SEC Adopts Investor Disclosure Improvements for Variable Annuities and...
The Securities and Exchange Commission today announced that it has adopted a new rule and related form and rule amendments to simplify and streamline disclosures for investors about variable annuities...
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Pandemic bonds issued by the World Bank are under fire, accused of having structural flaws that prevent them from supporting poor countries hit hard byâ¦
View ArticleGoogle launches TensorFlow Quantum, a machine learning framework for training...
Google launches TensorFlow Quantum, a machine learning framework for training quantum modelshttps://t.co/izDOEGjh7R â moneyscience (@moneyscience) March 10,â¦
View ArticleOperations Dashboard for ArcGIS
Coronavirus #COVID-19 Global Cases by the Center for Systems Science and Engineering at Johns Hopkins University. https://t.co/lj4Oc6wUS6 â moneyscienceâ¦
View ArticleHedging nontradable risks with transaction costs and price impact
Abstract A riskâaverse agent hedges her exposure to a nontradable risk factor U using a correlated traded asset S and accounts for the impact of her trades on both factors. The effect of the agent's...
View ArticleRobust XVA
Abstract We introduce an arbitrageâfree framework for robust valuation adjustments. An investor trades a credit default swap portfolio with a risky counterparty, and hedges credit risk by taking a...
View ArticleStatic and semistatic hedging as contrarian or conformist bets
Abstract In this paper, we argue that, once the costs of maintaining the hedging portfolio are properly taken into account, semistatic portfolios should more properly be thought of as separate classes...
View ArticleDeep Learning for Ranking Response Surfaces with Applications to Optimal...
In this paper, we propose deep learning algorithms for ranking response surfaces, with applications to optimal stopping problems in financial mathematics. The problem of ranking response surfaces is...
View ArticleBenchmark Dataset for Mid-Price Forecasting of Limit Order Book Data with...
Managing the prediction of metrics in high-frequency financial markets is a challenging task. An efficient way is by monitoring the dynamics of a limit order book to identify the information edge. This...
View ArticleA weighted finite difference method for American and Barrier options in...
This paper is focused on American option pricing in the subdiffusive Black Scholes model. Two methods for valuing American options in the considered model are proposed. The weighted scheme of the...
View ArticleOn the structure of the world economy: An absorbing Markov chain approach....
The expansion of global production networks has raised many important questions about the interdependence among countries and how future changes in the world economy are likely to affect the countries'...
View ArticleA Climate Insidium with a Price on Warming. (arXiv:2003.05114v1 [econ.GN])
In this paper, I introduce a new emissions trading system (ETS) design to address the problems with existing ETSs and carbon taxes. First, existing ETS designs inhibit emissions but do not constrain...
View ArticleMachine Learning Treasury Yields. (arXiv:2003.05095v1 [stat.ME])
We give explicit algorithms and source code for extracting factors underlying Treasury yields using (unsupervised) machine learning (ML) techniques, such as nonnegative matrix factorization (NMF) and...
View ArticleKryptoOracle: A Real-Time Cryptocurrency Price Prediction Platform Using...
Cryptocurrencies, such as Bitcoin, are becoming increasingly popular, having been widely used as an exchange medium in areas such as financial transaction and asset transfer verification. However,...
View ArticleA Mean-Field Game Approach to Equilibrium Pricing, Optimal Generation, and...
SREC markets are a market-based system designed to incentivize solar energy generation. A regulatory body imposes a lower bound on the amount of energy each regulated firm must generate via solar...
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Predicting bank distress with machine learning
The great American baseball sage, Yogi Berra, is thought to have once remarked: âItâs tough to make predictions, especially about the futureâ. That is certainly true, but thankfully the...
View ArticleThe responsible development, deployment and operation of machine learning...
The Data Exchange Podcast: Alejandro Saucedo on explainability, MLOps, adversarial robustness, and privacy.Subscribe: iTunes, Android, Spotify, Stitcher, Google, and RSS.Full show notes can be found on...
View ArticleCommodity financialisation and price co-movement: Lessons from two centuries...
Publication date: Available online 12 March 2020Source: Finance Research LettersAuthor(s): Adam Zaremba, Zaghum Umar, Mateusz Mikutowski
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