Related papers: Implementation of a Port-graph Model for Finance
Disruptions at critical logistics nodes pose severe risks to global supply chains, yet existing risk prediction systems typically prioritize forecasting accuracy without providing operationally interpretable early warnings. This paper…
We present an approach, based on deep neural networks, that allows identifying robust statistical arbitrage strategies in financial markets. Robust statistical arbitrage strategies refer to trading strategies that enable profitable trading…
Recent studies have shown that online portfolio selection strategies that exploit the mean reversion property can achieve excess return from equity markets. This paper empirically investigates the performance of state-of-the-art mean…
We consider two market designs for a network of prosumers, trading energy: (i) a centralized design which acts as a benchmark, and (ii) a peer-to-peer market design. High renewable energy penetration requires that the energy market design…
Modern approaches to stock pricing in quantitative finance are typically founded on the 'Black-Scholes model' and the underlying 'random walk hypothesis'. Empirical data indicate that this hypothesis works well in stable situations but, in…
A numerical agent-based spin model of financial markets, based on the Potts model from statistical mechanics, with a novel interpretation of the spin variable (as regards financial-market models) is presented. In this model, a value of the…
Money launderers take advantage of limitations in existing detection approaches by hiding their financial footprints in a deceitful manner. They manage this by replicating transaction patterns that the monitoring systems cannot easily…
We consider a class of generalized capital asset pricing models in continuous time with a finite number of agents and tradable securities. The securities may not be sufficient to span all sources of uncertainty. If the agents have…
The forecasting of the credit default risk has been an important research field for several decades. Traditionally, logistic regression has been widely recognized as a solution due to its accuracy and interpretability. As a recent trend,…
This paper describes an end-to-end solution for the relationship prediction task in heterogeneous, multi-relational graphs. We particularly address two building blocks in the pipeline, namely heterogeneous graph representation learning and…
Motivated by the AIG bailout case in the financial crisis of 2007-2008, we consider an insurer who wants to maximize the expected utility of the terminal wealth by selecting optimal investment and risk control strategies. The insurer's risk…
Stock portfolios are often exposed to rare consequential events (e.g., 2007 global financial crisis, 2020 COVID-19 stock market crash), as they do not have enough historical information to learn from. Large Language Models (LLMs) now…
Quantitative finance has had a long tradition of a bottom-up approach to complex systems inference via multi-agent systems (MAS). These statistical tools are based on modelling agents trading via a centralised order book, in order to…
Agent-based modeling (ABM) has long been used in economics to study human behavior, and large language model (LLM) agents now enable new forms of social and economic simulation. While prior work has discovered strategic deception by LLM…
As financial instruments grow in complexity more and more information is neglected by risk optimization practices. This brings down a curtain of opacity on the origination of risk, that has been one of the main culprits in the 2007-2008…
The existence of stylized facts in financial data has been documented in many studies. In the past decade the modeling of financial markets by agent-based computational economic market models has become a frequently used modeling approach.…
This paper deals with applications of coherent risk measures to pricing in incomplete markets. Namely, we study the No Good Deals pricing technique based on coherent risk. Two forms of this technique are presented: one defines a good deal…
With their high information density and intuitive readability, charts have become the de facto medium for data analysis and communication across disciplines. Recent multimodal large language models (MLLMs) have made notable progress in…
Analysis of the 2007-8 credit crisis has concentrated on issues of relaxed lending standards, and the perception of irrational behaviour by speculative investors in real estate and other assets. Asset backed securities have been extensively…
We develop an agent-based simulation of the catastrophe insurance and reinsurance industry and use it to study the problem of risk model homogeneity. The model simulates the balance sheets of insurance firms, who collect premiums from…