A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.
Introduces an asymmetric model for measuring market risk.
Machine learning improves beta forecasts, enhancing equity valuation and portfolio performance.
Local asymptotic minimax risk bounds in a locally asymptotically mixture of normal family of distributions have been investigated under asymmetric loss functions and the asymptotic distribution of the optimal estimator that attains the bound has been obtained.
This paper analyzes ETFs with Taiwan exposure, finding heavy tails and asymmetric volatility.
Innovative extensions to option pricing models using asymmetric Brownian motion and random walk approaches.
New method uses asymmetric Tsallis relative entropy for better risk assessment in financial portfolios.
ADGAN improves risk tolerance prediction by aligning cross-domain data.
Optimizes risk assessment tools using mixed-integer programming.
Paper proposes GAS-ALD model for financial risk prediction.
We extend the theory of asymmetric information in mispricing models for stocks following geometric Brownian motion to constant relative risk averse investors. Mispricing follows a continuous mean--reverting Ornstein--Uhlenbeck process. Optimal portfolios and maximum expected log--linear utilities from terminal wealth f…
Novel model improves clinical risk prediction by transferring knowledge between tasks over time.
Optimal insurance contracts are designed to screen risk preferences and risk types under asymmetric information.
The paper develops a new framework for managing asymmetric volatility.
In this paper, we test a partially segmented ICAPM for two developed markets, two emerging markets and World market, using an asymmetric extension of the multivariate GARCH process of De Santis and Gerard (1997,1998). We find that this asymmetric process provides a significantly better fit of the data than a standard s…
The importance of collateralization through the change of funding cost is now well recognized among practitioners. In this article, we have extended the previous studies of collateralized derivative pricing to more generic situation, that is asymmetric and imperfect collateralization with the associated counter party c…
This paper develops a new methodology for studying continuous-time Nash equilibrium in a financial market with asymmetrically informed agents. This approach allows us to lift the restriction of risk neutrality imposed on market makers by the current literature. It turns out that, when the market makers are risk averse,…
This paper introduces forward-looking measures of the network connectedness of fears in the financial system, arising due to the good and bad beliefs of market participants about uncertainty that spreads unequally across a network of banks. We argue that this asymmetric network structure extracted from call and put tra…
New guarantees for asymmetric sketching in compressive learning.
We study cascades on a two-layer multiplex network, with asymmetric feedback that depends on the coupling strength between the layers. Based on an analytical branching process approximation, we calculate the systemic risk measured by the final fraction of failed nodes on a reference layer. The results are compared with…
Bottlenecks of binary classification from positive and unlabeled data (PU classification) are the requirements that given unlabeled patterns are drawn from the test marginal distribution, and the penalty of the false positive error is identical to the false negative error. However, such requirements are often not fulfi…
Based on a faithful representation of the heavy tail multivariate distribution of asset returns introduced previously (Sornette et al., 1998, 1999) that we extend to the case of asymmetric return distributions, we generalize the return-risk efficient frontier concept to incorporate the dimensions of large risks embedde…
We examine the efficiency of the Asymmetric Power ARCH (APARCH) model in the case where the residuals follow the standardized Pearson type IV distribution. The model is tested with a variety of loss functions and the efficiency is examined via application of several statistical tests and risk measures. The results indi…
Voluntary insurance contracts constitute a puzzle because they increase the expectation value of one party's wealth, whereas both parties must sign for such contracts to exist. Classically, the puzzle is resolved by introducing non-linear utility functions, which encode asymmetric risk preferences; or by assuming the p…
Value-at-Risk (VaR) and Expected Shortfall (ES) are widely used in the financial sector to measure the market risk and manage the extreme market movement. The recent link between the quantile score function and the Asymmetric Laplace density has led to a flexible likelihood-based framework for joint modelling of VaR an…
This note explores the mathematical theory to solve modern gamblers ruin problems. We establish a ruin framework and solve for the probability of bankruptcy. We also show how this relates to the expected time to bankruptcy and review the risk neutral probabilities associated an adjustment to asymmetrical views.
We present extensive evidence that ``risk premium'' is strongly correlated with tail-risk skewness but very little with volatility. We introduce a new, intuitive definition of skewness and elicit an approximately linear relation between the Sharpe ratio of various risk premium strategies (Equity, Fama-French, FX Carry,…
Study dynamic equilibrium with insider and general uninformed agent preferences.
Proposes a new portfolio optimization method considering reward, dispersion, and asymmetry.
We present a constructive and self-contained approach to data driven general partition-of-unity copulas that were recently introduced in the literature. In particular, we consider Bernstein-, negative binomial and Poisson copulas and present a solution to the problem of fitting such copulas to highly asymmetric data.
The paper tests if optimal hedge ratios for Bitcoin are position-dependent.
Improved stochastic clocks for financial models without increasing trades.
Model assesses systemic risk in crude oil and gasoline futures markets.
Analyzes valuation of derivative claims with asymmetric funding costs and WWR.
We present a constructive and self-contained approach to data driven infinite partition-of-unity copulas that were recently introduced in the literature. In particular, we consider negative binomial and Poisson copulas and present a solution to the problem of fitting such copulas to highly asymmetric data in arbitrary …
The study improves VaR forecast accuracy by modeling conditional quantile dynamics.
Extends ASRF model for green and brown loans, accounting for systematic and idiosyncratic risks.
Study assesses drought and late-frost risks in Bavaria using vine copulas.
The classical reduced-form and filtration expansion framework in credit risk is extended to the case of multiple, non-ordered defaults, assuming that conditional densities of the default times exist. Intensities and pricing formulas are derived, revealing how information driven default contagion arises in these models.…
In this work we will develop a new approach to solve the non repayment problem in microfinance due to the problem of asymmetric information. This approach is based on modeling and simulation of ordinary differential systems where time remains a primordial component, they thus enable microfinance institutions to manage …
We prove that the Omega measure, which considers all moments when assessing portfolio performance, is equivalent to the widely used Sharpe ratio under jointly elliptic distributions of returns. Portfolio optimization of the Sharpe ratio is then explored, with an active-set algorithm presented for markets prohibiting sh…
We demonstrate both analytically and numerically that the existing methods for measuring tail dependence in copulas may sometimes underestimate the extent of extreme co-movements of dependent risks and, therefore, may not always comply with the new paradigm of prudent risk management. This phenomenon holds in the conte…
Extended PELCoV for bivariate Student-t copulas to monitor foreign exchange risk.
Study of geometric analysis on asymmetric metric spaces, including heat flow and Sobolev spaces.
This study improves tail risk forecasting by integrating overnight information into semi-parametric models.
We study the pricing of credit derivatives with asymmetric information. The managers have complete information on the value process of the firm and on the default threshold, while the investors on the market have only partial observations, especially about the default threshold. Different information structures are dis…
We generalise the description of the dynamics of the order book of financial markets in terms of a Brownian particle embedded in a fluid of incoming, exiting and annihilating particles by presenting a model of the velocity on each side (buy and sell) independently. The improved model builds on the time-averaged number …
New metrics for Anosov representations defined from Thurston's asymmetric metrics.
Autonomous systems can substantially enhance a human's efficiency and effectiveness in complex environments. Machines, however, are often unable to observe the preferences of the humans that they serve. Despite the fact that the human's and machine's objectives are aligned, asymmetric information, along with heterogene…