Related papers: Music as an Asset Class
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…
Music summarization allows for higher efficiency in processing, storage, and sharing of datasets. Machine-oriented approaches, being agnostic to human consumption, optimize these aspects even further. Such summaries have already been…
This paper aims to test whether a multi-modal approach for music emotion recognition (MER) performs better than a uni-modal one on high-level song features and lyrics. We use 11 song features retrieved from the Spotify API, combined lyrics…
We study the problem of measuring the popularity of artists in music streaming platforms and the ensuing methods to compensate them (from the revenues platforms raise by charging users). We uncover the space of popularity indices upon…
This study presents a Reinforcement Learning (RL)-based portfolio management model tailored for high-risk environments, addressing the limitations of traditional RL models and exploiting market opportunities through two-sided transactions…
We study the problem of sharing the revenues raised from subscriptions to music streaming platforms among content providers. We provide direct, axiomatic and game-theoretical foundations for two focal (and somewhat polar) methods widely…
Options are contingent claims regarding the value of underlying assets. The Black-Scholes formula provides a road map for pricing these options in a risk-neutral setting, justified by a delta hedging argument in which countervailing…
Equity premium, the surplus returns of stocks over bonds, has been an enduring puzzle. While numerous prior works approach the problem assuming the utility of money is invariant across contexts, our approach implies that in efficient…
The behavior of users of music streaming services is investigated from the point of view of the temporal dimension of individual songs; specifically, the main object of the analysis is the point in time within a song at which users stop…
This article is part of a comprehensive research project on liquidity risk in asset management, which can be divided into three dimensions. The first dimension covers liability liquidity risk (or funding liquidity) modeling, the second…
For a public company, pricing and hedging models of options and equity--linked life insurance products have been sufficiently developed. However, for a private company, because of unobserved prices, pricing and hedging models of the…
We uncover a new anomaly in asset pricing that is linked to the remuneration: the more a company spends on salaries and benefits per employee, the better its stock performs, on average. Moreover, the companies adopting similar remuneration…
We pose the estimation and predictability of stock market performance. Three cases are taken: US, Japan, Germany, the monthly index of the value of realized investment in stocks, prices plus the value of dividend payments (OECD data). Once…
We consider an investor who seeks to maximize her expected utility derived from her terminal wealth relative to the maximum performance achieved over a fixed time horizon, and under a portfolio drawdown constraint, in a market with local…
We review recent progress in modeling credit risk for correlated assets. We start from the Merton model which default events and losses are derived from the asset values at maturity. To estimate the time development of the asset values, the…
The mood of a song is a highly relevant feature for exploration and recommendation in large collections of music. These collections tend to require automatic methods for predicting such moods. In this work, we show that listening-based…
We use multi-class machine learning classifiers to identify the stocks that outperform or underperform other stocks. The resulting long-short portfolios achieve annual Sharpe ratios of 1.67 (value-weighted) and 3.35 (equal-weighted), with…
We review different classes of cryptocurrencies with emphasis on their economic properties. Pure-asset coins such as Bitcoin, Ethereum and Ripple are characterized by not being a liability of any economic agent and most resemble commodities…
We consider a continuous-time game-theoretic model of an investment market with short-lived assets and endogenous asset prices. The first goal of the paper is to formulate a stochastic equation which determines wealth processes of investors…
We derive a closed-form expression capturing the degree of Relative Risk Aversion (RRA) of investors for non-"fair" lotteries. We argue that our formula is superior to earlier methods that have been proposed, as it is a function of only…