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 analyzes optimal dividend strategies for risky businesses, considering both periodic and extraordinary payments.
Optimizes dividends with stability for risky businesses.
We study cascades on a two-layer multiplex network, with asymmetric feedback that depends on the coupling strength between the layers. Based on an analytical branching process approximation, we calculate the systemic risk measured by the final fraction of failed nodes on a reference layer. The results are compared with…
Regulations impose idiosyncratic capital and funding costs for holding derivatives. Capital requirements are costly because derivatives desks are risky businesses; funding is costly in part because regulations increase the minimum funding tenor. Idiosyncratic costs mean no single measure makes derivatives martingales f…
Study optimal reinsurance and investment to minimize drawdown risk.
Modeling business cycles via collective risk fluctuations in economic agents' risk space.
A new pricing model reduces bias in insurance premiums.
Study optimal periodic dividend strategies for risky businesses with transaction costs.
In this paper, we study the ruin problem with investment in a general framework where the business part X is a L{é}vy process and the return on investment R is a semimartingale. We obtain upper bounds on the finite and infinite time ruin probabilities that decrease as a power function when the initial capital increases…
Proposes a new risk model using stable laws to manage company-wide losses.
Network analysis helps prevent money laundering by identifying risky clients and suspicious clusters.
Study shows risk-averse investors have consistent ranking of risky assets.
Study investigates ruin probability with random premiums and risky investments.
Paper assesses risks of stablecoins, from lending to business-to-business.
Large corporate credit models may be adapted for small business risk assessment.
Study shows credit expansion in mortgage markets influenced U.S. business cycle.
Business Architecture (BA) plays a significant role in helping organizations understand enterprise structures and processes, and align them with strategic objectives. However, traditional BAs are represented in fixed structure with static model elements and fail to dynamically capture business insights based on interna…
The option is a financial derivative, which is regularly employed in reducing the risk of its underlying securities. However, investing in option is still risky. Such risk becomes much severer for speculators who utilize option as a means of leverage to increase their potential returns. In order to mitigate risk on the…
Study evaluates sustainability of European banks using a new model.
Bayesian model uses mobile data to assess business resilience after hurricanes.
Study optimal investment-reinsurance strategy for insurers under random coefficients and jumps.
Modeling business expansion as a stochastic control problem, the study finds that firms are incentivized to expand but may wait.
This study examines how risky investments affect insurance capital valuation.
The biggest problem with the methods of machine learning used today in business analytics is that they do not generalize well and often fail when applied to new data. One of the possible approaches to this problem is to enrich these methods (which are almost exclusively based on statistical algorithms) with some intrin…
Study optimal portfolio selection using average and current profitability of risky assets.
Many decisions in healthcare, business, and other policy domains are made without the support of rigorous evidence due to the cost and complexity of performing randomized experiments. Using observational data to answer causal questions is risky: subjects who receive different treatments also differ in other ways that a…
Endogenous business cycles explain higher comovement across countries.
Machine learning predicts US and EuroZone business cycles with high accuracy.
Study optimal investment and reinsurance strategy for insurers under random coefficients.
SafeMIL learns safer policies by avoiding risky behavior from non-preferred trajectories.
We consider an optimal consumption/investment problem to maximize expected utility from consumption. In this market model, the investor is allowed to choose a portfolio which consists of one bond, one liquid risky asset (no transaction costs) and one illiquid risky asset (proportional transaction costs). We fully chara…
The analysis of the theoretical material revealed the lack of consensus on defini-tion of the tax stimulation of innovation-active business entities within the re-gional taxation. The definition tax stimulation of innovation-active business en-tities is specified.
Business taxonomies are indispensable tools for investors to do equity research and make professional decisions. However, to identify the structure of industry sectors in an emerging market is challenging for two reasons. First, existing taxonomies are designed for mature markets, which may not be the appropriate class…
The target of this paper is to consider model the risky asset price on the financial market under the Knightian uncertainty, and pricing the ask and bid prices of the uncertain risk. We use the nonlinear analysis tool, i.e., G-frame work [26], to construct the model of the risky asset price and bid-ask pricing for the …
We design an optimal strategy for investment in a portfolio of assets subject to a multiplicative Brownian motion. The strategy provides the maximal typical long-term growth rate of investor's capital. We determine the optimal fraction of capital that an investor should keep in risky assets as well as weights of differ…
Examines international taxation's impact on Georgian businesses.
Paper explores asset pricing dynamics in Bachelier model.
We reprove a result concerning certain ruin in the classical problem of the probability of ruin with risky investments and several of it's generalisations. We also provide the combined transition density of the risk and investment processes in the diffusion case.
The paper uses AI to analyze on-chain parameters and identify risky cryptocurrencies.
In this letter, I consider the issue of pricing risky debt by following Merton's approach. I generalize Merton's results to the case where the interest rate is modeled by the CIR term structure. Exact closed forms are provided for the risky debt's price.
CONDA-PM framework helps analyze concept drift in business processes.
The study uses CoDa to analyze family business financial ratios, highlighting methodological issues.
Study examines how business units can benefit from group cohesion under regulatory constraints.
This paper studies business cycle patterns in UK sectoral output. It analyzes the distinction between white noise processes and their non-white noise counterparts in the frequency domain and further examines the associated features and patterns for the process where white noise conditions are violated. The characterist…
Development of efficient business process models and determination of their characteristic properties are subject of intense interdisciplinary research. Here, we consider a business process model as a directed graph. Its nodes correspond to the units identified by the modeler and the link direction indicates the causal…
Research shows franchised fast food companies' stock prices decline more during recessions.
New approach optimizes sales process for B2B businesses.
The accurate characterization of the business cycles in the nonlinear dynamic financial and economic systems in the time of globalization represents a formidable research problem. The central banks and other financial institutions make their decisions on the minimum capital requirements, countercyclical capital buffer …