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Quantitative Finance

Authors and titles for recent submissions, skipping first 10

[ total of 38 entries: 1-10 | 11-20 | 21-30 | 31-38 ]
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Tue, 21 May 2024 (continued, showing last 5 of 9 entries)

[11]  arXiv:2405.11444 [pdf, other]
Title: Adaptive Optimal Market Making Strategies with Inventory Liquidation Cos
Authors: Jonathan Chávez-Casillas, José E. Figueroa-López, Chuyi Yu, Yi Zhang
Comments: A preprint of this paper was distributed under the title of "Market Making with Stochastic Liquidity Demand: Simultaneous Order Arrival and Price Change Forecasts". The present paper extends the results in the referred preprint, which will remain as an unpublished manuscript
Subjects: Trading and Market Microstructure (q-fin.TR)
[12]  arXiv:2405.11392 [pdf, ps, other]
Title: Deep Penalty Methods: A Class of Deep Learning Algorithms for Solving High Dimensional Optimal Stopping Problems
Authors: Yunfei Peng, Pengyu Wei, Wei Wei
Subjects: Mathematical Finance (q-fin.MF); Computational Finance (q-fin.CP)
[13]  arXiv:2405.11329 [pdf, ps, other]
Title: Risk-neutral valuation of options under arithmetic Brownian motions
Authors: Qiang Liu, Yuhan Jiao, Shuxin Guo
Comments: 19 pages, 4 figures
Subjects: Pricing of Securities (q-fin.PR); Mathematical Finance (q-fin.MF); Risk Management (q-fin.RM)
[14]  arXiv:2405.11730 (cross-list from cs.LG) [pdf, ps, other]
Title: Degree of Irrationality: Sentiment and Implied Volatility Surface
Authors: Jiahao Weng, Yan Xie
Comments: 21 pages, 8 figures
Subjects: Machine Learning (cs.LG); General Finance (q-fin.GN)
[15]  arXiv:2405.11431 (cross-list from cs.LG) [pdf, other]
Title: Review of deep learning models for crypto price prediction: implementation and evaluation
Authors: Jingyang Wu, Xinyi Zhang, Fangyixuan Huang, Haochen Zhou, Rohtiash Chandra
Subjects: Machine Learning (cs.LG); Statistical Finance (q-fin.ST); Machine Learning (stat.ML)

Mon, 20 May 2024 (showing first 5 of 10 entries)

[16]  arXiv:2405.10920 [pdf, ps, other]
Title: Data-generating process and time-series asset pricing
Authors: Shuxin Guo, Qiang Liu
Comments: 43 pages, 9 tables, 1 figure
Subjects: General Finance (q-fin.GN); Portfolio Management (q-fin.PM); Risk Management (q-fin.RM)
[17]  arXiv:2405.10917 [pdf, ps, other]
Title: Is the annualized compounded return of Medallion over 35%?
Authors: Shuxin Guo, Qiang Liu
Comments: 9 pages, 2 tables
Subjects: Portfolio Management (q-fin.PM); General Finance (q-fin.GN); Risk Management (q-fin.RM)
[18]  arXiv:2405.10884 [pdf, ps, other]
Title: Road to perdition? The effect of illicit drug use on labour market outcomes of prime-age men in Mexico
Authors: José-Ignacio Antón, Juan Ponce, Rafael Muñoz de Bustillo
Subjects: General Economics (econ.GN)
[19]  arXiv:2405.10851 [pdf, ps, other]
Title: Bottom-up approach to assess carbon emissions of battery electric vehicle operations in China
Authors: Hong Yuan, Minda Ma
Comments: 6 pages, 6 figures
Subjects: General Economics (econ.GN)
[20]  arXiv:2405.10762 [pdf, ps, other]
Title: Research on Credit Risk Early Warning Model of Commercial Banks Based on Neural Network Algorithm
Authors: Yu Cheng, Qin Yang, Liyang Wang, Ao Xiang, Jingyu Zhang
Subjects: Risk Management (q-fin.RM); Artificial Intelligence (cs.AI); Machine Learning (cs.LG)
[ total of 38 entries: 1-10 | 11-20 | 21-30 | 31-38 ]
[ showing 10 entries per page: fewer | more | all ]

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