Related papers: Risk diversification: a study of persistence with …
Research in quantitative finance has demonstrated that reinforcement learning (RL) methods have delivered promising outcomes in the context of hedging financial portfolios. For example, hedging a portfolio of European options using RL…
We set up a structural model to study credit risk for a portfolio containing several or many credit contracts. The model is based on a jump--diffusion process for the risk factors, i.e. for the company assets. We also include correlations…
Trees are fundamental data structure for many areas of computer science and system engineering. In this report, we show how to ensure eventual consistency of optimistically replicated trees. In optimistic replication, the different replicas…
The benefits of diversifying risks are difficult to estimate quantitatively because of the uncertainties in the dependence structure between the risks. Also, the modelling of multidimensional dependencies is a non-trivial task. This paper…
Drawing on a large database of publicly announced R&D alliances, we empirically investigate the evolution of R&D networks and the process of alliance formation in several manufacturing sectors over a 24-year period (1986-2009). Our goal is…
We propose a statistical model for weighted temporal networks capable of measuring the level of heterogeneity in a financial system. Our model focuses on the level of diversification of financial institutions; that is, whether they are more…
A study of correlations in tractable multiparticle cascade models in terms of wavelets reveals many promising features. The selfsimilar construction of the wavelet basis functions and their multiscale localization properties provide a new…
In financial markets marked by inherent volatility, extreme events can result in substantial investor losses. This paper proposes a portfolio strategy designed to mitigate extremal risks. By applying extreme value theory, we evaluate the…
We study the dynamics of inertial particles in two dimensional incompressible flows. The particle dynamics is modelled by four dimensional dissipative bailout embedding maps of the base flow which is represented by 2-d area preserving maps.…
--- the companies populating a Stock market, along with their connections, can be effectively modeled through a directed network, where the nodes represent the companies, and the links indicate the ownership. This paper deals with this…
The 2008 financial crisis illustrated the need for a thorough, functional understanding of systemic risk in strongly interconnected financial structures. Dynamic processes on complex networks being intrinsically difficult, most recent…
We present a new method for articulating scale-dependent topological descriptions of the network structure inherent in many complex systems. The technique is based on "Partition Decoupled Null Models,'' a new class of null models that…
Evolutionary graph theory (EGT) studies the effect of population structure on evolutionary dynamics. The vertices of the graph represent the $N$ individuals. The edges denote interactions for competitive replacement. Two standard update…
This paper investigates a novel behavioral feature of recursive preferences: aversion to risks that persist over time, or simply \textit{correlation aversion}. Greater persistence provides information about future consumption but reduces…
We investigate the time series of the degree of minimum spanning trees obtained by using a correlation based clustering procedure which is starting from (i) asset return and (ii) volatility time series. The minimum spanning tree is obtained…
The field of portfolio selection is an active research topic, which combines elements and methodologies from various fields, such as optimization, decision analysis, risk management, data science, forecasting, etc. The modeling and…
The last decades have not only been characterized by an explosive growth of data, but also an increasing appreciation of data as a valuable resource. Their value comes with the ability to extract meaningful patterns that are of economic,…
Understanding how information flows through the financial networks is important, especially during times of market turbulence. Unlike traditional assumptions where information travels along the shortest paths, real-world diffusion processes…
We propose a hybrid model of portfolio credit risk where the dynamics of the underlying latent variables is governed by a one factor GARCH process. The distinctive feature of such processes is that the long-term aggregate return…
We estimate generic statistical properties of a structural credit risk model by considering an ensemble of correlation matrices. This ensemble is set up by Random Matrix Theory. We demonstrate analytically that the presence of correlations…