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Quantitative Finance

Authors and titles for recent submissions

[ total of 49 entries: 1-25 | 26-49 ]
[ showing 25 entries per page: fewer | more | all ]

Thu, 2 May 2024

[1]  arXiv:2405.00606 [pdf, ps, other]
Title: Some properties of Euler capital allocation
Authors: Lars Holden
Comments: 12 pages, 3 figures, 4 tables, 15 references
Subjects: Risk Management (q-fin.RM); Probability (math.PR); Portfolio Management (q-fin.PM)
[2]  arXiv:2405.00576 [pdf, other]
Title: Calibration of the rating transition model for high and low default portfolios
Authors: Jian He, Asma Khedher, Peter Spreij
Subjects: Risk Management (q-fin.RM); Methodology (stat.ME)
[3]  arXiv:2405.00537 [pdf, other]
Title: Quantifying Price Improvement in Order Flow Auctions
Authors: Brad Bachu, Xin Wan, Ciamac C. Moallemi
Subjects: Trading and Market Microstructure (q-fin.TR)
[4]  arXiv:2405.00522 [pdf, other]
Title: DAM: A Universal Dual Attention Mechanism for Multimodal Timeseries Cryptocurrency Trend Forecasting
Authors: Yihang Fu, Mingyu Zhou, Luyao Zhang
Subjects: General Economics (econ.GN)
[5]  arXiv:2405.00473 [pdf, other]
Title: Pricing and delta computation in jump-diffusion models with stochastic intensity by Malliavin calculus
Authors: Ayub Ahmadi, Mahdieh Tahmasebi
Comments: 5 fingures. 1 table
Subjects: Pricing of Securities (q-fin.PR); Probability (math.PR)
[6]  arXiv:2405.00357 [pdf, other]
Title: Optimal nonparametric estimation of the expected shortfall risk
Authors: Daniel Bartl, Stephan Eckstein
Subjects: Risk Management (q-fin.RM); Probability (math.PR); Statistics Theory (math.ST); Mathematical Finance (q-fin.MF)
[7]  arXiv:2405.00247 [pdf, other]
Title: The value of non-traditional credentials in the labor market
Authors: Susan Athey, Emil Palikot
Subjects: General Economics (econ.GN)
[8]  arXiv:2405.00235 [pdf, ps, other]
Title: Blockchain Price vs. Quantity Controls
Authors: Abdoulaye Ndiaye
Subjects: General Economics (econ.GN)
[9]  arXiv:2405.00234 [pdf, other]
Title: Conceiving Naturally After IVF: the effect of assisted reproduction on obstetric interventions and child health at birth
Authors: Fabio I. Martinenghi, Xian Zhang, Luk Rombauts, Georgina M. Chambers
Subjects: General Economics (econ.GN)
[10]  arXiv:2405.00566 (cross-list from cs.CE) [pdf, other]
Title: NumLLM: Numeric-Sensitive Large Language Model for Chinese Finance
Authors: Huan-Yi Su, Ke Wu, Yu-Hao Huang, Wu-Jun Li
Subjects: Computational Engineering, Finance, and Science (cs.CE); Computation and Language (cs.CL); General Finance (q-fin.GN)
[11]  arXiv:2405.00540 (cross-list from cs.CY) [pdf, other]
Title: Heat, Health, and Habitats: Analyzing the Intersecting Risks of Climate and Demographic Shifts in Austrian Districts
Authors: Hannah Schuster, Axel Polleres, Amin Anjomshoaa, Johannes Wachs
Subjects: Computers and Society (cs.CY); General Economics (econ.GN); Atmospheric and Oceanic Physics (physics.ao-ph)
[12]  arXiv:2405.00051 (cross-list from physics.soc-ph) [pdf, other]
Title: Arbitrage impact on the relationship between XRP price and correlation tensor spectra of transaction networks
Authors: Abhijit Chakraborty, Yuichi Ikeda
Comments: 12 pages, 8 figures
Subjects: Physics and Society (physics.soc-ph); General Finance (q-fin.GN); Statistical Finance (q-fin.ST)
[13]  arXiv:2405.00047 (cross-list from physics.soc-ph) [pdf, ps, other]
Title: The Quantum Dynamics of Cost Accounting: Investigating WIP via the Time-Independent Schrodinger Equation
Authors: Maksym Lazirko
Subjects: Physics and Society (physics.soc-ph); General Finance (q-fin.GN); Quantum Physics (quant-ph)
[14]  arXiv:2405.00046 (cross-list from physics.soc-ph) [pdf, ps, other]
Title: Synchronization in a market model with time delays
Authors: Ghassan Dibeh, Omar El Deeb
Comments: 12 pages, 4 figures
Subjects: Physics and Society (physics.soc-ph); Statistical Finance (q-fin.ST)

Wed, 1 May 2024

[15]  arXiv:2404.19699 [pdf, ps, other]
Title: Generative AI Usage and Academic Performance
Authors: Janik Ole Wecks, Johannes Voshaar, Benedikt Jost Plate, Jochen Zimmermann
Comments: This version: May 2024
Subjects: General Economics (econ.GN)
[16]  arXiv:2404.19590 [pdf, other]
Title: Internal migration after a uniform minimum wage introduction
Authors: Alexander Moog
Subjects: General Economics (econ.GN)
[17]  arXiv:2404.19324 [pdf, ps, other]
Title: The Effect of Data Types' on the Performance of Machine Learning Algorithms for Financial Prediction
Authors: Hulusi Mehmet Tanrikulu, Hakan Pabuccu
Comments: 33 Pages, 5 Figures
Subjects: Computational Finance (q-fin.CP)
[18]  arXiv:2404.18980 [pdf, other]
Title: The Impact of COVID-19 on Co-authorship and Economics Scholars' Productivity
Authors: Hanqiao Zhang, Joy D. Xiuyao Yang
Subjects: General Economics (econ.GN); Physics and Society (physics.soc-ph); Applications (stat.AP)
[19]  arXiv:2404.18979 [pdf, other]
Title: Analysis of Proximity Informed User Behavior in a Global Online Social Network
Authors: Nils Breitmar, Matthew C. Harding, Hanqiao Zhang
Subjects: General Economics (econ.GN); Applications (stat.AP)
[20]  arXiv:2404.19555 (cross-list from cs.CE) [pdf, other]
Title: Transforming Credit Guarantee Schemes with Distributed Ledger Technology
Authors: Sabrina Leo, Andrea Delle Foglie, Luca Barbaro, Edoardo Marangone, Ida Claudia Panetta, Claudio Di Ciccio
Subjects: Computational Engineering, Finance, and Science (cs.CE); General Economics (econ.GN)
[21]  arXiv:2404.19290 (cross-list from math.NA) [pdf, other]
Title: Efficient inverse $Z$-transform and Wiener-Hopf factorization
Authors: Svetlana Boyarchenko, Sergei Levendorskiĭ
Subjects: Numerical Analysis (math.NA); Computational Finance (q-fin.CP)
[22]  arXiv:2404.19109 (cross-list from cs.LG) [pdf, other]
Title: The Shape of Money Laundering: Subgraph Representation Learning on the Blockchain with the Elliptic2 Dataset
Authors: Claudio Bellei, Muhua Xu, Ross Phillips, Tom Robinson, Mark Weber, Tim Kaler, Charles E. Leiserson, Arvind, Jie Chen
Subjects: Machine Learning (cs.LG); General Finance (q-fin.GN)

Tue, 30 Apr 2024 (showing first 3 of 16 entries)

[23]  arXiv:2404.18822 [pdf, other]
Title: A Multi-Period Black-Litterman Model
Authors: Anas Abdelhakmi, Andrew Lim
Subjects: Portfolio Management (q-fin.PM)
[24]  arXiv:2404.18761 [pdf, other]
Title: A pure dual approach for hedging Bermudan options
Authors: Aurélien Alfonsi, Ahmed Kebaier, Jérôme Lelong
Subjects: Mathematical Finance (q-fin.MF); Probability (math.PR); Computational Finance (q-fin.CP)
[25]  arXiv:2404.18499 [pdf, other]
Title: Quantitative Tools for Time Series Analysis in Natural Language Processing: A Practitioners Guide
Authors: W. Benedikt Schmal
Subjects: General Economics (econ.GN)
[ total of 49 entries: 1-25 | 26-49 ]
[ showing 25 entries per page: fewer | more | all ]

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