Related papers: A dual characterization of self-generation and exp…
We study factor models that combine latent factors with firm characteristics and propose a new framework for modeling, estimating, and inferring pricing errors. Following Zhang (2024), our approach decomposes mispricing into two distinct…
We present a class of L\'evy processes for modelling financial market fluctuations: Bilateral Gamma processes. Our starting point is to explore the properties of bilateral Gamma distributions, and then we turn to their associated L\'evy…
We introduce and document a class of probability distributions, called bilateral generalized inverse Gaussian (BGIG) distributions, that are obtained by convolution of two generalized inverse Gaussian distributions supported by the positive…
In this paper we propose a Farlie-Gumbel-Morgenstern (FGM) family of bivariate linear exponential distributions generated from given marginal's. Therefore, properties of FGM are analogous to properties of bivariate distributions. We study…
We consider a possible framework to categorify the exponential map exp(-f) given the categorification of a generator f of $\frak{sl}_2$ by Lauda. In this setup the Taylor expansions of exp(-f) and exp(f) turn into complexes built out of…
A quasi-automatic semigroup is defined by a finite set of generators, a rational (regular) set of representatives, such that if a is a generator or neutral, then the graph of right multiplication by a on the set of representatives is a…
We construct and describe the basic properties of a family of semifields in characteristic $2.$ The construction relies on the properties of projective polynomials over finite fields. We start by associating non-associative products to each…
We test for departures from normal and independent and identically distributed (NIID) returns, when returns under the alternative hypothesis are self-affine. Self-affine returns are either fractionally integrated and long-range dependent,…
We study a dynamical Ising model of agents' opinions (buy or sell) with coupling coefficients reassessed continuously in time according to how past external news (magnetic field) have explained realized market returns. By combining herding,…
Neural network based data-driven market simulation unveils a new and flexible way of modelling financial time series without imposing assumptions on the underlying stochastic dynamics. Though in this sense generative market simulation is…
Agent-based models provide a constructive approach to studying emergent dynamics in life-like systems composed of interacting, adaptive agents. Financial markets serve as a canonical example of such systems, where collective price dynamics…
Recently, there has been some interest for building supersymmetric models of double inflation. These models, realistic from a particle physics point of view, predict a broken-scale-invariant power spectrum of primordial cosmological…
Financial structures such as securitisations, insurance contracts, and other hierarchical claims systems can be interpreted as deterministic allocation mechanisms acting on stochastic inflow processes. This paper develops a general…
This work is devoted to the study of semimartingales on the dual of a general nuclear space. We start by establishing conditions for a cylindrical semimartingale in the strong dual $\Phi'$ of a nuclear space $\Phi$ to have a $\Phi'$-valued…
Thinking about the future is one of the important activities that people do in daily life. Futurists also pay a lot of effort into figuring out possible scenarios for the future. We argue that the exploration of this direction is still in…
We establish existence of Predictable Forward Performance Processes (PFPPs) in complete markets, which has been previously shown only in the binomial setting. Our market model can be a discrete-time or a continuous-time model, and the…
We introduce a simple and tractable methodology for estimating semiparametric conditional latent factor models. Our approach disentangles the roles of characteristics in capturing factor betas of asset returns from ``alpha.'' We construct…
We consider a discrete time financial market with proportional transaction costs under model uncertainty, and study a num\'eraire-based semi-static utility maximization problem with an exponential utility preference. The randomization…
This paper does not suppose a priori that the evolution of the price of a financial asset is a semimartingale. Since possible strategies of investors are self-financing, previous prices are forced to be finite quadratic variation processes.…
Following a long tradition of physicists who have noticed that the Ising model provides a general background to build realistic models of social interactions, we study a model of financial price dynamics resulting from the collective…