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.
Study finds stock prices rarely appreciate during capital inflows but often appreciate during normal flows.
Financial system being the place of metting capital flows (equality between saving and investment), a volatility of capital flows can destroy the robustness and good working of financial system, it means subvert financial stability. The same a weak financial system, few regulated and bad manage can exacerbate volatilit…
We present an approach to market-consistent multi-period valuation of insurance liability cash flows based on a two-stage valuation procedure. First, a portfolio of traded financial instrument aimed at replicating the liability cash flow is fixed. Then the residual cash flow is managed by repeated one-period replicatio…
Study optimizes insurance liability cash flows with regulatory capital requirements.
The aim of this paper is to define the market-consistent multi-period value of an insurance liability cash flow in discrete time subject to repeated capital requirements, and explore its properties. In line with current regulatory frameworks, the approach presented is based on a hypothetical transfer of the original li…
Optimal control problem for firm cash flow with dividend and capital injection strategies.
In agreement with the recent research findings in the econophysics, we propose that the nonlinear dynamic chaos can be generated by the turbulent capital flows in both the quantitative easing transmission channels and the transaction networks channels, when there are the laminar turbulent capital flows transitions in t…
A model of open economics composed of producers and speculators is investigated by numerical simulations. The capital flows from the environment to the producers and from them to the speculators. The price fluctuations are suppressed by the speculators. When the aggressivity of the speculators grows, there is a transit…
In this paper we propose a look at the capital risk problem inspired by deterministic, known from classical mechanics, problem of juggling. We propose capital equivalents to the Newton's laws of motion and on this basis we determine the most secure form of credit repayment with regard to maximisation of profit. Then we…
A technique from stochastic portfolio theory [Fernholz, 1998] is applied to analyse equity returns of Small, Mid and Large cap portfolios in an emerging market through periods of growth and regional crises, up to the onset of the global financial crisis. In particular, we factorize portfolios in the South African marke…
In this paper we propose a novel index to quantify and measure the flow of information on macro and micro scales. We discuss the implications of this index for knowledge management fields and also as intellectual capital that can thus be utilized by entrepreneurs. We explore different function and human oriented metric…
Paper analyzes venture capital exit decisions under inconsistent preferences.
Optimal portfolio tracking with dynamic capital injection into a ratcheting benchmark.
Proposes a new method for determining LGD discount rates based on cost of capital.
The financial crisis showed the importance of measuring, allocating and regulating systemic risk. Recently, the systemic risk measures that can be decomposed into an aggregation function and a scalar measure of risk, received a lot of attention. In this framework, capital allocations are added after aggregation and can…
In this paper we study a spectrally negative Lévy process which is refracted at its running maximum and at the same time reflected from below at a certain level. Such a process can for instance be used to model an insurance surplus process subject to tax payments according to a loss-carry-forward scheme together with t…
The paper translates economic models into a field formalism to study capital accumulation and its fluctuations.
International trade fluxes evolve as countries revise their portfolios of trade products towards economic development. Accordingly products' shares in international trade vary with time, reflecting the transfer of capital between distinct industrial sectors. Here we analyze the share of hundreds of product categories i…
This paper tests yield curve generators for property-casualty insurers.
Flow taxes and stock taxes preserve portfolio neutrality under specific conditions.
Qualitative behavior of Bach flow is established on compact four-dimensional locally homogeneous product manifolds. This is achieved by lifting to the homogeneous universal cover and, in most cases, capitalizing on the resultant group structure. The resulting system of ordinary differential equations is carefully analy…
Systemic risk refers to the risk that the financial system is susceptible to failures due to the characteristics of the system itself. The tremendous cost of systemic risk requires the design and implementation of tools for the efficient macroprudential regulation of financial institutions. The current paper proposes a…
The world of cryptocurrency is not transparent enough though it was established for innate transparent tracking of capital flows. The most contributing factor is the violation of securities laws and scam in Initial Coin Offering (ICO) which is used to raise capital through crowdfunding. There is a lack of proper regula…
We give a brief introduction to the Gauge Theory of Arbitrage. Treating a calculation of Net Present Values (NPV) and currencies exchanges as a parallel transport in some fibre bundle, we give geometrical interpretation of the interest rate, exchange rates and prices of securities as a proper connection components. Thi…
With this study we want to test the validity of the well known "Verdoorn's Law" which considers the relationship between the growth of productivity and output in the case of the Portuguese economy at a regional and sectoral levels (NUTs II) for the period 1995-1999. The importance of some additional variables in the or…
This paper examines the validity of the Capital Asset Pricing Model (CAPM) on the Ugandan stock market using monthly stock returns from 10 of the 11 companies listed on the Uganda Stock Exchange (USE), for the period 1st March 2007 to 10th November 2009. Due to the absence of readily available Uganda Stock Exchange(USE…
I explain the root of persistent failure of efforts to remove tax-induced distortions of economic incentives. It lies in FUNDAMENTAL IMPOSSIBILITY of objectively evaluating tax base. Distortions can be entirely avoided in the sector of publicly traded corporations. Evaluation can be bypassed by taxing it in shares (to …
The paper analyzes the pricing of a new compute futures asset.
The paper explores capital allocation using Euler formula with VaR and ES, revealing non-monotonicity and providing estimation methods.
In this paper we see the evolution of a capitalized financial event e, with respect to a capitalization factor f, as the exponential map of a suitably defined Lie group G(f,e), supported by the half-space of capitalized financial events having the same capital sign of e. The Lie group G(f,e) depends upon the capitaliza…
The paper models financial markets and real economy interactions using a large agent framework.
Statistical fields model explains capital allocation and accumulation among firms and investors.
This study examines how risky investments affect insurance capital valuation.
OpenAlpha validates decentralized capital strategies using game theory and market aggregation.
Credit (CVA), Debit (DVA) and Funding Valuation Adjustments (FVA) are now familiar valuation adjustments made to the value of a portfolio of derivatives to account for credit risks and funding costs. However, recent changes in the regulatory regime and the increases in regulatory capital requirements has led many banks…
The paper analyzes optimal dividend and capital injection strategies under time-inconsistent preferences.
Study systemic risk measures and capital allocation rules, showing commonalities.
Study analyzes household capital risk and poverty trapping, deriving a new function for capital deficit distribution.
This paper presents a model of capital accumulation for a large number of heterogenous producer-consumers in an exchange space in which interactions depend on agents' positions. Each agent is described by his production, consumption, stock of capital, as well as the position he occupies in this abstract space. Each age…
New method allocates capital based on tail central moments for financial risk assessment.
A dynamical model of capital exchange is introduced in which a specified amount of capital is exchanged between two individuals when they meet. The resulting time dependent wealth distributions are determined for a variety of exchange rules. For ``greedy'' exchange, an interaction between a rich and a poor individual r…
Study analyzes factors affecting capital adequacy in Bangladesh's banks.
The largest US banks are required by regulatory mandate to estimate the operational risk capital they must hold using an Advanced Measurement Approach (AMA) as defined by the Basel II/III Accords. Most use the Loss Distribution Approach (LDA) which defines the aggregate loss distribution as the convolution of a frequen…
We consider the risk sharing problem for capital requirements induced by capital adequacy tests and security markets. The agents involved in the sharing procedure may be heterogeneous in that they apply varying capital adequacy tests and have access to different security markets. We discuss conditions under which there…
In a capital adequacy framework, risk measures are used to determine the minimal amount of capital that a financial institution has to raise and invest in a portfolio of pre-specified eligible assets in order to pass a given capital adequacy test. From a capital efficiency perspective, it is important to identify the s…
Derives equations for capital deepening in a competitive economy without assuming a production function.
Study examines impact of capital structure on Indian auto companies' profitability.
Research shows that information asymmetry affects how quickly companies adjust their capital structure and expected returns.