Computational Finance

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

[1]  arXiv:2404.02858 [pdf, other]

Title: The Life Care Annuity: enhancing product features and refining pricing methods

Authors: G. Apicella, A. Molent, M. Gaudenzi

Subjects: Computational Finance (q-fin.CP)

[2]  arXiv:2404.05101 [pdf, other]

Title: StockGPT: A GenAI Model for Stock Prediction and Trading

Authors: Dat Mai

Comments: 19 pages, 3 figures, 7 tables

Subjects: Computational Finance (q-fin.CP); Artificial Intelligence (cs.AI); Portfolio Management (q-fin.PM); Pricing of Securities (q-fin.PR); Statistical Finance (q-fin.ST)

[3]  arXiv:2404.07132 [pdf, ps, other]

Title: Hedonic Models Incorporating ESG Factors for Time Series of Average Annual Home Prices

Authors: Jason R. Bailey, W. Brent Lindquist, Svetlozar T. Rachev

Comments: 17 pages, 7 figures, 11 tables

Subjects: Computational Finance (q-fin.CP)

[4]  arXiv:2404.08903 [pdf, other]

Title: Enhancing path-integral approximation for non-linear diffusion with neural network

Authors: Anna Knezevic

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

[5]  arXiv:2404.09462 [pdf, other]

Title: Experimental Analysis of Deep Hedging Using Artificial Market Simulations for Underlying Asset Simulators

Authors: Masanori Hirano

Comments: 9 pages

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

[6]  arXiv:2404.11257 [pdf, other]

Title: Deep Joint Learning valuation of Bermudan Swaptions

Authors: Francisco Gómez Casanova, Álvaro Leitao, Fernando de Lope Contreras, Carlos Vázquez

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

[7]  arXiv:2404.11526 [pdf, other]

Title: A Comparison of Traditional and Deep Learning Methods for Parameter Estimation of the Ornstein-Uhlenbeck Process

Authors: Jacob Fein-Ashley

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

[8]  arXiv:2404.12001 [pdf, ps, other]

Title: Internet sentiment exacerbates intraday overtrading, evidence from A-Share market

Authors: Peng Yifeng

Comments: 27 pages, 5 tables

Subjects: Computational Finance (q-fin.CP); Computational Engineering, Finance, and Science (cs.CE)

[9]  arXiv:2404.16449 [pdf, other]

Title: Analysis of market efficiency in main stock markets: using Karman-Filter as an approach

Authors: Beier Liu, Haiyun Zhu

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

[10]  arXiv:2404.16777 [pdf, other]

Title: Subset SSD for enhanced indexation with sector constraints

Authors: Cristiano Arbex Valle, John E Beasley

Subjects: Computational Finance (q-fin.CP)

[11]  arXiv:2404.17369 [pdf, ps, other]

Title: Assessing the Potential of AI for Spatially Sensitive Nature-Related Financial Risks

Authors: Steven Reece, Emma O'Donnell, Felicia Liu, Joanna Wolstenholme, Frida Arriaga, Giacomo Ascenzi, Richard Pywell

Comments: 67 pages, 10 figures, UKRI (NERC) Integrated Finance and Biodiversity for a Nature Positive Future Programme

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

[12]  arXiv:2404.19324 [pdf, ps, other]

Title: The Effect of Data Types' on the Performance of Machine Learning Algorithms for Financial Prediction

Authors: Hulusi Mehmet Tanrikulu, Hakan Pabuccu

Comments: 33 Pages, 5 Figures

Subjects: Computational Finance (q-fin.CP)

[13]  arXiv:2404.00187 (cross-list from q-fin.PM) [pdf, ps, other]

Title: Portfolio management using graph centralities: Review and comparison

Authors: Bahar Arslan, Vanni Noferini, Spyridon Vrontos

Subjects: Portfolio Management (q-fin.PM); Combinatorics (math.CO); Computational Finance (q-fin.CP)

[14]  arXiv:2404.01522 (cross-list from q-fin.MF) [pdf, other]

Title: Watanabe's expansion: A Solution for the convexity conundrum

Authors: David García-Lorite, Raul Merino

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

[15]  arXiv:2404.03792 (cross-list from q-fin.PR) [pdf, other]

Title: Social Media Emotions and Market Behavior

Authors: Domonkos F. Vamossy

Comments: arXiv admin note: text overlap with arXiv:2112.03868

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

[16]  arXiv:2404.04962 (cross-list from q-fin.ST) [pdf, other]

Title: A Comparison of Cryptocurrency Volatility-benchmarking New and Mature Asset Classes

Authors: Alessio Brini, Jimmie Lenz

Comments: 63 pages, 12 figures. Accepted on the "Financial Innovation" journal (DOI: 10.1186/s40854-024-00646-y). Link is not active yet. Forthcoming in June 2024

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

[17]  arXiv:2404.18017 (cross-list from q-fin.PM) [pdf, ps, other]

Title: Application of Deep Learning for Factor Timing in Asset Management

Authors: Prabhu Prasad Panda, Maysam Khodayari Gharanchaei, Xilin Chen, Haoshu Lyu

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

[18]  arXiv:2404.18761 (cross-list from q-fin.MF) [pdf, other]

Title: A pure dual approach for hedging Bermudan options

Authors: Aurélien Alfonsi, Ahmed Kebaier, Jérôme Lelong

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

[19]  arXiv:2404.01624 (cross-list from cs.CE) [pdf, ps, other]

Title: Intelligent Optimization of Mine Environmental Damage Assessment and Repair Strategies Based on Deep Learning

Authors: Qishuo Cheng

Subjects: Computational Engineering, Finance, and Science (cs.CE); Computational Finance (q-fin.CP)

[20]  arXiv:2404.08136 (cross-list from stat.CO) [pdf, other]

Title: Exponentially Weighted Moving Models

Authors: Eric Luxenberg, Stephen Boyd

Subjects: Computation (stat.CO); Signal Processing (eess.SP); Optimization and Control (math.OC); Computational Finance (q-fin.CP); Machine Learning (stat.ML)

[21]  arXiv:2404.08456 (cross-list from math.NA) [pdf, ps, other]

Title: A backward differential deep learning-based algorithm for solving high-dimensional nonlinear backward stochastic differential equations

Authors: Lorenc Kapllani, Long Teng

Comments: 40 pages, 5 figures, 5 tables

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

[22]  arXiv:2404.10088 (cross-list from quant-ph) [pdf, other]

Title: Quantum Risk Analysis of Financial Derivatives

Authors: Nikitas Stamatopoulos, B. David Clader, Stefan Woerner, William J. Zeng

Subjects: Quantum Physics (quant-ph); Computational Finance (q-fin.CP)

[23]  arXiv:2404.10554 (cross-list from physics.soc-ph) [pdf, ps, other]

Title: Quantum Mechanics of Human Perception, Behaviour and Decision-Making: A Do-It-Yourself Model Kit for Modelling Optical Illusions and Opinion Formation in Social Networks

Authors: Ivan S. Maksymov

Comments: Book chapter. The computational codes and supplementary videos are available at this https URL

Subjects: Physics and Society (physics.soc-ph); Computational Finance (q-fin.CP)

[24]  arXiv:2404.10555 (cross-list from cs.CL) [pdf, other]

Title: Construction of Domain-specified Japanese Large Language Model for Finance through Continual Pre-training

Authors: Masanori Hirano, Kentaro Imajo

Comments: 7 pages

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

[25]  arXiv:2404.12598 (cross-list from cs.LG) [pdf, ps, other]

Title: Continuous-time Risk-sensitive Reinforcement Learning via Quadratic Variation Penalty

Authors: Yanwei Jia

Comments: 49 pages, 2 figures, 1 table

Subjects: Machine Learning (cs.LG); Systems and Control (eess.SY); Computational Finance (q-fin.CP); Portfolio Management (q-fin.PM)