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.
The Canonical Regression Quantile method predicts CEO compensation and future performance.
The high pay packages of U.S. CEOs have raised serious concerns about what would constitute a fair pay.
LLMs help less-resourced researchers access costly data.
Study finds farmers are willing to pay higher premiums for higher coverage in agricultural insurance.
Study proposes new framework for Board-CEO relationship.
The widening inequality in income distribution in recent years, and the associated excessive pay packages of CEOs in the U.S. and elsewhere, is of growing concern among policy makers as well as the common person. However, there seems to be no satisfactory answer, in conventional economic theories and models, to the fun…
The excessive compensation packages of CEOs of U.S. corporations in recent years have brought to the foreground the issue of fairness in economics. The conventional wisdom is that the free market for labor, which determines the pay packages, cares only about efficiency and not fairness. We present an alternative theory…
Higher CEO career breadth correlates with better firm performance.
Study introduces new financial ratios for better predicting company performance.
Based on a point of view that solvency and security are first, this paper considers regular-singular stochastic optimal control problem of a large insurance company facing positive transaction cost asked by reinsurer under solvency constraint. The company controls proportional reinsurance and dividend pay-out policy to…
Optimizes causal effects on unknown graphs using Causal Entropy Optimization.
Study examines how social media sentiment impacts biotech stocks.
Based on 46 in-depth interviews with scientists, engineers, and CEOs, this document presents a list of concrete machine research problems, progress on which would directly benefit tech ventures in East Africa.
Default risk significantly affects the corporate policies of a firm. We develop a model in which a limited liability entity subject to Poisson default shock jointly sets its dividend policy and capital structure to maximize the expected lifetime utility from consumption of risk averse equity investors. We give a comple…
This paper studies communication efficiency in federated learning by optimizing the sum-rate-distortion function for indirect multiterminal source coding.
Perpetual futures offer leverage without maturity, with prices influenced by funding rates.
Investment strategy using fractional Kelly portfolios for better growth expectations.
Study shows how business cycle affects dividend payout based on managerial stock incentives.
Out-of-control information technology (IT) projects have ended the careers of top managers, such as EADS CEO Noel Forgeard and Levi Strauss' CIO David Bergen. Moreover, IT projects have brought down whole companies, like Kmart in the US and Auto Windscreen in the UK. Software and other IT is now such an integral part o…
This paper tests LLMs in finance to assess ethical behavior.
This paper explores ratio-based loss functions for machine learning.
We determine Kelly criterion for a game with variable pay-off. The Kelly fraction satisfies a fundamental integral equation and is smaller than the classical Kelly fraction for the same game with the constant average pay-off.
Paper analyzes tech adoption in financial networks, finding key leadership and diffusion dynamics.
The study explores machine learning for predicting customer propensity-to-pay uncertainty.
We consider Online Convex Optimization (OCO) in the setting where the costs are -strongly convex and the online learner pays a switching cost for changing decisions between rounds. We show that the recently proposed Online Balanced Descent (OBD) algorithm is constant competitive in this setting, with competitive rat…
Paper explores how risk-averse individuals' willingness to pay for insurance varies with risk probability.
Be it for taking advantage of stock undervaluation or in order to distribute part of their profits to shareholders, firms may buy back their own shares. One of the way they proceed is by including Accelerated Share Repurchases (ASR) as part of their repurchase programs. In this article, we study the pricing and optimal…
This paper considers nonlinear regular-singular stochastic optimal control of large insurance company. The company controls the reinsurance rate and dividend payout process to maximize the expected present value of the dividend pay-outs until the time of bankruptcy. However, if the optimal dividend barrier is too low t…
We have successfully implemented the "Learn to Pay Attention" model of attention mechanism in convolutional neural networks, and have replicated the results of the original paper in the categories of image classification and fine-grained recognition.
This paper uses PCA and FA for feature selection in credit rating.
New risk theory for 'Pay-for-Performance' models.
This work examines the effects of allowing borrowing in betting-based hypothesis testing.
New model values equity-linked securities with guaranteed return.
Studies have shown that the people depicted in image search results tend to be of majority groups with respect to socially salient attributes. This skew goes beyond that which already exists in the world - e.g., Kay et al. showed that although 28% of CEOs in US are women, only 10% of the top 100 results for CEO in Goog…
In the context of a Black-Scholes economy and with a no-arbitrage argument, we derive arbitrarily accurate lower and upper bounds for the value of European options on a stock paying a discrete dividend. Setting the option price error below the smallest monetary unity, both bounds coincide, and we obtain the exact value…
A dynamic agent model is introduced with an annual random wealth multiplicative process followed by taxes paid according to a linear wealth-dependent tax rate. If poor agents pay higher tax rates than rich agents, eventually all wealth becomes concentrated in the hands of a single agent. By contrast, if poor agents are…
A new method combines MCMC results to avoid failures in parallel computing.
Investors pay for additional asset information based on utility maximization.
Optimizes bank capital structure under Basel III constraints, simplifying complex dynamics.
The paper prices and replicates various financial contracts on a risky asset with stochastic volatility and jumps.
We solve the pricing problem for perpetual American puts and calls on dividend-paying assets. The dependence of a dividend process on the underlying stochastic factor is fairly general: any non-decreasing function is admissible. The stochastic factor follows a Levy process. This specification allows us to consider asse…
This paper presents an axiomatic scheme for interest rate models in discrete time. We take a pricing kernel approach, which builds in the arbitrage-free property and provides a link to equilibrium economics. We require that the pricing kernel be consistent with a pair of axioms, one giving the inter-temporal relations …
Investigates optimal pension policies in PAYG systems with forward utility and ageing population.
We prove a version of First Fundamental Theorem of Asset Pricing under transaction costs for discrete-time markets with dividend-paying securities. Specifically, we show that the no-arbitrage condition under the efficient friction assumption is equivalent to the existence of a risk-neutral measure. We derive dual repre…
This paper optimizes ad bids and daily budgets for multiple campaigns in pay-per-click advertising.
Consider two insurance companies (or two branches of the same company) that receive premiums at different rates and then split the amount they pay in fixed proportions for each claim (for simplicity we assume that they are equal). We model the occurrence of claims according to a Poisson process. The ruin is achieved wh…
Study finds dividend payout policy positively impacts firm profitability.
Realised pay-offs for discretisation-invariant swaps are those which satisfy a restricted `aggregation property' of Neuberger [2012] for twice continuously differentiable deterministic functions of a multivariate martingale. They are initially characterised as solutions to a second-order system of PDEs, then those pay-…