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 paper examines how CoCo bonds can enhance financial stability in interconnected banking systems.
Examines financial risks' impact on EU-15 economic growth.
This study analyzes EU ETS literature trends using bibliometric methods.
Proposes using DII to identify non-linear causal relationships in EU Allowances returns.
In a highly interdependent economic world, the nature of relationships between financial entities is becoming an increasingly important area of study. Recently, many studies have shown the usefulness of minimal spanning trees (MST) in extracting interactions between financial entities. Here, we propose a modified MST n…
Study reveals inefficiencies in EU carbon trading market.
Study analyzes EU ETS carbon market dynamics, revealing inefficiencies and anomalies.
Study uses non-parametric method to analyze EU ETS price determinants.
In this paper, we propose a methodology based on piece-wise homogeneous Markov chain for credit ratings and a multivariate model of the credit spreads to evaluate the financial risk in European Union (EU). Two main aspects are considered: how the financial risk is distributed among the European countries and how large …
Study uses neural networks to predict firm earnings, outperforming benchmarks and analysts.
Investment behavior in wine industry influenced by profitability and capitalization.
The model of rational decision-making in most of economics and statistics is expected utility theory (EU) axiomatised by von Neumann and Morgenstern, Savage and others. This is less the case, however, in financial economics and mathematical finance, where investment decisions are commonly based on the methods of mean-v…
Study analyzes EU in variational inference for Bayesian deep learning.
New indicator detects financial strain through smart meter data.
The paper explores AI in finance, focusing on XAI's role in enhancing interpretability and trust.
Study uses RL to optimize investment with financial constraints, showing exploration benefits.
A thermodynamic theory explains EU election vote distributions.
The aim of the present article is to offer a strictly mathematical, statistical treatment of the current account balances in EU and in the Eurozone. Based on Eurostat data, an overview of the total and annual balances is first made for different collections among the EU countries. Then, using the Mathematica technical …
DDSTN improves breast cancer diagnosis by leveraging imbalanced ultrasound modalities.
Study identifies clusters of EU countries with similar young mortality patterns.
Research examines impact of Brexit on GBP/EUR exchange rate.
We report on time-varying network connectedness within three banking systems: North America, the EU, and ASEAN. The original method by Diebold and Yilmaz is improved by using exponentially weighted daily returns and ridge regularization on vector autoregression (VAR) and forecast error variance decomposition (FEVD). We…
China and EU race to develop hydrogen for energy transition.
CreDRO learns credal ensembles via distributionally robust optimization, improving EU quantification.
Most of the analytical techniques used in the business cycle synchronisation literature rely upon the estimation of an empirical correlation matrix of time series data of macroeconomic aggregates, real GDP usually being the key variable. But the small number of available observations and small number of economies mean …
We study the statistics of earning forecasts of US, EU, UK and JP stocks during the period 1987-2004. We confirm, on this large data set, that financial analysts are on average over-optimistic and show a pronounced herding behavior. These effects are time dependent, and were particularly strong in the early nineties an…
The paper develops a test for EU portfolio efficiency in high dimensions.
The recently announced Energy Union by the European Commission is the most recent step in a series of developments aiming at integrating the EU's gas markets to increase social welfare (SW) and security of gas supply. Based on a spatial partial equilibrium model, we analyze the changes in consumption, prices, and SW up…
Among the central tenets of globalization is free migration of labor. Although much has been written about its benefits, little is known about the limitations of globalization, including how immigration affects the anti-globalist sentiment. Analyzing polls data, we find that over the last three years in a group of EU c…
We present a framework on how to hedge the interest rate sensitivity of liabilities discounted by an extrapolated yield curve. The framework is based on functional analysis in that we consider the extrapolated yield curve as a functional of an observed yield curve and use its Gâteaux variation to understand the sensiti…
By using methods of statistical physics, we focus on the quantitative analysis of the economic income data descending from different databases. To explain our approach, we introduce the necessary theoretical background, the extended Yakovenko et al. (EY) model. This model gives an analytical description of the annual h…
Since beginning of the 2008 financial crisis almost half a trillion euros have been spent to financially assist EU member states in taxpayer-funded bail-outs. These crisis resolutions are often accompanied by austerity programs causing political and social friction on both domestic and international levels. The questio…
We present a novel approach to the pricing of financial instruments in emission markets, for example, the EU ETS. The proposed structural model is positioned between existing complex full equilibrium models and pure reduced form models. Using an exogenously specified demand for a polluting good it gives a causal explan…
Unified framework for causal inference with reliable uncertainty quantification.
The study visualizes Spanish fish and meat processing companies using financial, environmental, and social ratios.
First European crop map created using satellite data.
Active learning suffers from biased non-response, which this paper addresses.
Study assesses sugar beet yields under EU's neonicotinoids ban and climate change.
Model predicts EU carbon prices using market and political factors.
Study examines how EU's Value at Risk constraints affect insurance oligopolies.
We propose a neural network approach to price EU call options that significantly outperforms some existing pricing models and comes with guarantees that its predictions are economically reasonable. To achieve this, we introduce a class of gated neural networks that automatically learn to divide-and-conquer the problem …
In the late 90's, after severe financial and economic crisis, accompanied by inflation and exchange rate instability, Eastern Europe emerged into two groups of countries with radically contrasting monetary regimes (Currency Boards and Inflation targeting). The task of our study is to compare econometrically the perform…
We apply the recently developed reduced Google matrix algorithm for the analysis of the OECD-WTO world network of economic activities. This approach allows to determine interdependences and interactions of economy sectors of several countries, including China, Russia and USA, properly taking into account the influence …
The interdependent nature of the global economy has become stronger with increases in international trade and investment. We propose a new model to reconstruct the international trade network and associated cost network by maximizing entropy based on local information about inward and outward trade. We show that the tr…
Using the United Nations COMTRADE database we apply the reduced Google matrix (REGOMAX) algorithm to analyze the multiproduct world trade in years 2004-2016. Our approach allows to determine the trade balance sensitivity of a group of countries to a specific product price increase from a specific exporting country taki…
Inside the EU, the commercial integration of the CEE countries has gained remarkable momentum before the crisis appearance, but it has slightly slowed down afterwards. Consequently, the interest in identifying the factors supporting the commercial integration process is high. Recent findings in the new trade theory sug…
The cluster analysis methods are used in order to perform a comparative study of 15 EU countries in relation with the fluctuations of some basic macroeconomic indicators. The statistical distances between countries are calculated for various moving time windows, and the time variation of the mean statistical distance i…
Research aims to make fact-checking models more transparent.