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We give a simple algorithm to incorporate the effects of resets in convertible bond prices, without having to add an extra factor to take into account the value of the reset. Furthermore we show that the effect of a notice period, and…
We study the impact of learning on the optimal policy and the time-to-decision in an infinite-horizon Bayesian sequential decision model with two irreversible alternatives, exit and expansion. In our model, a firm undertakes a small-scale…
Data augmentation is an effective technique to improve the generalization of deep neural networks. However, previous data augmentation methods usually treat the augmented samples equally without considering their individual impacts on the…
We investigate entropy as a financial risk measure. Entropy explains the equity premium of securities and portfolios in a simpler way and, at the same time, with higher explanatory power than the beta parameter of the capital asset pricing…
Energy efficiency gains in production and consumption are undisputed economic and environmental goals. However, potential energy savings derived from efficiency innovations may have short-lasting effects due to increased demand for more…
In addressing the question of the time scales characteristic for the market formation, we analyze high frequency tick-by-tick data from the NYSE and from the German market. By using returns on various time scales ranging from seconds or…
We note a simple mechanism that may at least partially resolve several outstanding economic puzzles, including why the cyclically adjusted price to earnings ratio of the S&P 500 index has been oddly high for the past two decades, why gains…
We use a controlled laboratory experiment to study the causal impact of income decreases within a time period on redistribution decisions at the end of that period, in an environment where we keep fixed the sum of incomes over the period.…
Quantitative investment is a fundamental financial task that highly relies on accurate stock prediction and profitable investment decision making. Despite recent advances in deep learning (DL) have shown stellar performance on capturing…
By incorporating market impact and asymmetric sensitivity into the evolutionary minority game, we study the coevolutionary dynamics of stock prices and investment strategies in financial markets. Both the stock price movement and the…
A model is presented of the market dynamics to emphasis the effects of increasing returns to scale, including the description of the born and death of the adaptive producers. The evolution of market structure and its behavior with the…
The empirical results have shown that firstly, with one-week holding period and reinvesting, for SSE Composite Index stocks, the highest p-ratio investment strategy produces the largest annualized rate of return; and for NYSE Composite…
While the global economy continues to grow, ecosystem services tend to stagnate or decline. Economic theory has shown how such shifts in relative scarcities can be reflected in project appraisal and accounting, but empirical evidence has…
The asymmetric price impact between the institutional purchases and sales of 32 liquid stocks in Chinese stock markets in year 2003 is carefully studied. We analyze the price impact in both drawup and drawdown trends with consecutive…
We derive analytic formulas to reconstruct particle-averaged quantities from experimental results that suffer from the efficiency loss of particle measurements. These formulas are derived under the assumption that the probabilities of…
We propose to study market efficiency from a computational viewpoint. Borrowing from theoretical computer science, we define a market to be \emph{efficient with respect to resources $S$} (e.g., time, memory) if no strategy using resources…
Capital growth, at large scales only, arrives with no help from net saving, and consequently with no help from consumption constraint. Net saving, at large scales, is sacrifice of consumption with nothing in return.
We introduce and study online conversion with switching costs, a family of online problems that capture emerging problems at the intersection of energy and sustainability. In this problem, an online player attempts to purchase…
We study the costs and benefits of selling data to a competitor. Although selling all consumers' data may decrease total firm profits, there exist other selling mechanisms -- in which only some consumers' data is sold -- that render both…
With the application of artificial intelligence in the financial field, quantitative trading is considered to be profitable. Based on this, this paper proposes an improved deep recurrent DRQN-ARBR model because the existing quantitative…