arXiv research

stCEG models spatial events using Chain Event Graphs in R.

Homicide mortality is a worldwide concern and has occupied the agenda of researchers and public managers. In Brazil, homicide is the third leading cause of death in the general population and the first in the 15-39 age group. In South America, Brazil has the third highest homicide mortality, behind Venezuela and Colomb…

Machine learning predicts homicide clearance rates with SHAP explaining key features.

Causal discovery algorithms can help generate legal arguments.

Research simulates Lloyd's of London's specialty insurance market dynamics.

Understanding the causes of crime is a longstanding issue in researcher's agenda. While it is a hard task to extract causality from data, several linear models have been proposed to predict crime through the existing correlations between crime and urban metrics. However, because of non-Gaussian distributions and multic…

We present a probabilistic method for linking multiple datafiles. This task is not trivial in the absence of unique identifiers for the individuals recorded. This is a common scenario when linking census data to coverage measurement surveys for census coverage evaluation, and in general when multiple record-systems nee…

The paper analyzes sterling bills of exchange during the first globalization, revealing their global financial role.

This paper analyzes correlations in patterns of trading of different members of the London Stock Exchange. The collection of strategies associated with a member institution is defined by the sequence of signs of net volume traded by that institution in hour intervals. Using several methods we show that there are signif…

Study examines value relevance of oil and gas reserve disclosures in London Stock Exchange.

Financial markets can be described on several time scales. We use data from the limit order book of the London Stock Exchange (LSE) to compare how the fluctuation dominated microstructure crosses over to a more systematic global behavior.

Develops a Bayesian model to predict business revenue and demand.

We respond to the issues discussed by Farmer and Lillo (FL) related to our proposed approach to understanding the origin of power-law distributions in stock price fluctuations. First, we extend our previous analysis to 1000 US stocks and perform a new estimation of market impact that accounts for splitting of large ord…

Robust feature-weighted jump models for time-dependent clustering

Ethereum tackles bribery in blockchain transactions with new fee mechanism.

In recent years, real estate industry has captured government and public attention around the world. The factors influencing the prices of real estate are diversified and complex. However, due to the limitations and one-sidedness of their respective views, they did not provide enough theoretical basis for the fluctuati…

In 2012, JPMorgan accumulated a USD~6.2 billion loss on a credit derivatives portfolio, the so-called `London Whale', partly as a consequence of de-correlations of non-perfectly correlated positions that were supposed to hedge each other. Motivated by this case, we devise a factor model for correlations that allows for…

We complement the theory of tick-by-tick dynamics of financial markets based on a Continuous-Time Random Walk (CTRW) model recently proposed by Scalas et al., and we point out its consistency with the behaviour observed in the waiting-time distribution for BUND future prices traded at LIFFE, London.

We compare some methods recently used in the literature to detect the existence of a certain degree of common behavior of stock returns belonging to the same economic sector. Specifically, we discuss methods based on random matrix theory and hierarchical clustering techniques. We apply these methods to a portfolio of s…

Trade finance history traced from medieval origins to modern markets.

HSBC grew from Hong Kong to global dominance despite political upheavals.

This appendix proves CORN's universal consistency. One of Bin's PhD thesis examiner (Special thanks to Vladimir Vovk from Royal Holloway, University of London) suggested that CORN is universal and provided sketch proof of Lemma 1.6, which is the key of this proof. Based on the proof in Gyprfi et al. [2006], we thus pro…

Recent news cast doubts on London Interbank Offered Rate (LIBOR) integrity. Given its economic importance and the delay with which authorities realize about this situation, we aim to find an objective method in order to detect departures in the LIBOR rate that from the expected behavior. We analyze several interest rat…

Persistence is studied in a financial context by mapping the time evolution of the values of the shares quoted on the London Financial Times Stock Exchange 100 index (FTSE 100) onto Ising spins. By following the time dependence of the spins, we find evidence for power law decay of the proportion of shares that remain e…

We empirically study the trading activity in the electronic on-book segment and in the dealership off-book segment of the London Stock Exchange, investigating separately the trading of active market members and of other market participants which are non-members. We find that (i) the volume distribution of off-book tran…

Although behavioral economics has demonstrated that there are many situations where rational choice is a poor empirical model, it has so far failed to provide quantitative models of economic problems such as price formation. We make a step in this direction by developing empirical models that capture behavioral regular…

We showcase how Quantile Regression (QR) can be applied to forecast financial returns using Limit Order Books (LOBs), the canonical data source of high-frequency financial time-series. We develop a deep learning architecture that simultaneously models the return quantiles for both buy and sell positions. We test our mo…

Let $(M,g)$ be a complete non-compact Riemannian manifold with the $m$-dimensional Bakry-Émery Ricci curvature bounded below by a non-positive constant. In this paper, we give a localized Hamilton-type gradient estimate for the positive smooth bounded solutions to the following nonlinear diffusion equation \[ u_t=Δu-\n…

We consider the existence of simple closed geodesics or "geodesic knots" in finite volume orientable hyperbolic 3-manifolds. Previous results show that at least one geodesic knot always exists [Bull. London Math. Soc. 31(1) (1999) 81-86], and that certain arithmetic manifolds contain infinitely many geodesic knots [J. …

Paper defines new risk measures for elliptical distributions.

We develop a maximum penalized quasi-likelihood estimator for estimating in a nonparametric way the diffusion function of a diffusion process, as an alternative to more traditional kernel-based estimators. After developing a numerical scheme for computing the maximizer of the penalized maximum quasi-likelihood function…

LDF combines neural networks with probabilistic models for data fusion.

For the London Stock Exchange we demonstrate that the signs of orders obey a long-memory process. The autocorrelation function decays roughly as $τ^{-α}$ with $α\approx 0.6$, corresponding to a Hurst exponent $H \approx 0.7$. This implies that the signs of future orders are quite predictable from the signs of past orde…

Study gradient estimates for nonlinear parabolic equations on Riemannian manifolds.

We examine the correlation of the limit price with the order book, when a limit order comes. We analyzed the Rebuild Order Book of Stock Exchange Electronic Trading Service, which is the centralized order book market of London Stock Exchange. As a result, the limit price is broadly distributed around the best price acc…

The equivariant CR minimal immersions from the round $3$-sphere $S^3$ into the complex projective space $\mathbb CP^n$ have been classified by the third author explicitly (J London Math Soc 68: 223-240, 2003). In this paper, by employing the equivariant condition which implies that the induced metric is left-invariant,…

We showcase how dropout variational inference can be applied to a large-scale deep learning model that predicts price movements from limit order books (LOBs), the canonical data source representing trading and pricing movements. We demonstrate that uncertainty information derived from posterior predictive distributions…

According to the definition of the London Interbank Offered Rate (LIBOR), contributing banks should give fair estimates of their own borrowing costs in the interbank market. Between 2007 and 2009, several banks made inappropriate submissions of LIBOR, sometimes motivated by profit-seeking from their trading positions. …

We consider evidence integration from potentially dependent observation processes under varying spatio-temporal sampling resolutions and noise levels. We develop a multi-resolution multi-task (MRGP) framework while allowing for both inter-task and intra-task multi-resolution and multi-fidelity. We develop shallow Gauss…

The persistence phenomenon is studied in the Japanese financial market by using a novel mapping of the time evolution of the values of shares quoted on the Nikkei Index onto Ising spins. The method is applied to historical end of day data from the Japanese stock market during 2002. By studying the time dependence of th…

We analyze the time series of overnight returns for the bund and btp futures exchanged at LIFFE (London). The overnight returns of both assets are mapped onto a one-dimensional symbolic-dynamics random walk: The `bond walk'. During the considered period (October 1991 - January 1994) the bund-future market opened earlie…

The present paper aims at locating the breakings of the integration process of an international system observed during about 50 years in the 19th century. A historical study could link them to special events, which operated as exogenous shocks on this process. The indicator of integration used is the spread between the…

This paper develops a Bayesian procedure for estimation and forecasting of the volatility of multivariate time series. The foundation of this work is the matrix-variate dynamic linear model, for the volatility of which we adopt a multiplicative stochastic evolution, using Wishart and singular multivariate beta distribu…

A theory of exceptional extreme events, characterized by their abnormal sizes compared with the rest of the distribution, is presented. Such outliers, called "dragon-kings", have been reported in the distribution of financial drawdowns, city-size distributions (e.g., Paris in France and London in the UK), in material f…

We empirically study the market impact of trading orders. We are specifically interested in large trading orders that are executed incrementally, which we call hidden orders. These are reconstructed based on information about market member codes using data from the Spanish Stock Market and the London Stock Exchange. We…

Newly available data on the spatial distribution of retail activities in cities makes it possible to build models formalized at the level of the single retailer. Current models tackle consumer location choices at an aggregate level and the opportunity new data offers for modeling at the retail unit level lacks a theore…

Order flow in equity markets is remarkably persistent in the sense that order signs (to buy or sell) are positively autocorrelated out to time lags of tens of thousands of orders, corresponding to many days. Two possible explanations are herding, corresponding to positive correlation in the behavior of different invest…

Stock prices are known to exhibit non-Gaussian dynamics, and there is much interest in understanding the origin of this behavior. Here, we present a model that explains the shape and scaling of the distribution of intraday stock price fluctuations (called intraday returns) and verify the model using a large database fo…