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Quantitative Finance

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Total of 41 entries : 1-25 26-41
Showing up to 25 entries per page: fewer | more | all

Fri, 21 Jun 2024 (showing 15 of 15 entries )

[1] arXiv:2406.14382 [pdf, html, other]
Title: Identification of fiscal SVAR-IVs in small open economies
Henri Keränen, Sakari Lähdemäki
Subjects: General Economics (econ.GN)
[2] arXiv:2406.14238 [pdf, other]
Title: The Economics of Coal Phaseouts: Auctions as a Novel Policy Instrument for the Energy Transition
Sugandha Srivastav, Michael Zaehringer
Journal-ref: Climate Policy, pp.1-12 (2024)
Subjects: General Economics (econ.GN)
[3] arXiv:2406.13563 [pdf, other]
Title: Serotonin as a Creativity Pump
Tariq Khan
Comments: 18 pages, 17 figures
Subjects: General Economics (econ.GN)
[4] arXiv:2406.13539 [pdf, html, other]
Title: Robust Lambda-quantiles and extreme probabilities
Xia Han, Peng Liu
Comments: 30 pages
Subjects: Mathematical Finance (q-fin.MF)
[5] arXiv:2406.13508 [pdf, html, other]
Title: Pricing VIX options under the Heston-Hawkes stochastic volatility model
Oriol Zamora Font
Comments: 28 pages
Subjects: Mathematical Finance (q-fin.MF)
[6] arXiv:2406.13486 [pdf, html, other]
Title: Mean-Variance Portfolio Selection in Long-Term Investments with Unknown Distribution: Online Estimation, Risk Aversion under Ambiguity, and Universality of Algorithms
Duy Khanh Lam
Comments: 21 pages, working paper, first draft version (may contain errors)
Subjects: Mathematical Finance (q-fin.MF); Machine Learning (cs.LG); Probability (math.PR); Portfolio Management (q-fin.PM)
[7] arXiv:2406.12999 [pdf, html, other]
Title: Robust convex risk measures
Marcelo Righi
Subjects: Risk Management (q-fin.RM); Mathematical Finance (q-fin.MF)
[8] arXiv:2406.12995 [pdf, other]
Title: Essays on Responsible and Sustainable Finance
Baridhi Malakar
Comments: PhD thesis
Subjects: General Finance (q-fin.GN)
[9] arXiv:2406.12983 [pdf, other]
Title: Reinforcement Learning for Corporate Bond Trading: A Sell Side Perspective
Samuel Atkins, Ali Fathi, Sammy Assefa
Comments: Working Paper
Subjects: Computational Finance (q-fin.CP); Machine Learning (cs.LG); Optimization and Control (math.OC)
[10] arXiv:2406.14537 (cross-list from cs.LG) [pdf, html, other]
Title: MacroHFT: Memory Augmented Context-aware Reinforcement Learning On High Frequency Trading
Chuqiao Zong, Chaojie Wang, Molei Qin, Lei Feng, Xinrun Wang, Bo An
Comments: Accepted to KDD 2024
Subjects: Machine Learning (cs.LG); Trading and Market Microstructure (q-fin.TR)
[11] arXiv:2406.14074 (cross-list from math.PR) [pdf, html, other]
Title: Strong existence and uniqueness of a calibrated local stochastic volatility model
Scander Mustapha
Subjects: Probability (math.PR); Analysis of PDEs (math.AP); Mathematical Finance (q-fin.MF)
[12] arXiv:2406.13794 (cross-list from eess.SY) [pdf, html, other]
Title: Adaptive Curves for Optimally Efficient Market Making
Viraj Nadkarni, Sanjeev Kulkarni, Pramod Viswanath
Subjects: Systems and Control (eess.SY); Computational Engineering, Finance, and Science (cs.CE); Trading and Market Microstructure (q-fin.TR)
[13] arXiv:2406.13789 (cross-list from physics.soc-ph) [pdf, html, other]
Title: Death, Taxes, and Inequality. Can a Minimal Model Explain Real Economic Inequality?
John C. Stevenson
Comments: 16 pages, 6 figures, 1 table, 1 algorithm table
Subjects: Physics and Society (physics.soc-ph); Computational Finance (q-fin.CP)
[14] arXiv:2406.13726 (cross-list from math.OC) [pdf, html, other]
Title: Global Solutions to Master Equations for Continuous Time Heterogeneous Agent Macroeconomic Models
Zhouzhou Gu, Mathieu Laurière, Sebastian Merkel, Jonathan Payne
Subjects: Optimization and Control (math.OC); Machine Learning (cs.LG); General Economics (econ.GN)
[15] arXiv:2406.13166 (cross-list from cs.LG) [pdf, other]
Title: Enhancing supply chain security with automated machine learning
Haibo Wang, Lutfu S.Sua, Bahram Alidaee
Comments: 22 pages
Subjects: Machine Learning (cs.LG); General Economics (econ.GN); Optimization and Control (math.OC)

Wed, 19 Jun 2024 (showing 8 of 8 entries )

[16] arXiv:2406.12417 [pdf, html, other]
Title: Role of fee choice in revenue generation of AMMs: A quantitative study
Abe Alexander, Jesse Moestaredjo, Mart Heuvelmans, Lars Fritz
Subjects: Statistical Finance (q-fin.ST); Computational Finance (q-fin.CP)
[17] arXiv:2406.12305 [pdf, html, other]
Title: Robust dividend policy: Equivalence of Epstein-Zin and Maenhout preferences
Kexin Chen, Kyunghyun Park, Hoi Ying Wong
Subjects: Mathematical Finance (q-fin.MF); Optimization and Control (math.OC); Probability (math.PR); General Finance (q-fin.GN)
[18] arXiv:2406.12098 [pdf, html, other]
Title: Circular transformation of the European steel industry renders scrap metal a strategic resource
Peter Klimek, Maximilian Hess, Markus Gerschberger, Stefan Thurner
Subjects: Trading and Market Microstructure (q-fin.TR); Physics and Society (physics.soc-ph)
[19] arXiv:2406.11913 [pdf, other]
Title: Big data in economics
Bogdan Oancea
Comments: Knowledge for the market use, Conference Proceedings, 2018, Olomouc, Czech Republic
Subjects: General Economics (econ.GN)
[20] arXiv:2406.11908 [pdf, other]
Title: Research on Trends in Illegal Wildlife Trade based on Comprehensive Growth Dynamic Model
Run-Xuan Tang
Comments: 7 pages, 2 figures
Subjects: General Economics (econ.GN)
[21] arXiv:2406.11903 [pdf, html, other]
Title: A Survey of Large Language Models for Financial Applications: Progress, Prospects and Challenges
Yuqi Nie, Yaxuan Kong, Xiaowen Dong, John M. Mulvey, H. Vincent Poor, Qingsong Wen, Stefan Zohren
Subjects: General Finance (q-fin.GN); Artificial Intelligence (cs.AI); Computational Finance (q-fin.CP)
[22] arXiv:2406.12445 (cross-list from cs.CY) [pdf, other]
Title: DAOs' Business Value from an Open Systems Perspective: A Best-Fit Framework Synthesis
Lukas Küng, George M. Giaglis
Subjects: Computers and Society (cs.CY); General Economics (econ.GN)
[23] arXiv:2406.11886 (cross-list from cs.LG) [pdf, html, other]
Title: Financial Assets Dependency Prediction Utilizing Spatiotemporal Patterns
Haoren Zhu, Pengfei Zhao, Wilfred Siu Hung NG, Dik Lun Lee
Subjects: Machine Learning (cs.LG); Artificial Intelligence (cs.AI); Computational Engineering, Finance, and Science (cs.CE); Computational Finance (q-fin.CP)

Tue, 18 Jun 2024 (showing first 2 of 7 entries )

[24] arXiv:2406.11520 [pdf, html, other]
Title: Operator Deep Smoothing for Implied Volatility
Lukas Gonon, Antoine Jacquier, Ruben Wiedemann
Subjects: Computational Finance (q-fin.CP)
[25] arXiv:2406.10978 [pdf, html, other]
Title: Local wealth condensation for yard-sale models with wealth-dependent biases
Christoph Börgers, Claude Greengard
Comments: 8 pages, 1 figure
Subjects: Mathematical Finance (q-fin.MF); Probability (math.PR); Physics and Society (physics.soc-ph)
Total of 41 entries : 1-25 26-41
Showing up to 25 entries per page: fewer | more | all