Related papers: Transaction Cost Analytics for Corporate Bonds
We propose a unifying framework for the pricing of debt securities under general time-inhomogeneous short-rate diffusion processes. The pricing of bonds, bond options, callable/putable bonds, and convertible bonds (CBs) is covered. Using…
We investigate the general structure of optimal investment and consumption with small proportional transaction costs. For a safe asset and a risky asset with general continuous dynamics, traded with random and time-varying but small…
In most illiquid markets, there is no obvious proxy for the market price of an asset. The European corporate bond market is an archetypal example of such an illiquid market where mid-prices can only be estimated with a statistical model. In…
The paper investigates the effect of the label green in bond markets from the lens of the trading activity. The idea is that jumps in the dynamics of returns have a specific memory nature that can be well represented through a self-exciting…
Environments with fixed adjustment costs such as transaction costs or \lq menu costs\rq$ $ are widespread within economic systems. The presence of fixed minimal adjustment costs produces adjustment stickiness so that agents must choose a…
Trading large volumes of a financial asset in order driven markets requires the use of algorithmic execution dividing the volume in many transactions in order to minimize costs due to market impact. A proper design of an optimal execution…
After the beginning of the credit and liquidity crisis, financial institutions have been considering creating a convertible-bond type contract focusing on Capital. Under the terms of this contract, a bond is converted into equity if the…
The rise of digital payments has accelerated the need for intelligent and scalable systems to detect fraud. This research presents an end-to-end, feature-rich machine learning framework for detecting credit card transaction anomalies and…
Predicting metrics associated with entities' transnational behavior within payment processing networks is essential for system monitoring. Multivariate time series, aggregated from the past transaction history, can provide valuable insights…
We study the dynamic pricing problem faced by a broker seeking to learn prices for a large number of credit market securities, such as corporate bonds, government bonds, loans, and other credit-related securities. A major challenge in…
The online learning tools and management also known as Learning Management System (LMS) have been adopted by higher education as it allows convenient and flexibility in learning process between students and instructors or tutors with…
Climate change has intensified the urgency of effective carbon sink solutions, yet the integration of Information and Communications Technologies (ICT) in these systems remains fragmented despite its transformative potential. This paper…
We propose a general approximation method for determining optimal trading strategies in markets with proportional transaction costs, with a polynomial approximation of the residual value function. The method is exemplified by several…
The estimation of fill probabilities for trade orders represents a key ingredient in the optimization of algorithmic trading strategies. It is bound by the complex dynamics of financial markets with inherent uncertainties, and the…
Blockchain networks are facing increasingly heterogeneous computational demands, and in response, protocol designers have started building specialized infrastructure to supply that demand. This paper introduces Resonance: a new kind of…
In quantitative program analysis, values are assigned to execution traces to represent a quality measure. Such analyses cover important applications, e.g. resource usage. Examining all traces is well known to be intractable and therefore…
We study various novel complexity measures for two-sided matching mechanisms, applied to the two canonical strategyproof matching mechanisms, Deferred Acceptance (DA) and Top Trading Cycles (TTC). Our metrics are designed to capture the…
Previous studies of the stock price response to individual trades focused on single stocks. We empirically investigate the price response of one stock to the trades of other stocks. How large is the impact of one stock on others and vice…
Recent research on the response of stock prices to trading activity revealed long lasting effects, even across stocks of different companies. These results imply non-Markovian effects in price formation and when trading many stocks at the…
We study a single risky financial asset model subject to price impact and transaction cost over an infinite horizon. An investor needs to execute a long position in the asset affecting the price of the asset and possibly incurring in fixed…