Nonlinear price impact from linear models. (arXiv:1708.02411v1 [q-fin.TR])
The impact of trades on asset prices is a crucial aspect of market dynamics for academics, regulators and practitioners alike. Recently, universal and highly nonlinear master curves were observed for...
View ArticleDerivative-Based Optimization with a Non-Smooth Simulated Criterion....
Indirect inference requires simulating realizations of endogenous variables from the model under study. When the endogenous variables are discontinuous functions of the model parameters, the resulting...
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The Crisis at the Tipping Point
Photo Credit: Fabio Tinelli Roncalli || Alas, there were so many signs that the avalanche was coming…read more...
View ArticleSequential testing for structural stability in approximate factor models....
We develop a monitoring procedure to detect a change in a large approximate factor model. Our statistics are based on a well-known property of the $% \left( r+1\right) $-th eigenvalue of the sample...
View ArticleOrder Flows and Limit Order Book Resiliency on the Meso-Scale....
We investigate the behavior of limit order books on the meso-scale motivated by order execution scheduling algorithms. To do so we carry out empirical analysis of the order flows from market and limit...
View ArticleRisk Constrained Trading Strategies for Stochastic Generation with a...
Due to the limited predictability of wind power and other stochastic generation, trading this energy in competitive electricity markets is challenging. This paper derives revenue-maximising and...
View ArticleExact probability distribution function for the volatility of cumulative...
In this paper we study the volatility and its probability distribution function for the cumulative production based on the experience curve hypothesis. This work presents a generalization of the study...
View ArticleInside Real Estate: Buy, Sell and Profit in any Property Market
Inside Real Estate is a down-to-earth consumer guide for anyone navigating the property market in the digital age. Written by industry veteran Peter O'Malley, this book exposes the truth about modern...
View ArticleWhy the Scariest Nuclear Threat May Be Coming from Inside the White House
Terrifying long read about the current state of play at the US Dept of Energy. https://t.co/B9mczrc3ej â moneyscience (@moneyscience) August 10, 2017
View ArticleCFTC Staff Grants Relief to Market Participants from Certain Position...
The U.S. Commodity Futures Trading Commissionâs (CFTC) Division of Market Oversight (DMO) today granted relief to market participants in complying with certain position aggregation requirements. This...
View ArticleConditional-Mean Hedging Under Transaction Costs in Gaussian Models....
We consider so-called regular invertible Gaussian Volterra processes and derive a formula for their prediction laws. Examples of such processes include the fractional Brownian motions and the mixed...
View ArticleSure profits via flash strategies and the impossibility of predictable jumps....
In an arbitrage-free financial market, asset prices should not exhibit jumps of a predictable magnitude at predictable times. We provide a rigorous formulation of this result in a fully general...
View ArticleDecoding Stock Market with Quant Alphas. (arXiv:1708.02984v1 [q-fin.PM])
We give an explicit algorithm and source code for extracting expected returns for stocks from expected returns for alphas. Our algorithm altogether bypasses combining alphas with weights into "alpha...
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Pricing compound and extendible options under mixed fractional Brownian...
This study deals with the problem of pricing compound options when the underlying asset follows a mixed fractional Brownian motion with jumps. An analytic formula for compound options is derived under...
View ArticleGeneralizations of Szpilrajn's Theorem in economic and game theories....
Szpilrajn's Lemma entails that each partial order extends to a linear order. Dushnik and Miller use Szpilrajn's Lemma to show that each partial order has a relizer. Since then, many authors utilize...
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