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.
Swapping debt contracts can mitigate risk in financial networks.
The study reveals asymmetries in US financial shocks' international impacts.
Study shows local governments smooth fiscal shocks from property tax revenues.
In the last years, increasing efforts have been put into the development of effective stress tests to quantify the resilience of financial institutions. Here we propose a stress test methodology for central counterparties based on a network characterization of clearing members, whose links correspond to direct credits …
Model predicts asset prices from initial shocks using neural networks.
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…
The study uses Random Matrix Theory to identify structural changes in stock markets during shocks.
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…
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…
DeFi exploits lead to reduced CP spreads, contrary to contagion hypothesis.
Currency volatility shocks predict lower excess returns, and buying weak transmitters outperforms selling strong ones.
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 …
New method quantifies market shocks and their effects.
Paper addresses unbalanced data in common shock models for loss reserving.
This study assesses how economic shocks affect the efficiency and robustness of international pesticide trade networks.
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…
Geopolitical and geoeconomic shocks affect sovereign risk differently, with distinct transmission channels.
New approach measures systemic risk by absorbing shocks before financial systems deteriorate.
New method identifies uncertainty shocks in financial markets using revised VIX.
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 …
Finance is about how the continuous stream of news gets incorporated into prices. But not all news have the same impact. Can one distinguish the effects of the Sept. 11, 2001 attack or of the coup against Gorbachev on Aug., 19, 1991 from financial crashes such as Oct. 1987 as well as smaller volatility bursts? Using a …
Oil markets profoundly influence world economies through determination of prices of energy and transports. Using novel methodology devised in frequency domain, we study the information transmission mechanisms in oil-based commodity markets. Taking crude oil as a supply-side benchmark and heating oil and gasoline as dem…
We reverse engineer dynamics of financial contagion to find the scenario of smallest exogenous shock that, should it occur, would lead to a given final systemic loss. This reverse stress test can be used to identify the potential triggers of systemic events, and it removes the arbitrariness in the selection of shock sc…
Objective: Predict individual septic children's personalized physiologic responses to vasoactive titrations by training a Recurrent Neural Network (RNN) using EMR data. Materials and Methods: This study retrospectively analyzed EMR of patients admitted to a pediatric ICU from 2009 to 2017. Data included charted time se…
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 establish a simple relation between curvatures of the group of volume-preserving diffeomorphisms and the lifespan of potential solutions to the inviscid Burgers equation before the appearance of shocks. We show that shock formation corresponds to a focal point of the group of volume-preserving diffeomorphisms regard…
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 …
Study on identifying and inferring nonlinear dynamics on unknown networks.
Universal model for soft tissue mechanics under shock waves.
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.
Study optimal reinsurance and investment strategies under common shocks affecting financial and actuarial markets.
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…
The paper analyzes optimal timing for converting wealth into annuities in the presence of a mortality shock.
We study the cascading dynamics immediately before and immediately after 219 market shocks. We define the time of a market shock T_{c} to be the time for which the market volatility V(T_{c}) has a peak that exceeds a predetermined threshold. The cascade of high volatility "aftershocks" triggered by the "main shock" is …
Modeling financial contagion through bank networks, revealing solvency correlations.
Systems with long-range persistence and memory are shown to exhibit different precursory as well as recovery patterns in response to shocks of exogeneous versus endogeneous origins. By endogeneous, we envision either fluctuations resulting from an underlying chaotic dynamics or from a stochastic forcing origin which ma…
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…
Extended RDS filtering for positions and orientations, improving crossing structure enhancement and inpainting.
Realized GARCH model explains VIX and VRP dynamics.
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 …
We analyze total, asymmetric and frequency connectedness between oil and forex markets using high-frequency, intra-day data over the period 2007 -- 2017. By employing variance decompositions and their spectral representation in combination with realized semivariances to account for asymmetric and frequency connectednes…
New deep learning method improves financial stress testing accuracy.
Proposes a robust portfolio method for large asset universes.
The DebtRank algorithm has been increasingly investigated as a method to estimate the impact of shocks in financial networks, as it overcomes the limitations of the traditional default-cascade approaches. Here we formulate a dynamical "microscopic" theory of instability for financial networks by iterating balance sheet…
We analyse four consecutive cycles observed in the USA for employment and inflation. They are driven by three oil price shocks and an intended interest rate shock. Non-linear coupling between the rate equations for consumer products as prey and consumers as predators provides the required instability, but its natural d…
Study recovers investor preferences from portfolio data using synthetic data and robust optimization.
External or internal shocks may lead to the collapse of a system consisting of many agents. If the shock hits only one agent initially and causes it to fail, this can induce a cascade of failures among neighoring agents. Several critical constellations determine whether this cascade remains finite or reaches the size o…