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Dynamic programming for optimal stopping via pseudo-regression. (arXiv:1808.04725v1 [q-fin.CP])

August 14, 2018 by Quantitative Finance at arXiv   Comments (0)

We introduce new variants of classical regression-based algorithms for
optimal stopping problems based on computation of regression coefficients by
Monte Carlo approximation of the corresponding $L^2$ inner products instead of
the least-squares error functional. Coupled with new proposals for simulation
of the underlying samples, we call the approach "pseudo-regression". We show
that the approach leads to asymptotically smaller errors, as well as less
computational cost. The analysis is...

Regime-Switching Temperature Dynamics Model for Weather Derivatives. (arXiv:1808.04710v1 [q-fin.MF])

August 14, 2018 by Quantitative Finance at arXiv   Comments (0)

Weather is a key production factor in agricultural crop production and at the
same time the most significant and least controllable source of peril in
agriculture. These effects of weather on agricultural crop production have
triggered a widespread support for weather derivatives as a means of mitigating
the risk associated with climate change on agriculture. However, these products
are faced with basis risk as a result of poor design and modelling of the
underlying weather variable...

Optimal investment-consumption and life insurance with capital constraints. (arXiv:1808.04613v1 [q-fin.PM])

August 14, 2018 by Quantitative Finance at arXiv   Comments (0)

The aim of this paper is to solve an optimal investment, consumption and life
insurance problem when the investor is restricted to capital guarantee. We
consider an incomplete market described by a jump-diffusion model with
stochastic volatility. Using the martingale approach, we prove the existence of
the optimal strategy and the optimal martingale measure and we obtain the
explicit solutions for the power utility functions.

A derivation of the Black-Scholes option pricing model using a central limit theorem argument. (arXiv:1804.03290v2 [q-fin.GN] UPDATED)

August 14, 2018 by Quantitative Finance at arXiv   Comments (0)

The Black-Scholes model (sometimes known as the Black-Scholes-Merton model)
gives a theoretical estimate for the price of European options. The price
evolution under this model is described by the Black-Scholes formula, one of
the most well-known formulas in mathematical finance. For their discovery,
Merton and Scholes have been awarded the 1997 Nobel prize in Economics. The
standard method of deriving the Black-Scholes European call option pricing
formula involves stochastic differential...

Agtech Investment and the Future of Food

August 14, 2018 by All About Alpha   Comments (0)

Finistere Ventures, a venture capital firm that describes itself as in the business of helping “ambitious founders transform food and agriculture,” has teamed up with Pitchbook to produce a dataset that would enable “clear insights into financing activity and metrics in the agtech sector.” The result was the Agtech InvestmentRead More

DeepLOB: Deep Convolutional Neural Networks for Limit Order Books. (arXiv:1808.03668v1 [q-fin.CP])

August 13, 2018 by Quantitative Finance at arXiv   Comments (0)

We develop a large-scale deep learning model to predict price movements from
limit order book (LOB) data of cash equities. The architecture utilises
convolutional filters to capture the spatial structure of the limit order books
as well as LSTM modules to capture longer time dependencies. The model is
trained using electronic market quotes from the London Stock Exchange. Our
model delivers a remarkably stable out-of-sample prediction accuracy for a
variety of instruments and outperforms...

The Impact of Age on Nationality Bias: Evidence from Ski Jumping. (arXiv:1808.03804v1 [econ.GN])

August 13, 2018 by Quantitative Finance at arXiv   Comments (0)

This empirical research explores the impact of age on nationality bias. World
Cup competition data suggest that judges of professional ski jumping
competitions prefer jumpers of their own nationality and exhibit this
preference by rewarding them with better marks. Furthermore, the current study
reveals that this nationality bias is diminished among younger judges, in
accordance with the reported lower levels of national discrimination among
younger generations. Globalisation and its effect in...

A Predictive Model for Oil Market under Uncertainty: Data-Driven System Dynamics Approach. (arXiv:1808.04150v1 [econ.GN])

August 13, 2018 by Quantitative Finance at arXiv   Comments (0)

In recent years, there have been a lot of sharp changes in the oil price.
These rapid changes cause the traditional models to fail in predicting the
price behavior. The main reason for the failure of the traditional models is
that they consider the actual value of parameters instead of their
expectational ones. In this paper, we propose a system dynamics model that
incorporates expectational variables in determining the oil price. In our
model, the oil price is determined by the expected demand...