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Quantitative Finance

Authors and titles for recent submissions, skipping first 48

[ total of 42 entries: 1-42 ]
[ showing up to 48 entries per page: fewer | more ]

Fri, 17 May 2024

[1]  arXiv:2405.10231 [pdf, other]
Title: Influencer Cartels
Authors: Marit Hinnosaar, Toomas Hinnosaar
Subjects: General Economics (econ.GN); Computers and Society (cs.CY); Machine Learning (cs.LG)
[2]  arXiv:2405.09984 [pdf, ps, other]
Title: Mode of sustainable economic development
Authors: N.S. Gonchar
Subjects: General Economics (econ.GN)
[3]  arXiv:2405.09929 [pdf, other]
Title: The $κ$-generalised Distribution for Stock Returns
Authors: Samuel Forbes
Subjects: Statistical Finance (q-fin.ST); Applications (stat.AP)
[4]  arXiv:2405.09766 [pdf, other]
Title: A note on continuity and consistency of measures of risk and variability
Authors: Niushan Gao, Foivos Xanthos
Subjects: Risk Management (q-fin.RM)
[5]  arXiv:2405.09764 [pdf, other]
Title: Clearing time randomization and transaction fees for auction market design
Authors: Thibaut Mastrolia, Tianrui Xu
Comments: 30 pages, 11 figures
Subjects: Trading and Market Microstructure (q-fin.TR); Optimization and Control (math.OC)
[6]  arXiv:2405.09747 [pdf, other]
Title: NIFTY Financial News Headlines Dataset
Authors: Raeid Saqur, Ken Kato, Nicholas Vinden, Frank Rudzicz
Subjects: Computational Finance (q-fin.CP); Machine Learning (cs.LG)

Thu, 16 May 2024

[7]  arXiv:2405.09519 [pdf, ps, other]
Title: Cost-Benefit Analysis using Modular Dynamic Fault Tree Analysis and Monte Carlo Simulations for Condition-based Maintenance of Unmanned Systems
Authors: Joseph M. Southgate, Katrina Groth, Peter Sandborn, Shapour Azarm
Comments: 18 pages, 9 figures, 4 tables
Subjects: Computational Finance (q-fin.CP)
[8]  arXiv:2405.09339 [pdf, other]
Title: Optimal information acquisition for eliminating estimation risk
Authors: Zongxia Liang, Qi Ye
Subjects: Mathematical Finance (q-fin.MF)
[9]  arXiv:2405.09161 [pdf, ps, other]
Title: Exploring the Potential of Large Language Models for Automation in Technical Customer Service
Authors: Jochen Wulf, Juerg Meierhofer
Journal-ref: Proceedings of the Spring Servitization Conference (SSC2024)
Subjects: General Economics (econ.GN)
[10]  arXiv:2405.09023 [pdf, other]
Title: The Rise of Recommerce: Ownership and Sustainability with Overlapping Generations
Authors: Rubing Li, Arun Sundararajan
Subjects: General Economics (econ.GN)
[11]  arXiv:2405.08822 [pdf, other]
Title: Despite Absolute Information Advantages, All Investors Incur Welfare Loss
Authors: Zongxia Liang, Qi Ye
Subjects: Mathematical Finance (q-fin.MF); Probability (math.PR)
[12]  arXiv:2405.09360 (cross-list from cs.LG) [pdf, other]
Title: The Unfairness of $\varepsilon$-Fairness
Authors: Tolulope Fadina, Thorsten Schmidt
Subjects: Machine Learning (cs.LG); Theoretical Economics (econ.TH); Mathematical Finance (q-fin.MF); Machine Learning (stat.ML)
[13]  arXiv:2405.09260 (cross-list from math.PR) [pdf, ps, other]
Title: Geometric BSDEs
Authors: Roger J. A. Laeven, Emanuela Rosazza Gianin, Marco Zullino
Subjects: Probability (math.PR); Risk Management (q-fin.RM)

Wed, 15 May 2024

[14]  arXiv:2405.08602 [pdf, ps, other]
Title: Optimizing Deep Reinforcement Learning for American Put Option Hedging
Authors: Reilly Pickard, F. Wredenhagen, Y. Lawryshyn
Subjects: Risk Management (q-fin.RM); Computational Engineering, Finance, and Science (cs.CE); Machine Learning (cs.LG)
[15]  arXiv:2405.08168 [pdf, ps, other]
Title: Rural Healthcare Access and Supply Constraints: A Causal Analysis
Authors: Vitor Melo, Liam Sigaud, Elijah Neilson, Markus Bjoerkheim
Subjects: General Economics (econ.GN)
[16]  arXiv:2405.08160 [pdf, ps, other]
Title: The Causal Effect of Repealing Certificate-of-Need Laws for Ambulatory Surgical Centers: Does Access to Medical Services Increase?
Authors: Thomas Stratmann, Markus Bjoerkheim, Christopher Koopman
Subjects: General Economics (econ.GN)
[17]  arXiv:2405.08159 [pdf, ps, other]
Title: Large increases in public R&D investment are needed to avoid declines of US agricultural productivity
Authors: Ariel Ortiz-Bobea, Robert G. Chambers, Yurou He, David B. Lobell
Comments: Main text: 19 pages, 4 figures. Supplementary material: 47 pages, 20 figures, 13 tables
Subjects: General Economics (econ.GN)
[18]  arXiv:2405.08101 [pdf, ps, other]
Title: Can machine learning unlock new insights into high-frequency trading?
Authors: G. Ibikunle, B. Moews, K. Rzayev
Comments: 56 pages, 4 figures, 8 tables
Subjects: Computational Finance (q-fin.CP); Machine Learning (cs.LG)
[19]  arXiv:2405.08089 [pdf, other]
Title: Comparative Study of Bitcoin Price Prediction
Authors: Ali Mohammadjafari
Subjects: Statistical Finance (q-fin.ST); Machine Learning (cs.LG)
[20]  arXiv:2405.08052 [pdf, ps, other]
Title: Trade Openness, Tariffs and Economic Growth: An Empirical Study from Countries of G-20
Authors: S M Toufiqul Huq Sowrov
Subjects: General Economics (econ.GN)
[21]  arXiv:2405.08045 [pdf, ps, other]
Title: Comparative analysis of neural network architectures for short-term FOREX forecasting
Authors: Theodoros Zafeiriou, Dimitris Kalles
Subjects: Mathematical Finance (q-fin.MF); Artificial Intelligence (cs.AI); Machine Learning (cs.LG); Neural and Evolutionary Computing (cs.NE)
[22]  arXiv:2405.08030 [pdf, other]
Title: Medical Research as a Productivity Indicator
Authors: Maya M. Durvasula, Sabri Eyuboglu, David M. Ritzwoller
Subjects: General Economics (econ.GN)
[23]  arXiv:2405.07998 [pdf, ps, other]
Title: How does ClinicalTrials.gov Impact Company Innovation?
Authors: Yazhou Niu
Subjects: General Economics (econ.GN)
[24]  arXiv:2405.08047 (cross-list from math.OC) [pdf, other]
Title: Autonomous Sparse Mean-CVaR Portfolio Optimization
Authors: Yizun Lin, Yangyu Zhang, Zhao-Rong Lai, Cheng Li
Comments: ICML 2024
Subjects: Optimization and Control (math.OC); Machine Learning (cs.LG); Portfolio Management (q-fin.PM)

Tue, 14 May 2024

[25]  arXiv:2405.07713 [pdf, ps, other]
Title: No-arbitrage conditions and pricing from discrete-time to continuous-time strategies
Authors: Dorsaf Cherif, Emmanuel Lepinette
Journal-ref: Annals of Finance (2023)
Subjects: Pricing of Securities (q-fin.PR); Probability (math.PR)
[26]  arXiv:2405.07549 [pdf, other]
Title: On Joint Marginal Expected Shortfall and Associated Contribution Risk Measures
Authors: Tong Pu, Yifei Zhang, Yiying Zhang
Subjects: Risk Management (q-fin.RM); Probability (math.PR); Applications (stat.AP)
[27]  arXiv:2405.07431 [pdf, other]
Title: Packing Peanuts: The Role Synthetic Data Can Play in Enhancing Conventional Economic Prediction Models
Authors: Vansh Murad Kalia
Subjects: General Economics (econ.GN)
[28]  arXiv:2405.07323 [pdf, other]
Title: Computational analysis of US Congressional speeches reveals a shift from evidence to intuition
Authors: Segun Taofeek Aroyehun, Almog Simchon, Fabio Carrella, Jana Lasser, Stephan Lewandowsky, David Garcia
Subjects: General Economics (econ.GN); Computers and Society (cs.CY)
[29]  arXiv:2405.07308 [pdf, ps, other]
Title: China's plug-in hybrid electric vehicles transition: an operational carbon perspective
Authors: Yanqiao Deng, Minda Ma
Comments: 43 pages, 7 figures
Subjects: General Economics (econ.GN)
[30]  arXiv:2405.07240 [pdf, ps, other]
Title: Fight like a Woman: Domestic Violence and Female Judges in Brazil
Authors: Helena Laneuville, Vitor Possebom
Subjects: General Economics (econ.GN)
[31]  arXiv:2405.07184 [pdf, other]
Title: Trade execution games in a Markovian environment
Authors: Masamitsu Ohnishi, Makoto Shimoshimizu
Subjects: Trading and Market Microstructure (q-fin.TR); Portfolio Management (q-fin.PM); Risk Management (q-fin.RM)
[32]  arXiv:2405.07103 [pdf, other]
Title: Breaking open the black box of the production function: an agent-based model accounting for time in production processes
Authors: Jack Birner, Marco Mazzoli, Eleonora Priori, Pietro Terna
Comments: 31 pages, 25 figures
Subjects: General Economics (econ.GN)
[33]  arXiv:2405.06808 [pdf, other]
Title: Large Language Model in Financial Regulatory Interpretation
Authors: Zhiyu Cao, Zachary Feinstein
Subjects: Risk Management (q-fin.RM); Artificial Intelligence (cs.AI); Computation and Language (cs.CL)
[34]  arXiv:2405.06774 [pdf, ps, other]
Title: Hedging American Put Options with Deep Reinforcement Learning
Authors: Reilly Pickard, Finn Wredenhagen, Julio DeJesus, Mario Schlener, Yuri Lawryshyn
Subjects: Risk Management (q-fin.RM); Machine Learning (cs.LG); Machine Learning (stat.ML)
[35]  arXiv:2405.06764 [pdf, ps, other]
Title: Coherent Risk Measure on $L^0$: NA Condition, Pricing and Dual Representation
Authors: Emmanuel Lepinette, Duc Thinh Vu
Journal-ref: IJTAF (2021)
Subjects: Risk Management (q-fin.RM); Probability (math.PR)
[36]  arXiv:2405.07292 (cross-list from econ.EM) [pdf, other]
Title: Kernel Three Pass Regression Filter
Authors: Rajveer Jat, Daanish Padha
Comments: Keywords: Forecasting, High dimension, Approximate factor model, Reproducing Kernel Hilbert space, Three-pass regression filter
Subjects: Econometrics (econ.EM); Statistical Finance (q-fin.ST); Methodology (stat.ME)
[37]  arXiv:2405.07071 (cross-list from physics.soc-ph) [pdf, other]
Title: Colocation of skill related suppliers -- Revisiting coagglomeration using firm-to-firm network data
Authors: Sándor Juhász, Zoltán Elekes, Virág Ilyés, Frank Neffke
Comments: Supplementary information included
Subjects: Physics and Society (physics.soc-ph); General Economics (econ.GN)
[38]  arXiv:2405.06854 (cross-list from math.OC) [pdf, other]
Title: Optimal Trade Characterizations in Multi-Asset Crypto-Financial Markets
Authors: C. Escudero, F. Lara, M. Sama
Subjects: Optimization and Control (math.OC); Mathematical Finance (q-fin.MF)

Mon, 13 May 2024

[39]  arXiv:2405.06570 [pdf, ps, other]
Title: The Impact of Financial Literacy, Social Capital, and Financial Technology on Financial Inclusion of Indonesian Students
Authors: Gen Norman Thomas, Siti Mutiara Ramadhanti Nur, Lely Indriaty
Comments: 8, 1, IRJEMS International Research Journal of Economics and Management Studies
Journal-ref: Gen Norman Thomas, Siti Mutiara Ramadhanti Nur, Lely Indriaty. "The Impact of Financial Literacy, Social Capital, and Financial Technology on Financial Inclusion of Indonesian Students" IRJEMS, Vol. 3, No. 4, pp. 308-315, 2024
Subjects: General Finance (q-fin.GN)
[40]  arXiv:2405.06476 [pdf, other]
Title: Is the panel fair? Evaluating panel compositions through network analysis. The case of research assessments in Italy
Authors: Alberto Baccini, Cristina Re
Comments: 45 pages, 8 figures
Subjects: General Economics (econ.GN); Social and Information Networks (cs.SI)
[41]  arXiv:2405.06235 [pdf, other]
Title: A Two-layer Stochastic Game Approach to Reinsurance Contracting and Competition
Authors: Zongxia Liang, Yi Xia, Bin Zou
Subjects: Mathematical Finance (q-fin.MF)
[42]  arXiv:2405.06193 [pdf, ps, other]
Title: New Business Model for Sustainable Retail Company Using Design Thinking Concept
Authors: Anton Kurniawan, Yos Sunitiyoso
Comments: 10 pages, 8 figures, Published with International Research Journal of Economics and Management Studies (IRJEMS)
Subjects: General Economics (econ.GN)
[ total of 42 entries: 1-42 ]
[ showing up to 48 entries per page: fewer | more ]

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