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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...

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Volatility 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...

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A 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...

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Asymptotic 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...

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Sector 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...

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Sustainability 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...

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Rational 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...

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Putting 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...

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60 Seconds & 360 Degrees

A Primer On The Sexagemisal System (Base-60) StandardContinue reading on Cantor’s Paradise »

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Avoiding Silver Bullets

By Aaron Filbeck, CFA, CAIA, CIPM – Associate Director, Content Development at CAIA Association Whether it’s that some retail versions of alternative investments have not lived up to their private...

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William 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 giving…

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Computation 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...

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Bridging 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...

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The Swiss Army Knife of Options Analytics

Finally, a solution to the most vexing problems of options pricing and fitting.

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Convexity 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...

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Correlation 101

Think you understand correlation? Think again…

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Elasticity of Variance of Variance

An empirical two‐horse race between the Heston and SABR for the period around the 2008 financial crisis.

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The Many�Worlds Interpretation of Risk Neutrality

There are many risk‐neutral worlds, with different probabilities that support the same market prices. This matters in understanding how the originators of the Black‐Scholes model each thought...

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Everything Is Rosy Now

“Capital markets are great short‐term error correctors and poor long‐term predictors,” writes Kent. He calls the combination “rational myopia.”

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Stability 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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