Research
On-device research index

arXiv research

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.

168,932 papers · 148 categories

Trend · papers per month

0.8%1.6%2.5%3.3% · Jul 199819922001200920172026
48 results for European Innovation Scoreboard

New method ranks European countries' innovation performance considering criterion interactions.

problem Lack of consensus on weighting composite innovation indicators.
method Hierarchical-SMAA-Choquet integral approach to rank and benchmark innovation performance.
result Robust measurement of innovation performances in Europe with a hierarchy of interacting composite indicators.

Study finds optimal board gender diversity for emissions performance.

problem Association between board gender diversity and emissions performance.
method Panel regressions, machine learning, explainable AI.
result Optimal board gender diversity for emissions performance is approximately 35%.

We apply a quadratic hedging scheme developed by Foellmer, Schweizer, and Sondermann to European contingent products whose underlying asset is modeled using a GARCH process and show that local risk-minimizing strategies with respect to the physical measure do exist, even though an associated minimal martingale measure …

2009-04-07abs ↗pdf ↗

Mathematical approach assesses human resource competences accurately.

problem Accurate assessment and representation of human resource competences.
method Detailed quantification scheme and mathematical approach.
result Flexible tools for optimal job assignment and recruitment.

CPOPT-Net predicts sparse client actions in banking using tensor decomposition and neural networks.

problem Predicting sparse client activities in the banking environment with evolving regulations.
method Combines CP tensor decomposition and neural networks for time series predictions.
result CPOPT-Net achieves accurate predictions of clients' financial activities.

This paper examines the value of a cancellable European option in a finite time horizon setting. The specifications of this generalized European option allow the seller to cancel the option at any point in time for a fixed penalty paid directly to the holder. Here, we provide an explicit valuation formula for the Europ…

2013-04-22abs ↗pdf ↗

New framework IIA identifies innovations in general nonlinear vector autoregressive processes.

problem Limited generality of NVAR models due to additive innovation assumption.
method Independent Innovation Analysis (IIA) framework, assuming mutual independence and modulation by an auxiliary variable.
result Guarantees identifiability of innovations with arbitrary nonlinearities, up to permutation and component-wise invertible nonlinearities.

Unified approach to trend-following systems, deriving exact relationships and expected returns.

problem Designing and understanding trend-following systems in financial markets.
method Derive exact relationships, analyze expected returns, and use fractional ARFIMA processes.
result Profitability of trend-following systems depends on positive long-term autocorrelation and excess spectral mass at low frequencies.

Machine learning models predict which ideas will be innovated based on subjective perspectives.

problem Predicting high-impact innovation based on subjective perspectives and interpersonal innovation opportunities.
method Quantifying subjective perspectives and their interaction based on innovator positions within a geometric space of concepts.
result Subjective perspectives predict which ideas individuals and groups will creatively attend to and successfully combine in the future.

We use principle component analysis (PCA) of cross correlations in European government bonds and European stocks to investigate the systemic risk contained in the European economy. We tackle the task to visualize the evolution of risk, introducing the conditional average rolling sum (CARS). Using this tool we see that …

2015-02-24abs ↗pdf ↗

Innovation is among the key factors driving a country's economic and social growth. But what are the factors that make a country innovative? How do they differ across different parts of the world and different stages of development? In this work done in collaboration with the World Economic Forum (WEF), we analyze the …

2016-06-15abs ↗pdf ↗

Unified econometric model for portfolio optimization and option valuation.

problem Time-varying volatility and heavy tails in asset returns.
method Multivariate affine GARCH(1,1) with Normal Inverse Gaussian innovations.
result Substantial wealth-equivalent utility losses from ignoring correlation and tail risk.

Nanotechnology is the first major worldwide research initiative of the 21st century and probably is the solution vector in the economic environment. Also, innovation is widely recognized as a key factor in the economic development of nations, and is essential for the competitiveness of the industrial firms as well. Pol…

2013-03-20abs ↗pdf ↗

Develops European power option pricing under correlated interest rate and asset processes.

problem Pricing European power options under correlated interest rate and asset processes.
method Martingale method and Girsannov transform.
result Derives European power option pricing formulae under two market assumptions.

Examines insurance market development and similarity post-2004 EU enlargement.

problem Comparing insurance markets of EU old and new members post-enlargement.
method Analyzes data from 2004 to present to compare insurance markets.
result Identifies similarities and differences in insurance markets post-2004 enlargement.

Study LASSO for high-dimensional VAR models with weakly dependent innovations.

problem Understanding sparse regularization in high-dimensional VAR models with weakly dependent innovations.
method LASSO estimation for weakly sparse VAR models with heavy tailed innovations, under L1L^1 mixingale condition.
result Oracle properties of LASSO estimation in high-dimensional VAR models with weakly dependent innovations.

This paper compares machine learning models for pricing European options.

problem Pricing European options using traditional methods like Black Scholes Model.
method Google AutoML Regressor, TensorFlow Neural Networks, and XGBoost Gradient Boosting Decision Trees.
result All models outperformed the Black Scholes Model in terms of mean absolute error.

Our goal here is to discuss the pricing problem of European and American options in discrete time using elementary calculus so as to be an easy reference for first year undergraduate students. Using the binomial model we compute the fair price of European and American options. We explain the notion of Arbitrage and the…

2015-10-20abs ↗pdf ↗

Develops inequalities for high-dimensional linear processes with dependent innovations.

problem Estimating high-dimensional VAR(p) systems and HAC covariance estimation.
method Concentration inequalities for ll_\infty norm of vector linear processes with sub-Weibull, mixingale innovations.
result Obtained concentration bounds for the maximum entrywise norm of lag-hh autocovariance matrices.

We consider a network of interacting agents and we model the process of choice on the adoption of a given innovative product by means of statistical-mechanics tools. The modelization allows us to focus on the effects of direct interactions among agents in establishing the success or failure of the product itself. Mimic…

2014-09-12abs ↗pdf ↗

The study uses unsupervised machine learning to identify top European football teams.

problem Selecting teams for the new European football Super League.
method Used Laplacian eigenmaps clustering on performance data.
result Successfully identified four clusters of teams based on performance metrics.

Modeling tech transfer to explain convergence in Central and Eastern Europe.

problem Understanding mechanisms of technological diffusion in developing economies.
method Introducing a herding-based mechanism to model technological adoption and productivity growth.
result Explicit analytical solution showing nonlinear convergence to a moving frontier.

LOV model calibrates European and American options with path-dependent volatility.

problem Calibrating European and American options with path-dependent volatility.
method Designing a local volatility model that incorporates path-dependent shocks through an occupation sensitivity function.
result LOV model successfully calibrates options chains with automatic European vanilla option calibration and path-dependent flexibility.

The paper explores how innovative financing solutions boost Moroccan businesses' performance.

problem Market volatility, ecological transitions, and technological change pose challenges to business sustainability.
method Examines innovative financing solutions like venture capital, green finance, crowdfunding, and blockchain.
result Embracing innovative financial strategies can transform business challenges into opportunities.

Efficient method for pricing European and American options using Markov switching stochastic volatility model.

problem Modeling and pricing options under varying volatility and mean-reversion speeds.
method Discrete-time Markov switching stochastic volatility with co-jump model, computationally efficient approach for European options, and conversion to European option pricing for American options.
result Efficient and accurate methods for pricing options, including variance swap analysis.

Study short-maturity VIX and European option prices with jumps.

problem Analyzing VIX and European options with jumps in short-maturity models.
method Local-stochastic volatility models with compound Poisson jumps, leading-order asymptotics in closed-form.
result Closed-form solutions for VIX and European option prices in short-maturity models.

A new method for pricing European options in changing market conditions.

problem Lack of closed-form solutions for pricing European options in regime-switching models.
method Physics-informed residual learning (PIRL) for efficient option pricing.
result PIRL eliminates the need for retraining and offers near-instantaneous pricing.

Study on systemic risk in European insurance sector, showing insurer connections during stress.

problem Understanding systemic risk connectedness in European insurance sector.
method Common connectedness framework applied to returns, volatility, value-at-risk, and expected shortfall.
result Insurers are a significant component of systemic risk connectedness, especially during stress episodes.