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Quantitative Finance

Authors and titles for recent submissions

[ total of 52 entries: 1-48 | 49-52 ]
[ showing 48 entries per page: fewer | more | all ]

Fri, 3 May 2024

[1]  arXiv:2405.01479 [pdf, other]
Title: On Quantum Ambiguity and Potential Exponential Computational Speed-Ups to Solving
Authors: Eric Ghysels, Jack Morgan
Comments: 51 pages, 4 figures
Subjects: Pricing of Securities (q-fin.PR); Quantum Physics (quant-ph)
[2]  arXiv:2405.01233 [pdf, other]
Title: Mathematics of Differential Machine Learning in Derivative Pricing and Hedging
Authors: Pedro Duarte Gomes
Subjects: Mathematical Finance (q-fin.MF); Machine Learning (cs.LG); Computational Finance (q-fin.CP)
[3]  arXiv:2405.01137 [pdf, ps, other]
Title: Modelling user behavior towards smartphones and wearable technologies: A bibliometric study and brief literature review
Authors: Maral Jamalova
Subjects: General Economics (econ.GN)
[4]  arXiv:2405.01078 [pdf, other]
Title: Does Financial Literacy Impact Investment Participation and Retirement Planning in Japan?
Authors: Yi Jiang, Shohei Shimizu
Subjects: General Economics (econ.GN)
[5]  arXiv:2405.00895 [pdf, other]
Title: Racial and Ethnic Disparities in Mortgage Lending: New Evidence from Expanded HMDA Data
Authors: Sean Lewis-Faupel, Nicholas Tenev
Subjects: General Economics (econ.GN)
[6]  arXiv:2405.00701 [pdf, other]
Title: Learning tensor networks with parameter dependence for Fourier-based option pricing
Authors: Rihito Sakurai, Haruto Takahashi, Koichi Miyamoto
Subjects: Computational Finance (q-fin.CP); Quantum Physics (quant-ph)
[7]  arXiv:2405.00697 [pdf, other]
Title: Pricing Catastrophe Bonds -- A Probabilistic Machine Learning Approach
Authors: Xiaowei Chen, Hong Li, Yufan Lu, Rui Zhou
Subjects: Computational Finance (q-fin.CP); Machine Learning (cs.LG); Pricing of Securities (q-fin.PR); Applications (stat.AP)
[8]  arXiv:2405.00522 (cross-list from econ.GN) [pdf, other]
Title: DAM: A Universal Dual Attention Mechanism for Multimodal Timeseries Cryptocurrency Trend Forecasting
Authors: Yihang Fu, Mingyu Zhou, Luyao Zhang
Subjects: General Economics (econ.GN); Computational Engineering, Finance, and Science (cs.CE); Computation and Language (cs.CL); Cryptography and Security (cs.CR); Computational Finance (q-fin.CP)

Thu, 2 May 2024

[9]  arXiv:2405.00606 [pdf, ps, other]
Title: Some properties of Euler capital allocation
Authors: Lars Holden
Comments: 12 pages, 3 figures, 4 tables, 15 references
Subjects: Risk Management (q-fin.RM); Probability (math.PR); Portfolio Management (q-fin.PM)
[10]  arXiv:2405.00576 [pdf, other]
Title: Calibration of the rating transition model for high and low default portfolios
Authors: Jian He, Asma Khedher, Peter Spreij
Subjects: Risk Management (q-fin.RM); Methodology (stat.ME)
[11]  arXiv:2405.00537 [pdf, other]
Title: Quantifying Price Improvement in Order Flow Auctions
Authors: Brad Bachu, Xin Wan, Ciamac C. Moallemi
Subjects: Trading and Market Microstructure (q-fin.TR)
[12]  arXiv:2405.00522 [pdf, other]
Title: DAM: A Universal Dual Attention Mechanism for Multimodal Timeseries Cryptocurrency Trend Forecasting
Authors: Yihang Fu, Mingyu Zhou, Luyao Zhang
Subjects: General Economics (econ.GN); Computational Engineering, Finance, and Science (cs.CE); Computation and Language (cs.CL); Cryptography and Security (cs.CR); Computational Finance (q-fin.CP)
[13]  arXiv:2405.00473 [pdf, other]
Title: Pricing and delta computation in jump-diffusion models with stochastic intensity by Malliavin calculus
Authors: Ayub Ahmadi, Mahdieh Tahmasebi
Comments: 5 fingures. 1 table
Subjects: Pricing of Securities (q-fin.PR); Probability (math.PR)
[14]  arXiv:2405.00357 [pdf, other]
Title: Optimal nonparametric estimation of the expected shortfall risk
Authors: Daniel Bartl, Stephan Eckstein
Subjects: Risk Management (q-fin.RM); Probability (math.PR); Statistics Theory (math.ST); Mathematical Finance (q-fin.MF)
[15]  arXiv:2405.00247 [pdf, other]
Title: The value of non-traditional credentials in the labor market
Authors: Susan Athey, Emil Palikot
Subjects: General Economics (econ.GN)
[16]  arXiv:2405.00235 [pdf, ps, other]
Title: Blockchain Price vs. Quantity Controls
Authors: Abdoulaye Ndiaye
Subjects: General Economics (econ.GN)
[17]  arXiv:2405.00234 [pdf, other]
Title: Conceiving Naturally After IVF: the effect of assisted reproduction on obstetric interventions and child health at birth
Authors: Fabio I. Martinenghi, Xian Zhang, Luk Rombauts, Georgina M. Chambers
Subjects: General Economics (econ.GN)
[18]  arXiv:2405.00566 (cross-list from cs.CE) [pdf, other]
Title: NumLLM: Numeric-Sensitive Large Language Model for Chinese Finance
Authors: Huan-Yi Su, Ke Wu, Yu-Hao Huang, Wu-Jun Li
Subjects: Computational Engineering, Finance, and Science (cs.CE); Computation and Language (cs.CL); General Finance (q-fin.GN)
[19]  arXiv:2405.00540 (cross-list from cs.CY) [pdf, other]
Title: Heat, Health, and Habitats: Analyzing the Intersecting Risks of Climate and Demographic Shifts in Austrian Districts
Authors: Hannah Schuster, Axel Polleres, Amin Anjomshoaa, Johannes Wachs
Subjects: Computers and Society (cs.CY); General Economics (econ.GN); Atmospheric and Oceanic Physics (physics.ao-ph)
[20]  arXiv:2405.00051 (cross-list from physics.soc-ph) [pdf, other]
Title: Arbitrage impact on the relationship between XRP price and correlation tensor spectra of transaction networks
Authors: Abhijit Chakraborty, Yuichi Ikeda
Comments: 12 pages, 8 figures
Subjects: Physics and Society (physics.soc-ph); General Finance (q-fin.GN); Statistical Finance (q-fin.ST)
[21]  arXiv:2405.00047 (cross-list from physics.soc-ph) [pdf, ps, other]
Title: The Quantum Dynamics of Cost Accounting: Investigating WIP via the Time-Independent Schrodinger Equation
Authors: Maksym Lazirko
Subjects: Physics and Society (physics.soc-ph); General Finance (q-fin.GN); Quantum Physics (quant-ph)
[22]  arXiv:2405.00046 (cross-list from physics.soc-ph) [pdf, ps, other]
Title: Synchronization in a market model with time delays
Authors: Ghassan Dibeh, Omar El Deeb
Comments: 12 pages, 4 figures
Subjects: Physics and Society (physics.soc-ph); Statistical Finance (q-fin.ST)

Wed, 1 May 2024

[23]  arXiv:2404.19699 [pdf, ps, other]
Title: Generative AI Usage and Academic Performance
Authors: Janik Ole Wecks, Johannes Voshaar, Benedikt Jost Plate, Jochen Zimmermann
Comments: This version: May 2024
Subjects: General Economics (econ.GN)
[24]  arXiv:2404.19590 [pdf, other]
Title: Internal migration after a uniform minimum wage introduction
Authors: Alexander Moog
Subjects: General Economics (econ.GN)
[25]  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)
[26]  arXiv:2404.18980 [pdf, other]
Title: The Impact of COVID-19 on Co-authorship and Economics Scholars' Productivity
Authors: Hanqiao Zhang, Joy D. Xiuyao Yang
Subjects: General Economics (econ.GN); Physics and Society (physics.soc-ph); Applications (stat.AP)
[27]  arXiv:2404.18979 [pdf, other]
Title: Analysis of Proximity Informed User Behavior in a Global Online Social Network
Authors: Nils Breitmar, Matthew C. Harding, Hanqiao Zhang
Subjects: General Economics (econ.GN); Applications (stat.AP)
[28]  arXiv:2404.19555 (cross-list from cs.CE) [pdf, other]
Title: Transforming Credit Guarantee Schemes with Distributed Ledger Technology
Authors: Sabrina Leo, Andrea Delle Foglie, Luca Barbaro, Edoardo Marangone, Ida Claudia Panetta, Claudio Di Ciccio
Subjects: Computational Engineering, Finance, and Science (cs.CE); General Economics (econ.GN)
[29]  arXiv:2404.19290 (cross-list from math.NA) [pdf, other]
Title: Efficient inverse $Z$-transform and Wiener-Hopf factorization
Authors: Svetlana Boyarchenko, Sergei Levendorskiĭ
Subjects: Numerical Analysis (math.NA); Computational Finance (q-fin.CP)
[30]  arXiv:2404.19109 (cross-list from cs.LG) [pdf, other]
Title: The Shape of Money Laundering: Subgraph Representation Learning on the Blockchain with the Elliptic2 Dataset
Authors: Claudio Bellei, Muhua Xu, Ross Phillips, Tom Robinson, Mark Weber, Tim Kaler, Charles E. Leiserson, Arvind, Jie Chen
Subjects: Machine Learning (cs.LG); General Finance (q-fin.GN)

Tue, 30 Apr 2024

[31]  arXiv:2404.18822 [pdf, other]
Title: A Multi-Period Black-Litterman Model
Authors: Anas Abdelhakmi, Andrew Lim
Subjects: Portfolio Management (q-fin.PM)
[32]  arXiv:2404.18761 [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)
[33]  arXiv:2404.18499 [pdf, other]
Title: Quantitative Tools for Time Series Analysis in Natural Language Processing: A Practitioners Guide
Authors: W. Benedikt Schmal
Subjects: General Economics (econ.GN)
[34]  arXiv:2404.18467 [pdf, other]
Title: Dominance between combinations of infinite-mean Pareto random variables
Authors: Yuyu Chen, Taizhong Hu, Ruodu Wang, Zhenfeng Zou
Subjects: Portfolio Management (q-fin.PM); Theoretical Economics (econ.TH)
[35]  arXiv:2404.18445 [pdf, other]
Title: Strategic Behavior and AI Training Data
Authors: Christian Peukert, Florian Abeillon, Jérémie Haese, Franziska Kaiser, Alexander Staub
Subjects: General Economics (econ.GN); Artificial Intelligence (cs.AI); Computers and Society (cs.CY); Machine Learning (cs.LG)
[36]  arXiv:2404.18200 [pdf, other]
Title: Mean Field Game of High-Frequency Anticipatory Trading
Authors: Xue Cheng, Meng Wang, Ziyi Xu
Subjects: Mathematical Finance (q-fin.MF)
[37]  arXiv:2404.18184 [pdf, ps, other]
Title: Application and practice of AI technology in quantitative investment
Authors: Shuochen Bi, Wenqing Bao, Jue Xiao, Jiangshan Wang, Tingting Deng
Comments: 9 pages,2 figures
Journal-ref: Information Systems and Economics (2024) Clausius Scientific Press, Canada , ISSN 2523-6407 Vol. 5 Num. 2
Subjects: Portfolio Management (q-fin.PM)
[38]  arXiv:2404.18183 [pdf, ps, other]
Title: Innovative Application of Artificial Intelligence Technology in Bank Credit Risk Management
Authors: Shuochen Bi, Wenqing Bao
Comments: 6 pages, 1 figure, 2 tables
Journal-ref: International Journal of Global Economics and Management ISSN: 3005-9690 (Print), ISSN: 3005-8090 (Online) | Volume 2, Number 3, Year 2024
Subjects: Risk Management (q-fin.RM); Artificial Intelligence (cs.AI)
[39]  arXiv:2404.18029 [pdf, other]
Title: Value-at-Risk- and Expectile-based Systemic Risk Measures and Second-order Asymptotics: With Applications to Diversification
Authors: Bingzhen Geng, Yang Liu, Yimiao Zhao
Comments: Keywords: Asymptotic approximation; Systemic risk; Expectile; Sarmanov distribution; Second-order regular variation; Diversification benefit
Subjects: Risk Management (q-fin.RM)
[40]  arXiv:2404.18017 [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)
[41]  arXiv:2404.18009 [pdf, other]
Title: Exit Spillovers of Foreign-invested Enterprises in Shenzhen's Electronics Manufacturing Industry
Authors: Hanqiao Zhang
Subjects: General Economics (econ.GN); Applications (stat.AP)
[42]  arXiv:2404.17713 [pdf, other]
Title: Revisiting the Resource Curse in the Age of Energy Transition: Cobalt Reserves and Conflict in Africa
Authors: Weihong Qi
Subjects: General Economics (econ.GN)
[43]  arXiv:2404.18470 (cross-list from cs.CE) [pdf, other]
Title: ECC Analyzer: Extract Trading Signal from Earnings Conference Calls using Large Language Model for Stock Performance Prediction
Authors: Yupeng Cao, Zhi Chen, Qingyun Pei, Prashant Kumar, K.P. Subbalakshmi, Papa Momar Ndiaye
Comments: 15 pages, 3 figures, 5 tables
Subjects: Computational Engineering, Finance, and Science (cs.CE); Artificial Intelligence (cs.AI); Computation and Language (cs.CL); Risk Management (q-fin.RM); Trading and Market Microstructure (q-fin.TR)
[44]  arXiv:2404.18148 (cross-list from cs.GT) [pdf, other]
Title: Decentralized Peer Review in Open Science: A Mechanism Proposal
Authors: Andreas Finke, Thomas Hensel
Comments: 14 pages, 1 figure
Subjects: Computer Science and Game Theory (cs.GT); Computers and Society (cs.CY); General Economics (econ.GN)
[45]  arXiv:2404.17915 (cross-list from econ.TH) [pdf, ps, other]
Title: Bertrand oligopoly in insurance markets with Value at Risk Constraints
Authors: Kolos Csaba Ágoston, Veronika Varga
Comments: 47 pages
Subjects: Theoretical Economics (econ.TH); Risk Management (q-fin.RM)
[46]  arXiv:2404.17227 (cross-list from econ.GN) [pdf, other]
Title: Trust Dynamics and Market Behavior in Cryptocurrency: A Comparative Study of Centralized and Decentralized Exchanges
Authors: Xintong Wu, Wanling Deng, Yuotng Quan, Luyao Zhang
Subjects: General Economics (econ.GN); Computational Engineering, Finance, and Science (cs.CE); Cryptography and Security (cs.CR); Computers and Society (cs.CY); Risk Management (q-fin.RM)

Mon, 29 Apr 2024 (showing first 2 of 6 entries)

[47]  arXiv:2404.17551 [pdf, ps, other]
Title: The Role of Marketing in Public Policy Decision Making: The Case of Fuel Subsidy Removal in Nigeria
Authors: Salome O. Ighomereho, Ifeoma E. Ezeabasili
Comments: 9 Pages
Journal-ref: IOSR Journal of Humanities and Social Science, 6(5): pp 7-15 (2013)
Subjects: General Economics (econ.GN)
[48]  arXiv:2404.17412 [pdf, ps, other]
Title: Characterizing Public Debt Cycles: Don't Ignore the Impact of Financial Cycles
Authors: Tianbao Zhou, Zhixin Liu, Yingying Xu
Subjects: General Economics (econ.GN)
[ total of 52 entries: 1-48 | 49-52 ]
[ showing 48 entries per page: fewer | more | all ]

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