Regional inequality simulations based on asset exchange models....
To gain insights into the regional inequality problem, we proposed new regional asset exchange models based on existing kinetic income-exchange models in economic physics by setting spatial exchange...
View ArticleVolatility has to be rough. (arXiv:2002.09215v1 [q-fin.MF])
First, we give an asymptotic expansion of short-dated at-the-money implied volatility that refines the preceding works and proves in particular that non-rough volatility models are inconsistent to a...
View ArticleA New Decomposition Ensemble Approach for Tourism Demand Forecasting:...
The Asian-pacific region is the major international tourism demand market in the world, and its tourism demand is deeply affected by various factors. Previous studies have shown that different market...
View ArticleAsymptotic Marginal Propensity to Consume. (arXiv:2002.09108v1 [econ.GN])
We prove that the consumption functions in income fluctuation problems are asymptotically linear if the marginal utility is regularly varying. We also analytically characterize the asymptotic marginal...
View ArticleSector connectedness in the Chinese stock markets. (arXiv:2002.09097v1...
Uncovering the risk transmitting path within economic sectors in China is crucial for understanding the stability of the Chinese economic system, especially under the current situation of the China-US...
View ArticleSustainability and fairness simulations based on decision-making model of...
We introduce a decision-making model based on value functions that include individualistic utility function and socio-constructivistic norm function, and propose a norm-fostering process that...
View ArticleRational choice hypothesis as X-point of utility function and norm function....
Towards the realization of a sustainable, fair and inclusive society, we propose a novel decision-making model that incorporates social norms in a rational choice model from the standpoints of...
View ArticlePutting sustainable finance into practice
Ensuring that their investment portfolio contribute to the long-term sustainability of the planet is one of the key challenges organisations face today. That means adopting prudent financing and a...
View Article60 Seconds & 360 Degrees
A Primer On The Sexagemisal System (Base-60) StandardContinue reading on Cantorâs Paradise »
View ArticleAvoiding Silver Bullets
By Aaron Filbeck, CFA, CAIA, CIPM â Associate Director, Content Development at CAIA Association Whether itâs that some retail versions of alternative investments have not lived up to their private...
View ArticleWilliam T. Ziemba's Contributions to Portfolio Theory and Practice
Half a century flies by when Bill applies himself to Markowitz's gift that keeps on givingâ¦
View ArticleComputation Graphs for AAD and Machine Learning Part II: Adjoint...
Second in a series of three articles with code, exploring the notion of computation graph, with words, mathematics and code, and application in Machine Learning and finance to compute a vast number of...
View ArticleBridging the Orthodox/Behaviorist Divide
Capital markets are neither knowledge machines nor ships of fools. They are social learners, according to Kent Osband, continually correcting and refining their flawed predictions. Predictions are...
View ArticleThe Swiss Army Knife of Options Analytics
Finally, a solution to the most vexing problems of options pricing and fitting.
View ArticleConvexity Without Replication
We revise the standard analysis of constant maturity swaps, caps, and floors to account for dual forecast and discount curves. This reduces the pricing of these deals to evaluation of quadratic...
View ArticleElasticity of Variance of Variance
An empirical twoâhorse race between the Heston and SABR for the period around the 2008 financial crisis.
View ArticleThe ManyWorlds Interpretation of Risk Neutrality
There are many riskâneutral worlds, with different probabilities that support the same market prices. This matters in understanding how the originators of the BlackâScholes model each thought...
View ArticleEverything Is Rosy Now
âCapital markets are great shortâterm error correctors and poor longâterm predictors,â writes Kent. He calls the combination ârational myopia.â
View ArticleStability of the indirect utility process. (arXiv:2002.09445v1 [math.PR])
We investigate the dynamic stability of the indirect utility process associated with a (possibly suboptimal) trading strategy under perturbations of the market. Establishing the reverse conjugacy...
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