cicyt UNIZAR

Quantitative Finance

New submissions

[ total of 7 entries: 1-7 ]
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New submissions for Fri, 23 Feb 18

[1]  arXiv:1802.07741 [pdf, ps, other]
Title: A Unified Modeling Framework for Life and Non-Life Insurance
Subjects: Mathematical Finance (q-fin.MF)

In this paper we propose for the first time a unified framework suitable for modeling both life and non-life insurance market, with nontrivial dependence with the financial market. We introduce a direct modeling approach, which generalizes the reduced-form framework for credit risk and life insurance. We apply these results for pricing insurance products in hybrid markets by taking into account the role of inflation under the benchmark approach. This framework offers at the same time a general and flexible structure, as well as explicit and treatable pricing formula.

[2]  arXiv:1802.08135 [pdf, other]
Title: Optimal inventory management and order book modeling
Authors: Nicolas Baradel (CEREMADE, ENSAE), Bruno Bouchard (CEREMADE, PSL), David Evangelista (KAUST), Othmane Mounjid (CMAP)
Subjects: Trading and Market Microstructure (q-fin.TR); Probability (math.PR)

We model the behavior of three agent classes acting dynamically in a limit order book of a financial asset. Namely, we consider market makers (MM), high-frequency trading (HFT) firms, and institutional brokers (IB). Given a prior dynamic of the order book, similar to the one considered in the Queue-Reactive models [14, 20, 21], the MM and the HFT define their trading strategy by optimizing the expected utility of terminal wealth, while the IB has a prescheduled task to sell or buy many shares of the considered asset. We derive the variational partial differential equations that characterize the value functions of the MM and HFT and explain how almost optimal control can be deduced from them. We then provide a first illustration of the interactions that can take place between these different market participants by simulating the dynamic of an order book in which each of them plays his own (optimal) strategy.

Cross-lists for Fri, 23 Feb 18

[3]  arXiv:1802.08238 (cross-list from stat.AP) [pdf]
Title: What are the most important factors that influence the changes in London Real Estate Prices? How to quantify them?
Authors: Yiyang Gu
Subjects: Applications (stat.AP); General Finance (q-fin.GN)

In recent years, real estate industry has captured government and public attention around the world. The factors influencing the prices of real estate are diversified and complex. However, due to the limitations and one-sidedness of their respective views, they did not provide enough theoretical basis for the fluctuation of house price and its influential factors. The purpose of this paper is to build a housing price model to make the scientific and objective analysis of London's real estate market trends from the year 1996 to 2016 and proposes some countermeasures to reasonably control house prices. Specifically, the paper analyzes eight factors which affect the house prices from two aspects: housing supply and demand and find out the factor which is of vital importance to the increase of housing price per square meter. The problem of a high level of multicollinearity between them is solved by using principal components analysis.

Replacements for Fri, 23 Feb 18

[4]  arXiv:1703.10897 (replaced) [pdf, ps, other]
Title: Multi-unit Assignment under Dichotomous Preferences
Authors: Josue Ortega
Comments: 26 pages
Subjects: Economics (q-fin.EC); Computer Science and Game Theory (cs.GT)
[5]  arXiv:1711.03291 (replaced) [pdf, other]
Title: Portfolio Optimization and Model Predictive Control: A Kinetic Approach
Subjects: Portfolio Management (q-fin.PM); Analysis of PDEs (math.AP); Optimization and Control (math.OC); Trading and Market Microstructure (q-fin.TR)
[6]  arXiv:1801.00091 (replaced) [pdf, other]
Title: PrivySense: $\underline{Pri}$ce $\underline{V}$olatilit$\underline{y}$ based $\underline{Sen}$timent$\underline{s}$ $\underline{E}$stimation from Financial News using Machine Learning
Comments: Initial draft, updates are w.i.p
Subjects: Computational Finance (q-fin.CP)
[7]  arXiv:1801.10088 (replaced) [pdf, other]
Title: An SPDE Model for Systemic Risk with Endogenous Contagion
Comments: 53 pages, 2 figures
Subjects: Probability (math.PR); Mathematical Finance (q-fin.MF)
[ total of 7 entries: 1-7 ]
[ showing up to 2000 entries per page: fewer | more ]

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