Authors and titles for Mar 2024
[ total of 79 entries: 1-25 | 26-50 | 51-75 | 76-79 ]
[ showing 25 entries per page: fewer | more | all ]
- [1] arXiv:2403.00006 [pdf, other]
Title: Local sensitivity analysis of heating degree day and cooling degree day temperature derivatives prices
Authors: Sara Ana Solanilla Blanco
Subjects: Pricing of Securities (q-fin.PR); Probability (math.PR)
- [2] arXiv:2403.00009 [pdf, other]
Title: Randomized Control in Performance Analysis and Empirical Asset Pricing
Authors: Cyril Bachelard, Apostolos Chalkis, Vissarion Fisikopoulos, Elias Tsigaridas
Comments: 57 pages, 7 figures, 2 tables
Subjects: Portfolio Management (q-fin.PM); Computational Geometry (cs.CG); Computational Finance (q-fin.CP)
- [3] arXiv:2403.00139 [pdf, other]
Title: Optimal positioning in derivative securities in incomplete markets
Authors: Tim Leung, Matthew Lorig, Yoshihiro Shirai
Comments: 22 pages, 3 figures
Subjects: Mathematical Finance (q-fin.MF)
- [4] arXiv:2403.00471 [pdf, other]
Title: Idiosyncratic Risk, Government Debt and Inflation
Authors: Matthias Hänsel
Subjects: General Economics (econ.GN)
- [5] arXiv:2403.00474 [pdf, ps, other]
Title: Volatility-based strategy on Chinese equity index ETF options
Authors: Peng Yifeng
Subjects: General Finance (q-fin.GN); Trading and Market Microstructure (q-fin.TR)
- [6] arXiv:2403.00523 [pdf, ps, other]
Title: Assessing the Efficacy of Heuristic-Based Address Clustering for Bitcoin
Authors: Hugo Schnoering, Pierre Porthaux, Michalis Vazirgiannis
Comments: 20 pages
Subjects: General Finance (q-fin.GN); Cryptography and Security (cs.CR); Social and Information Networks (cs.SI)
- [7] arXiv:2403.00653 [pdf, ps, other]
Title: Modelling Global Fossil CO2 Emissions with a Lognormal Distribution: A Climate Policy Tool
Authors: Faustino Prieto, Catalina B. García-García, Román Salmerón Gómez
Comments: 28 pages, 6 figures
Subjects: General Economics (econ.GN)
- [8] arXiv:2403.00707 [pdf, other]
Title: Dimensionality reduction techniques to support insider trading detection
Authors: Adele Ravagnani, Fabrizio Lillo, Paola Deriu, Piero Mazzarisi, Francesca Medda, Antonio Russo
Subjects: Statistical Finance (q-fin.ST)
- [9] arXiv:2403.00746 [pdf, other]
Title: A time-stepping deep gradient flow method for option pricing in (rough) diffusion models
Authors: Antonis Papapantoleon, Jasper Rou
Comments: 18 pages, 10 figures
Subjects: Computational Finance (q-fin.CP); Machine Learning (cs.LG); Probability (math.PR); Mathematical Finance (q-fin.MF)
- [10] arXiv:2403.00770 [pdf, other]
Title: Blockchain Metrics and Indicators in Cryptocurrency Trading
Authors: Juan C. King, Roberto Dale, José M. Amigó
Comments: 26 pages; 14 figures
Journal-ref: Solitons & Fractals, 178, 114305 (2024)
Subjects: Statistical Finance (q-fin.ST); Cryptography and Security (cs.CR)
- [11] arXiv:2403.00772 [pdf, other]
Title: Do Weibo platform experts perform better at predicting stock market?
Authors: Ziyuan Ma, Conor Ryan, Jim Buckley, Muslim Chochlov
Journal-ref: 2021, 22nd Engineering Applications of Neural Networks Conference (EANN 2021)
Subjects: Statistical Finance (q-fin.ST); Artificial Intelligence (cs.AI); Machine Learning (cs.LG); Social and Information Networks (cs.SI)
- [12] arXiv:2403.00774 [pdf, ps, other]
Title: Regional inflation analysis using social network data
Authors: Vasilii Chsherbakov, Ilia Karpov
Subjects: Statistical Finance (q-fin.ST); Computation and Language (cs.CL); Social and Information Networks (cs.SI)
- [13] arXiv:2403.00775 [pdf, ps, other]
Title: Detecting Anomalous Events in Object-centric Business Processes via Graph Neural Networks
Authors: Alessandro Niro, Michael Werner
Comments: 12 pages, 2 figures, to appear in the ICPM 2023 Workshops Proceedings
Subjects: Statistical Finance (q-fin.ST); Databases (cs.DB); Machine Learning (cs.LG)
- [14] arXiv:2403.00777 [pdf, ps, other]
Title: Combating Financial Crimes with Unsupervised Learning Techniques: Clustering and Dimensionality Reduction for Anti-Money Laundering
Authors: Ahmed N. Bakry, Almohammady S. Alsharkawy, Mohamed S. Farag, Kamal R. Raslan
Subjects: Statistical Finance (q-fin.ST); Machine Learning (cs.LG)
- [15] arXiv:2403.00782 [pdf, other]
Title: Ploutos: Towards interpretable stock movement prediction with financial large language model
Authors: Hanshuang Tong, Jun Li, Ning Wu, Ming Gong, Dongmei Zhang, Qi Zhang
Comments: 8 pages, 4 figures
Subjects: Statistical Finance (q-fin.ST); Artificial Intelligence (cs.AI); Computation and Language (cs.CL)
- [16] arXiv:2403.00785 [pdf, ps, other]
Title: Applying News and Media Sentiment Analysis for Generating Forex Trading Signals
Authors: Oluwafemi F Olaiyapo
Journal-ref: Review of Business and Economics Studies. 2023;11(4):84-94
Subjects: Statistical Finance (q-fin.ST); Machine Learning (cs.LG)
- [17] arXiv:2403.00796 [pdf, ps, other]
Title: Enhancing Mean-Reverting Time Series Prediction with Gaussian Processes: Functional and Augmented Data Structures in Financial Forecasting
Authors: Narayan Tondapu
Subjects: Statistical Finance (q-fin.ST); Artificial Intelligence (cs.AI); Machine Learning (cs.LG); Machine Learning (stat.ML)
- [18] arXiv:2403.00819 [pdf, other]
Title: Jump detection in high-frequency order prices
Authors: Markus Bibinger, Nikolaus Hautsch, Alexander Ristig
Comments: 33 pages, 6 figures, 5 tables
Subjects: Statistical Finance (q-fin.ST); Statistics Theory (math.ST)
- [19] arXiv:2403.01088 [pdf, other]
Title: Justifying the Volatility of S&P 500 Daily Returns
Authors: Hayden Brown
Subjects: Mathematical Finance (q-fin.MF)
- [20] arXiv:2403.01360 [pdf, ps, other]
Title: "Digitwashing": The Gap between Words and Deeds in Digital Transformation and Stock Price Crash Risk
Authors: Shutter Zor
Comments: 34 pages, 4 figures, 8 tables
Subjects: Statistical Finance (q-fin.ST); General Economics (econ.GN)
- [21] arXiv:2403.01468 [pdf, other]
Title: Properties of the entropic risk measure EVaR in relation to selected distributions
Authors: Yuliya Mishura, Kostiantyn Ralchenko, Petro Zelenko, Volodymyr Zubchenko
Comments: 16 pages, 7 figures
Subjects: Risk Management (q-fin.RM); Probability (math.PR)
- [22] arXiv:2403.01745 [pdf, other]
Title: Uncovering the Sino-US dynamic risk spillovers effects: Evidence from agricultural futures markets
Authors: Han-Yu Zhu, Peng-Fei Dai, Wei-Xing Zhou
Subjects: General Economics (econ.GN)
- [23] arXiv:2403.01770 [pdf, ps, other]
Title: Experimenting with Generative AI: Does ChatGPT Really Increase Everyone's Productivity?
Authors: Voraprapa Nakavachara, Tanapong Potipiti, Thanee Chaiwat
Subjects: General Economics (econ.GN)
- [24] arXiv:2403.01964 [pdf, other]
Title: The Heterogeneous Productivity Effects of Generative AI
Authors: David Kreitmeir, Paul A. Raschky
Subjects: General Economics (econ.GN); Artificial Intelligence (cs.AI)
- [25] arXiv:2403.02500 [pdf, ps, other]
Title: RVRAE: A Dynamic Factor Model Based on Variational Recurrent Autoencoder for Stock Returns Prediction
Authors: Yilun Wang, Shengjie Guo
Subjects: Portfolio Management (q-fin.PM); Machine Learning (cs.LG); Pricing of Securities (q-fin.PR)
[ total of 79 entries: 1-25 | 26-50 | 51-75 | 76-79 ]
[ showing 25 entries per page: fewer | more | all ]
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