Law Enforcement Training: A Gamified Approach to Detecting Terrorism Financing

Authors: Francesco Zola, Lander Segurola, Erin King, Martin Mullins, Raul Orduna

Journal-ref: International Journal of Police Science & Management, Sage, 0(0), [2024]

Subjects: Machine Learning (cs.LG); Computers and Society (cs.CY); Social and Information Networks (cs.SI); Computational Finance (q-fin.CP)

[16]  arXiv:2403.14063 (cross-list from cs.LG) [pdf, other]

Title: DiffSTOCK: Probabilistic relational Stock Market Predictions using Diffusion Models

Authors: Divyanshu Daiya, Monika Yadav, Harshit Singh Rao

Comments: Accepted for presentation to the 2024 IEEE International Conference on Acoustics, Speech, and Signal Processing (ICASSP 2024), Seoul, Korea

Subjects: Machine Learning (cs.LG); Computational Engineering, Finance, and Science (cs.CE); Computational Finance (q-fin.CP); Portfolio Management (q-fin.PM)