Skip to main content
This website is in trial operation, support us!
We gratefully acknowledge support from all contributors.
Contribute Donate

Quantitative Finance

Authors and titles for July 2024

Total of 223 entries : 1-50 51-100 101-150 151-200 ... 201-223
Showing up to 50 entries per page: fewer | more | all
[1] arXiv:2407.00022 [cn-pdf, pdf, other]
Title: Entropy and Economics
Martin Pomares Calero
Comments: 10 pages, 5 figures, chapter of a book
Subjects: General Finance (q-fin.GN)
[2] arXiv:2407.00199 (cross-list from econ.GN) [cn-pdf, pdf, other]
Title: Individuals, Crowds, and the Network Dynamics of Belief Accuracy
Charlie Pilgrim, Joshua Becker
Subjects: General Economics (econ.GN)
[3] arXiv:2407.00751 (cross-list from econ.GN) [cn-pdf, pdf, other]
Title: Crosswashing in Sustainable Investing: Unveiling Strategic Practices Impacting ESG Scores
Bertrand Kian Hassani, Yacoub Bahini
Subjects: General Economics (econ.GN)
[4] arXiv:2407.00813 [cn-pdf, pdf, other]
Title: Liquidity Adjustment in Multivariate Volatility Modeling: Evidence from Portfolios of Cryptocurrencies and US Stocks
Qi Deng
Comments: 48 pages, 1 figure
Subjects: Statistical Finance (q-fin.ST) ; Portfolio Management (q-fin.PM)
[5] arXiv:2407.00887 [cn-pdf, pdf, other]
Title: Portfolio optimisation: bridging the gap between theory and practice
Cristiano Arbex Valle
Subjects: Portfolio Management (q-fin.PM) ; Optimization and Control (math.OC)
[6] arXiv:2407.01057 (cross-list from econ.GN) [cn-pdf, pdf, html, other]
Title: AI-powered Chatbots: Effective Communication Styles for Sustainable Development Goals
Ennio Bilancini, Leonardo Boncinelli, Eugenio Vicario
Subjects: General Economics (econ.GN)
[7] arXiv:2407.01364 (cross-list from econ.GN) [cn-pdf, pdf, other]
Title: Co-benefits of Agricultural Diversification and Technology for Food and Nutrition Security in China
Thomas Cherico Wanger, Estelle Raveloaritiana, Siyan Zeng, Haixiu Gao, Xueqing He, Yiwen Shao, Panlong Wu, Kris A.G. Wyckhuys, Wenwu Zhou, Yi Zou, Zengrong Zhu, Ling Li, Haiyan Cen, Yunhui Liu, Shenggen Fan
Subjects: General Economics (econ.GN)
[8] arXiv:2407.01532 [cn-pdf, pdf, other]
Title: Regulating Cryptocurrency and Decentralized Finance for an Inclusive Economy
Amrutha Muralidhar, Muralidhar Lakkanna
Comments: 5 pages, 1 figure, Presented (Best Paper) in International Conference on Flourishing Through Societal Change 2023, 2nd Dec 2023, CSP IISc, Bangalore, India
Subjects: General Finance (q-fin.GN)
[9] arXiv:2407.01533 (cross-list from econ.GN) [cn-pdf, pdf, other]
Title: Organizational transformation: The impact of servant leadership on work ethic culture with burnout as a mediating factor in the hospitality industry
Darul Wiyono, Rinaldi Tanjung, Hedi Setiadi, Sri Marini, Yayan Sugiarto
Subjects: General Economics (econ.GN)
[10] arXiv:2407.01539 [cn-pdf, pdf, other]
Title: Household Leverage Cycle Around the Great Recession
Bo Li
Comments: 76 pages, 8 figures. arXiv admin note: substantial text overlap with arXiv:2403.04104
Subjects: General Finance (q-fin.GN)
[11] arXiv:2407.01542 [cn-pdf, pdf, other]
Title: Benchmark-Neutral Pricing
Eckhard Platen
Subjects: Mathematical Finance (q-fin.MF)
[12] arXiv:2407.01550 [cn-pdf, pdf, other]
Title: Quantitative Investment Diversification Strategies via Various Risk Models
Maysam Khodayari Gharanchaei, Prabhu Prasad Panda, Xilin Chen
Journal-ref: Journal of Advancements in Applied Business Research, June 2024
Subjects: Portfolio Management (q-fin.PM) ; Optimization and Control (math.OC)
[13] arXiv:2407.01555 (cross-list from econ.GN) [cn-pdf, pdf, html, other]
Title: Unveiling Patterns in European Airbnb Prices: A Comprehensive Analytical Study Using Machine Learning Techniques
Trinath Sai Subhash Reddy Pittala, Uma Maheswara R Meleti, Hemanth Vasireddy
Subjects: General Economics (econ.GN)
[14] arXiv:2407.01564 (cross-list from econ.GN) [cn-pdf, pdf, other]
Title: Decarbonization analysis on residential end uses in the emerging economies
Ran Yan, Minda Ma
Comments: 7 pages, 5 figures. arXiv admin note: substantial text overlap with arXiv:2306.13858
Subjects: General Economics (econ.GN)
[15] arXiv:2407.01566 [cn-pdf, pdf, html, other]
Title: A Parametric Contextual Online Learning Theory of Brokerage
François Bachoc, Tommaso Cesari, Roberto Colomboni
Subjects: Computational Finance (q-fin.CP) ; Computer Science and Game Theory (cs.GT) ; Machine Learning (cs.LG) ; Machine Learning (stat.ML)
[16] arXiv:2407.01572 [cn-pdf, pdf, other]
Title: Exploring Sectoral Profitability in the Indian Stock Market Using Deep Learning
Jaydip Sen, Hetvi Waghela, Sneha Rakshit
Comments: This is the pre-print of the paper that has been accepted for publication in the Inderscience Journal "International Journal of Business Forecasting and Marketing Intelligence". The paper is 35 pages long, and it contains 37 figures and 20 tables. This is, however, not the final published version
Journal-ref: International Journal of Business Forecasting and Marketing Intelligence, 2024
Subjects: Computational Finance (q-fin.CP) ; Machine Learning (cs.LG) ; Portfolio Management (q-fin.PM)
[17] arXiv:2407.01577 [cn-pdf, pdf, html, other]
Title: MOT: A Mixture of Actors Reinforcement Learning Method by Optimal Transport for Algorithmic Trading
Xi Cheng, Jinghao Zhang, Yunan Zeng, Wenfang Xue
Comments: 13 pages, 5 figures, PAKDD2024 accepted
Subjects: Trading and Market Microstructure (q-fin.TR) ; Artificial Intelligence (cs.AI) ; Machine Learning (cs.LG)
[18] arXiv:2407.01818 [cn-pdf, pdf, html, other]
Title: Predicting public market behavior from private equity deals
Paolo Barucca, Flaviano Morone
Comments: 21 pages, 5 figures
Subjects: Computational Finance (q-fin.CP)
[19] arXiv:2407.02003 (cross-list from econ.GN) [cn-pdf, pdf, other]
Title: Policy Changes and Growth Slowdown: Assessing the Lost Decade of the Latin American Miracle
Emiliano Toni, Pablo Paniagua, Patricio Órdenes
Subjects: General Economics (econ.GN)
[20] arXiv:2407.02236 [cn-pdf, pdf, other]
Title: Indian Stock Market Prediction using Augmented Financial Intelligence ML
Anishka Chauhan, Pratham Mayur, Yeshwanth Sai Gokarakonda, Pooriya Jamie, Naman Mehrotra
Comments: Keywords: Machine Learning, Artificial Intelligence, LSTM, GRU, ARMA, CNN, NLP, ANN, SVM, BSE, NIFTY, MAE, MSE, BiLSTM . Published in SSRN Journal
Subjects: Trading and Market Microstructure (q-fin.TR) ; Artificial Intelligence (cs.AI) ; Computational Engineering, Finance, and Science (cs.CE) ; Machine Learning (stat.ML)
[21] arXiv:2407.02496 [cn-pdf, pdf, html, other]
Title: DeFi's Concentrated Liquidity From Scratch
Mark B. Richardson, Stefan Loesch
Comments: 85 pages, 346 equations, 55 figures, 1 table
Subjects: Mathematical Finance (q-fin.MF)
[22] arXiv:2407.02831 [cn-pdf, pdf, html, other]
Title: Robust optimal investment and consumption strategies with portfolio constraints and stochastic environment
Len Patrick Dominic M. Garces, Yang Shen
Comments: 30 pages, 6 figures (including sub-figures), 4 tables
Subjects: Portfolio Management (q-fin.PM) ; Optimization and Control (math.OC) ; Mathematical Finance (q-fin.MF)
[23] arXiv:2407.02901 [cn-pdf, pdf, html, other]
Title: Basket Options with Volatility Skew: Calibrating a Local Volatility Model by Sample Rearrangement
Nicola F. Zaugg, Lech A. Grzelak
Subjects: Computational Finance (q-fin.CP) ; Mathematical Finance (q-fin.MF)
[24] arXiv:2407.03285 [cn-pdf, pdf, html, other]
Title: The not-so-hidden risks of 'hidden-to-maturity' accounting: on depositor runs and bank resilience
Zachary Feinstein, Grzegorz Halaj, Andreas Sojmark
Subjects: Risk Management (q-fin.RM) ; Mathematical Finance (q-fin.MF)
[25] arXiv:2407.03431 [cn-pdf, pdf, html, other]
Title: Optimal hedging with variational preferences under convex risk measures
Marcelo Righi
Journal-ref: Quantitative Finance, 2024
Subjects: Mathematical Finance (q-fin.MF)
[26] arXiv:2407.03504 (cross-list from econ.GN) [cn-pdf, pdf, html, other]
Title: Prices and Concentration: A U-shape? Theory and Evidence from Renewables
Michele Fioretti, Junnan He, Jorge Tamayo
Subjects: General Economics (econ.GN)
[27] arXiv:2407.03517 (cross-list from econ.GN) [cn-pdf, pdf, html, other]
Title: The geographic flow of bank funding and access to credit: Branch networks, local synergies and competition
Victor Aguirregabiria, Robert Clark, Hui Wang
Comments: 75 pages
Subjects: General Economics (econ.GN)
[28] arXiv:2407.03527 (cross-list from econ.GN) [cn-pdf, pdf, html, other]
Title: Minute-by-Minute: Financial Markets' Reaction to the 2020 U.S. Election
Matthew DeHaven, Hannah Firestone, Chris Webster
Subjects: General Economics (econ.GN)
[29] arXiv:2407.03595 (cross-list from econ.GN) [cn-pdf, pdf, html, other]
Title: Machine Learning for Economic Forecasting: An Application to China's GDP Growth
Yanqing Yang, Xingcheng Xu, Jinfeng Ge, Yan Xu
Subjects: General Economics (econ.GN) ; Machine Learning (cs.LG)
[30] arXiv:2407.03760 [cn-pdf, pdf, html, other]
Title: GraphCNNpred: A stock market indices prediction using a Graph based deep learning system
Yuhui Jin
Comments: 10 pages.Version 2
Subjects: Computational Finance (q-fin.CP) ; Machine Learning (cs.LG)
[31] arXiv:2407.03781 [cn-pdf, pdf, html, other]
Title: Block-diagonal idiosyncratic covariance estimation in high-dimensional factor models for financial time series
Lucija Žignić, Stjepan Begušić, Zvonko Kostanjčar
Journal-ref: Journal of Computational Science, Volume 81, 2024, 102348
Subjects: Statistical Finance (q-fin.ST) ; Computational Engineering, Finance, and Science (cs.CE) ; Mathematical Finance (q-fin.MF) ; Methodology (stat.ME)
[32] arXiv:2407.03960 [cn-pdf, pdf, html, other]
Title: The second-order Esscher martingale densities for continuous-time market models
Tahir Choulli, Ella Elazkany, Michèle Vanmaele
Subjects: Mathematical Finance (q-fin.MF) ; Probability (math.PR)
[33] arXiv:2407.04088 (cross-list from econ.GN) [cn-pdf, pdf, html, other]
Title: Artificial Intelligence and Algorithmic Price Collusion in Two-sided Markets
Cristian Chica, Yinglong Guo, Gilad Lerman
Subjects: General Economics (econ.GN) ; Artificial Intelligence (cs.AI) ; Computer Science and Game Theory (cs.GT)
[34] arXiv:2407.04227 (cross-list from econ.GN) [cn-pdf, pdf, html, other]
Title: Computationally Efficient Methods for Solving Discrete-time Dynamic models with Continuous Actions
Takeshi Fukasawa
Subjects: General Economics (econ.GN)
[35] arXiv:2407.04500 [cn-pdf, pdf, html, other]
Title: Longitudinal market structure detection using a dynamic modularity-spectral algorithm
Philipp Wirth, Francesca Medda, Thomas Schröder
Subjects: Portfolio Management (q-fin.PM) ; Statistical Finance (q-fin.ST)
[36] arXiv:2407.04510 [cn-pdf, pdf, html, other]
Title: Unwinding Toxic Flow with Partial Information
Alexander Barzykin, Robert Boyce, Eyal Neuman
Comments: 52 pages, 10 figures
Subjects: Trading and Market Microstructure (q-fin.TR) ; Mathematical Finance (q-fin.MF)
[37] arXiv:2407.04520 [cn-pdf, pdf, html, other]
Title: Modelling Uncertain Volatility Using Quantum Stochastic Calculus: Unitary vs Non-Unitary Time Evolution
Will Hicks
Comments: 18 pages, 7 figures
Subjects: Mathematical Finance (q-fin.MF)
[38] arXiv:2407.04860 [cn-pdf, pdf, html, other]
Title: Kullback-Leibler Barycentre of Stochastic Processes
Sebastian Jaimungal, Silvana M. Pesenti
Subjects: Mathematical Finance (q-fin.MF) ; Probability (math.PR) ; Risk Management (q-fin.RM) ; Machine Learning (stat.ML)
[39] arXiv:2407.05142 [cn-pdf, pdf, html, other]
Title: Subleading correction to the Asian options volatility in the Black-Scholes model
Dan Pirjol
Comments: 17 pages, 5 figures. Expanded version of the published paper, including also the convexity of the subleading Asian volatility. v2: fixed a typo in the convexity result. v3: fixed typos in several equations and corrected one numerical value in Table 1
Journal-ref: IJTAF vol 26, no. 2-3, 2350005, 2023
Subjects: Mathematical Finance (q-fin.MF) ; Probability (math.PR)
[40] arXiv:2407.05146 [cn-pdf, pdf, html, other]
Title: Unified Approach for Hedging Impermanent Loss of Liquidity Provision
Alexander Lipton, Vladimir Lucic, Artur Sepp
Comments: 34 pages, 8 figures
Subjects: Mathematical Finance (q-fin.MF) ; Trading and Market Microstructure (q-fin.TR)
[41] arXiv:2407.05866 [cn-pdf, pdf, html, other]
Title: Volatility modeling in a Markovian environment: Two Ornstein-Uhlenbeck-related approaches
Anita Behme
Comments: 2 figures
Subjects: Pricing of Securities (q-fin.PR) ; Probability (math.PR)
[42] arXiv:2407.05912 [cn-pdf, pdf, other]
Title: Constructing an Investment Fund through Stock Clustering and Integer Programming
Maysam Khodayari Gharanchaei, Prabhu Prasad Panda
Journal-ref: Journal of Advancements in Applied Business Research, June 2024
Subjects: Portfolio Management (q-fin.PM) ; Optimization and Control (math.OC)
[43] arXiv:2407.05933 (cross-list from econ.GN) [cn-pdf, pdf, other]
Title: Estimation of tail risk measures in finance: Approaches to extreme value mixture modeling
Yujuan Qiu
Comments: Master's Diss. Johns Hopkins University, 2019
Subjects: General Economics (econ.GN) ; Statistical Finance (q-fin.ST)
[44] arXiv:2407.05974 (cross-list from econ.GN) [cn-pdf, pdf, other]
Title: 45 Years of Publications in Energy Economics: Evolution and Thematic Trends
Maria Laura Victoria Marques, Ronaldo Seroa da Motta, Daniel de Abreu Pereira Uhr, Julia Ziero Uhr
Comments: Bibliometric Analysis
Subjects: General Economics (econ.GN)
[45] arXiv:2407.06248 [cn-pdf, pdf, other]
Title: Auction theory and demography
O.A. Malafeyev, I.E.Khomenko
Subjects: General Finance (q-fin.GN)
[46] arXiv:2407.06495 (cross-list from econ.GN) [cn-pdf, pdf, html, other]
Title: Impact Evaluation on the European Privacy Laws governing generative-AI models -- Evidence in Relation between Internet Censorship and the Ban of ChatGPT in Italy
Tatsuru Kikuchi
Comments: 14 pages, 5 figures
Subjects: General Economics (econ.GN) ; Applications (stat.AP)
[47] arXiv:2407.06619 [cn-pdf, pdf, html, other]
Title: CAESar: Conditional Autoregressive Expected Shortfall
Federico Gatta, Fabrizio Lillo, Piero Mazzarisi
Subjects: Risk Management (q-fin.RM)
[48] arXiv:2407.06695 (cross-list from econ.GN) [cn-pdf, pdf, html, other]
Title: Gentrification, Mobility, and Consumption
Giacomo De Giorgi, Enrico Moretti, Harrison Wheeler
Subjects: General Economics (econ.GN)
[49] arXiv:2407.06745 [cn-pdf, pdf, html, other]
Title: Stochastic Approaches to Asset Price Analysis
Michael Sekatchev, Zhengxiang Zhou
Comments: 30 pages, 12 figures
Subjects: Statistical Finance (q-fin.ST) ; Computational Finance (q-fin.CP)
[50] arXiv:2407.06808 (cross-list from econ.GN) [cn-pdf, pdf, html, other]
Title: Credit and Voting
Eleonora Brandimarti, Giacomo De Giorgi, Jeremy Laurent-Lucchetti
Subjects: General Economics (econ.GN)
Total of 223 entries : 1-50 51-100 101-150 151-200 ... 201-223
Showing up to 50 entries per page: fewer | more | all