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Dynamic Financial Constraints: Distinguishing Mechanism Design
financial constraints mechanism design structural estimation and testing
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2014/9/9
We formulate and solve a range of dynamic models of constrained credit/insurance that allow for moral
hazard and limited commitment. We compare them to full insurance and exogenously incomplete finan...
Modeling high-frequency financial data by pure jump processes
Diffusion pure jump process semi-martingales high-frequency data hypothesis testing
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2012/6/21
It is generally accepted that the asset price processes contain jumps. In fact, pure jump models have been widely used to model asset prices and/or stochastic volatilities. The question is: is there a...
Scaling properties of first-passage time probabilities in financial markets
financial markets first-passage time probability Statistical Finance
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2011/9/29
Abstract: Financial markets provide an ideal frame for the study of first-passage time events of non-Gaussian correlated dynamics mainly because large data sets are available. Tick-by-tick data of six...
Efficiency measurement of enterprises using the financial variables of performance assessment and data envelopment analysis
Financial variables Performance measurement
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2010/9/26
The performance measurement of companies has been the subject of numerous surveys during the last few years. In the present study, the Data Envelopment Analysis (DEA) technique as well as the financia...
The Fundamental Theorem of Asset Pricing, the Hedging Problem and Maximal Claims in Financial Markets with Short Sales Prohibitions
Fundamental Theorem of Asset Pricing Hedging Problem Maximal claims Supermartingale
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2011/3/2
This paper consists of two parts. In the first part, by building on the work of Jouini
and Kallal in [26], Sch¨urger in [37], Frittelli in [15], Pham and Touzi in [34] and Napp in [33], we prove the ...
Replicating financial market dynamics with a simple self-organized critical lattice model
Computational Finance (q-fin.CP) Adaptation and Self-Organizing Systems (nlin.AO)
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2010/11/11
We explore a simple lattice field model intended to describe statistical properties of high frequency financial markets. The model is relevant in the cross-disciplinary area of econophysics. Its signa...
Mesoscopic modelling of financial markets
Mesoscopic modelling financial markets
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2010/12/15
We derive a mesoscopic description of the behavior of a simple financial market where the agents can create their own portfolio between two investment alternatives: a stock and a bond. The model is de...
Error bounds for small jumps of Lévy processes and financial applications
Approximation of small jumps L´ evy processes Skorokhod embedding
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2010/12/16
The pricing of exotic options in exponential L´evy models amounts to the computation of expectations of functionals of the whole path of a L´evy process. In many situations, Monte-Carlo me...
Semi-Closed Form Cubature and Applications to Financial Diffusion Models
Ninomiya–Victoir method cubature method Monte Carlo simulation
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2010/12/16
Cubature methods, a powerful alternative to Monte Carlo due to Kusuoka [Adv. Math. Econ. 6, 69–83, 2004] and Lyons–Victoir [Proc. R. Soc.Lond. Ser.
Computational LPPL Fit to Financial Bubbles
LPPL Fit Financial Bubbles log-periodic power law
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2010/4/27
The log-periodic power law (LPPL) is a model of asset prices during endogenous bubbles. If the on-going development of a bubble is suspected, asset prices can be fit numerically to the LPPL law. The b...
Characterizing Multi-Scale Self-Similar Behavior and Non-Statistical Properties of Financial Time Series
Non-stationary Time Series Wavelet Transform Fractals Power Law
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2010/4/27
We make use of wavelet transform to study the multi-scale, self similar behavior and deviations thereof, in the stock prices of large companies, belonging to different economic sectors. The stock mark...
Large-volatility dynamics in financial markets
Large-volatility dynamics financial markets
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2010/4/27
We investigate the large-volatility dynamics in financial markets, based on the minutely and daily data of the Chinese Indices and German DAX. The dynamic relaxation both before and after large volati...
Adaptive financial networks with static and dynamic thresholds
financial networks static dynamic thresholds
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2010/4/27
Based on the daily data of American and Chinese stock markets, the dynamic behavior of a financial network with static and dynamic thresholds is investigated. Compared with the static threshold, the d...
Reverse Engineering Financial Markets with Majority and Minority Games using Genetic Algorithms
agent-based models Genetic Algorithms
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2010/4/27
Using virtual stock markets with artificial interacting software investors, aka agent-based models (ABMs), we present a method to reverse engineer real-world financial time series. We model financial ...
A new space-time model for volatility clustering in the financial market
space-time model volatility clustering financial market
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2010/4/27
A new space-time model for interacting agents on the financial market is presented. It is a combination of the Curie-Weiss model and a space-time model introduced by J\"arpe 2005. Properties of the mo...