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.
Paper addresses unbalanced data in common shock models for loss reserving.
In this paper we study the distributional properties of a vector of lifetimes in which each lifetime is modeled as the first arrival time between an idiosyncratic shock and a common systemic shock. Despite unlike the classical multidimensional Marshall-Olkin model here only a unique common shock affecting all the lifet…
Study optimal reinsurance and investment strategies under common shocks affecting financial and actuarial markets.
Proposes a new model for simulating electricity prices and their correlation structure.
We have analyzed the Indices of Industrial Production (Seasonal Adjustment Index) for a long period of 240 months (January 1988 to December 2007) to develop a deeper understanding of the economic shocks. The angular frequencies estimated using the Hilbert transformation, are almost identical for the 16 industrial secto…
Paper develops a new estimator for high-dimensional panel data with common shocks.
Currency volatility shocks predict lower excess returns, and buying weak transmitters outperforms selling strong ones.
Study of a game with multiple players and common shocks using probabilistic methods.
Regulator allocates buffers to prevent financial contagion in networks with common assets.
We propose a model and an estimation technique to distinguish systemic risk and contagion in credit risk. The main idea is to assume, for a set of obligors, a set of idiosyncratic shocks and a shock that triggers the default of all them. All shocks are assumed to be linked by a dependence relationship, that in …
We explore a model of the interaction between banks and outside investors in which the ability of banks to issue inside money (short-term liabilities believed to be convertible into currency at par) can generate a collapse in asset prices and widespread bank insolvency. The banks and investors share a common belief abo…
Study shows different types of volatility and skewness changes affect stock prices.
How, and to what extent, does an interconnected financial system endogenously amplify external shocks? This paper attempts to reconcile some apparently different views emerged after the 2008 crisis regarding the nature and the relevance of contagion in financial networks. We develop a common framework encompassing seve…
The study measures systemic risk using common and tail dependence factors.
Optimal dynamic allocation of carbon allowances reduces emissions efficiently.
The study reveals asymmetries in US financial shocks' international impacts.
A new diversification measure DQ derived from risk measures addresses limitations of existing indices.
Study on identifying and inferring nonlinear dynamics on unknown networks.
We study topology of configuration spaces of planar linkages having one leg of variable length. Such telescopic legs are common in modern robotics where they are used for shock absorbtion and serve a variety of other purposes. Using a Morse theoretic technique, we compute explicitly, in terms of the metric data, the Be…
Study finds significant premium for low-beta stocks in firm-level idiosyncratic return distributions.
A method is developed to estimate the parameters of a Levy copula of a discretely observed bivariate compound Poisson process without knowledge of common shocks. The method is tested in a small sample simulation study. Also, the method is applied to a real data set and a goodness of fit test is developed. With the meth…
The sectoral synchronization observed for the Japanese business cycle in the Indices of Industrial Production data is an example of synchronization. The stability of this synchronization under a shock, e.g., fluctuation of supply or demand, is a matter of interest in physics and economics. We consider an economic syste…
We study multiple rule-based and machine learning (ML) models for sepsis detection. We report the first neural network detection and prediction results on three categories of sepsis. We have used the retrospective Medical Information Mart for Intensive Care (MIMIC)-III dataset, restricted to intensive care unit (ICU) p…
Crypto markets show negative spillovers between chains, not positive co-movements.
Using a modified damped harmonic oscillator model equivalent to a model of market dynamics with price expectations, we analyze the reaction of financial markets to shocks. In order to do this, we gather data from indices of a variety of financial markets for the 1987 Black Monday, the Russian crisis of 1998, the crash …
New method quantifies market shocks and their effects.
Study shows local governments smooth fiscal shocks from property tax revenues.
Study optimizes interbank lending and borrowing to reduce systemic risk.
Study historical cholera epidemics and simulate long-term mortality impacts.
Network models assume unrealistic idiosyncratic risk, which can be mitigated by allowing for correlated shocks.
This paper investigates how economic shocks propagate and amplify through the input-output network connecting industrial sectors in developed economies. We study alternative models of diffusion on networks and we calibrate them using input-output data on real-world inter-sectoral dependencies for several European count…
Modeling financial contagion through bank networks, revealing solvency correlations.
Realized GARCH model explains VIX and VRP dynamics.
Universal model for soft tissue mechanics under shock waves.
Stress shocks are often calculated as multiples of the standard deviation of a history set. This paper investigates how many standard deviations are required to guarantee that this shock exceeds any observation within the history set, given the additional constraint of kurtosis. The results of this analysis are then us…
We investigate shock-wave solutions of the Einstein equations in the case when the speed of propagation is equal to the speed of light. The work extends the shock matching theory of Smoller and Temple, which characterizes solutions of the Einstein equations when the spacetime metric is only Lipschitz continuous across …
The study uses Random Matrix Theory to identify structural changes in stock markets during shocks.
We provide an explicit aggregation in the neoclassical growth model with aggregate shocks and uninsurable employment risk. We show there are two restrictions on the unemployment shock for approximate aggregation to occur. First the probability of unemployment must be positive for each agent in each time period. That en…
We provide a general probabilistic framework within which we establish scaling limits for a class of continuous-time stochastic volatility models with self-exciting jump dynamics. In the scaling limit, the joint dynamics of asset returns and volatility is driven by independent Gaussian white noises and two independent …
This paper combines and develops the models in Lastrapes (2002) and Mankiw & Weil (1989), which enables us to analyze the effects of interest rate and population growth shocks on housing price in one integrated framework. Based on this model, we carry out policy simulations to examine whether the housing (stock or flow…
New method estimates insurance risk dependencies.
We empirically test the effects of unanticipated fiscal policy shocks on the growth rate and the cyclical component of real private output and reveal different types of asymmetries in fiscal policy implementation. The data used are quarterly U.S. observati ons over the period 1967:1 to 2011:4. In doing so, we use both …
Study analyzes market co-movements in critical mineral investments using change point detection and cross-sectional analysis.
Proposes a robust portfolio method for large asset universes.
This study assesses how economic shocks affect the efficiency and robustness of international pesticide trade networks.
The occurrence of aftershocks following a major financial crash manifests the critical dynamical response of financial markets. Aftershocks put additional stress on markets, with conceivable dramatic consequences. Such a phenomenon has been shown to be common to most financial assets, both at high and low frequency. It…
Study models systemic risks in BRICS banks under geopolitical shocks.
The paper analyzes optimal timing for converting wealth into annuities in the presence of a mortality shock.