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The LIBOR rate is currently scheduled for discontinuation, and the replacement advocated by regulators in the US is the Secured Overnight Financing Rate (SOFR). The change has the potential to disrupt the $200 trillion market of derivatives…
Volatility is a quantity of measurement for the price movements of stocks or options which indicates the uncertainty within financial markets. As an indicator of the level of risk or the degree of variation, volatility is important to…
Bilateral CVA as currently implement has the counterintuitive effect of profiting from one's own widening CDS spreads, i.e. increased risk of default, in practice. The unified picture of CVA and liquidity introduced by Morini & Prampolini…
The influence of broken structural homology, and the implied broken dynamical homology, is examined for the Fundamental Plane (FP). A bisector method of linear regression was applied, in 3-dimensions, to derive the best FP and a…
This study employs an event study methodology to investigate the market impact of the U.S. Securities and Exchange Commission's (SEC) classification of crypto assets as securities. It explores how SEC interventions influence asset returns…
The Chinese stock market experienced an abrupt crash in 2015, and over one-third of its market value evaporated. Given its associations with fear and the fine resolution with respect to frequency, the illiquidity of stocks may offer a…
Prior to the financial crisis mortgage securitization models increased in sophistication as did products built to insure against losses. Layers of complexity formed upon a foundation that could not support it and as the foundation crumbled…
The commissioning year of the Sloan Digital Sky Survey has demonstrated that many cataclysmic variables have been missed in previous surveys with brighter limits. We report the identification of 22 cataclysmic variables, of which 19 are new…
We present a new model for credit index derivatives, in the top-down approach. This model has a dynamic loss intensity process with volatility and jumps and can include counterparty risk. It handles CDS, CDO tranches, Nth-to-default and…
Standard methods and theories in finance can be ill-equipped to capture highly non-linear interactions in financial prediction problems based on large-scale datasets, with deep learning offering a way to gain insights into correlations in…
We report timing analysis of near-infrared (NIR), X-ray, and sub-millimeter (submm) data during a three-day coordinated campaign observing Sagittarius A*. Data were collected at 4.5 micron with the Spitzer Space Telescope, 2-8 keV with the…
The low-energy theory of graphene exhibits spontaneous chiral symmetry breaking due to pairing of quasiparticles and holes, corresponding to a semimetal-insulator transition at strong Coulomb coupling. We report a Lattice Monte Carlo study…
Soft default, defined as a delinquency of 90 days or more, is a relatively common event in the credit market, in 2010 such episodes affected about 3 million individuals. Yet we lack a detailed understanding of what happens afterward. We use…
We introduce the Dynamic Conditional SKEPTIC (DCS), a semiparametric approach for efficiently and robustly estimating time-varying correlations in multivariate models. We exploit nonparametric rank-based statistics, namely Spearman's rho…
This paper develops a continuous framework for analyzing financial contagion that incorporates both geographic proximity and interbank network linkages. The framework characterizes stress propagation through a master equation whose solution…
Performance of investment managers are evaluated in comparison with benchmarks, such as financial indices. Due to the operational constraint that most professional databases do not track the change of constitution of benchmark portfolios,…
We propose a new volatility model based on two stylized facts of the volatility in the stock market: clustering and leverage effect. We calibrate our model parameters, in the leading order, with 77 years Dow Jones Industrial Average data.…
``Self-Organised Criticality'' (SOC) is the mechanism by which complex systems spontaneously settle close to a *critical point*, at the edge between stability and chaos, and characterized by fat-tailed fluctuations and long-memory…
We study precursors to the global market crash that occurred on all main stock exchanges throughout the world in October 2008 about three weeks after the bankruptcy of Lehman Brothers Holdings Inc. on 15 September. We examine the collective…
We analyzed BiSON and GOLF/SoHO data with a new technique, to investigate p-mode power variation over solar cycle 23. We found a decrease in the mean velocity power of about 20% for BiSON during the ascending phase, in agreement with…