Related papers: Analysing Global Fixed Income Markets with Tensors
We present here a general framework, expressed by a system of nonlinear differential equations, suitable for the modelling of taxation and redistribution in a closed (trading market) society. This framework allows to describe the evolution…
Matrix-variate data of high dimensions are frequently observed in finance and economics, spanning extended time periods, such as the long-term data on international trade flows among numerous countries. To address potential structural…
Assessing world-wide financial integration constitutes a recurrent challenge in macroeconometrics, often addressed by visual inspections searching for data patterns. Econophysics literature enables us to build complementary, data-driven…
New versions of the set-valued average value at risk for multivariate risks are introduced by generalizing the well-known certainty equivalent representation to the set-valued case. The first "regulator" version is independent from any…
Fixed income has received far less attention than equity portfolio optimisation since Markowitz' original work of 1952, partly as a result of the need to model rates and credit risk. We argue that the shape of the efficient frontier is…
We introduce a framework to study the effective objectives at different time scales of financial market microstructure. The financial market can be regarded as a complex adaptive system, where purposeful agents collectively and…
We explore a decomposition in which returns on a large class of portfolios relative to the market depend on a smooth non-negative drift and changes in the asset price distribution. This decomposition is obtained using general continuous…
In modern data science, dynamic tensor data is prevailing in numerous applications. An important task is to characterize the relationship between such dynamic tensor and external covariates. However, the tensor data is often only partially…
The inf-convolution of risk measures is directly related to risk sharing and general equilibrium, and it has attracted considerable attention in mathematical finance and insurance problems. However, the theory is restricted to finite sets…
In this paper, we investigate a financial market model consisting of a risky asset, modeled as a general diffusion parameterized by a scale function and a speed measure, and a bank account process with a constant interest rate. This…
Hedge Funds are considered as one of the portfolio management sectors which shows a fastest growing for the past decade. An optimal Hedge Fund management requires an appropriate risk metrics. The classic CAPM theory and its Ratio Sharpe…
In fixed income sector, the yield curve is probably the most observed indicator by the market for trading and fifinancing purposes. A yield curve plots interest rates across different contract maturities from short end to as long as 30…
We formulate a flexible micro-to-macro kinetic model which is able to explain the emergence of income profiles out of a whole of individual economic interactions. The model is expressed by a system of several nonlinear differential…
Deep learning searches for nonlinear factors for predicting asset returns. Predictability is achieved via multiple layers of composite factors as opposed to additive ones. Viewed in this way, asset pricing studies can be revisited using…
This papers aims to establish the empirical relationship between income, net wealth and their joint distribution in a selected group of euro area countries. I estimate measures of dependence between income and net wealth using a…
Stress testing refers to the application of adverse financial or macroeconomic scenarios to a portfolio. For this purpose, financial or macroeconomic risk factors are linked with asset returns, typically via a factor model. We expand the…
The fragmentation of production across countries has become an important feature of the globalization in recent decades and is often conceptualized by the term, global value chains (GVCs). When empirically investigating the GVCs, previous…
The recent financial crisis have generated renewed interests in fragilities of global financial networks among economists and regulatory authorities. In particular, a potential vulnerability of the financial networks is the "financial…
To address the common problem of high dimensionality in tensor regressions, we introduce a generalized tensor random projection method that embeds high-dimensional tensor-valued covariates into low-dimensional subspaces with minimal loss of…
Traditional macroeconomic models, based on static algebraic systems, fail to capture the dynamics of a bimonetary economy like Argentina's. This paper proposes a framework based on category theory to develop a more flexible and structured…