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Quantitative Finance

New submissions

[ total of 9 entries: 1-9 ]
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New submissions for Thu, 22 Feb 18

[1]  arXiv:1802.07405 [pdf, other]
Title: Extracting the multi-timescale activity patterns of online financial markets
Comments: 14 pages, 2 figures
Subjects: Trading and Market Microstructure (q-fin.TR)

Online financial markets can be represented as complex systems where trading dynamics can be captured and characterized at different resolutions and time scales. In this work, we develop a methodology based on non-negative tensor factorization (NTF) aimed at extracting and revealing the multi-timescale trading dynamics governing online financial systems. We demonstrate the advantage of our strategy first using synthetic data, and then on real-world data capturing all interbank transactions (over a million) occurred in an Italian online financial market (e-MID) between 2001 and 2015. Our results demonstrate how NTF can uncover hidden activity patterns that characterize groups of banks exhibiting different trading strategies (normal vs. early vs. flash trading, etc.). We further illustrate how our methodology can reveal "crisis modalities" in trading triggered by endogenous and exogenous system shocks: as an example, we reveal and characterize trading anomalies in the midst of the 2008 financial crisis.

[2]  arXiv:1802.07422 [pdf]
Title: Blockchain: Data Malls, Coin Economies and Keyless Payments
Comments: 32 pages
Subjects: General Finance (q-fin.GN); Cryptography and Security (cs.CR); Economics (q-fin.EC)

We discuss several uses of blockchain (and, more generally, distributed ledger) technologies outside of cryptocurrencies with a pragmatic view. We mostly focus on three areas: the role of coin economies for what we refer to as data malls (specialized data marketplaces); data provenance (a historical record of data and its origins); and what we term keyless payments (made without having to know other users' cryptographic keys). We also discuss voting and other areas, and give a sizable list of academic and nonacademic references.

Cross-lists for Thu, 22 Feb 18

[3]  arXiv:1802.07312 (cross-list from physics.soc-ph) [pdf]
Title: Why are Megaprojects, Including Nuclear Power Plants, Delivered Overbudget and Late? Reasons and Remedies
Journal-ref: Center for Advanced Nuclear Energy Systems (CANES), Massachusetts Institute of Technology, 2018
Subjects: Physics and Society (physics.soc-ph); General Finance (q-fin.GN)

In the first section, this report analyses Nuclear Power Plants (NPPs) in the context of megaprojects, explaining why they are often delivered over budget and late. In the second section, the report discusses how Small Modular Reactors (SMRs) might address these issues. Megaprojects are extremely risky and often implemented after a sub-optimal phase of project planning leading to underestimations of the costs and overestimation of short-term benefits. When considering adherence to schedule and budget, often megaprojects might be considered a failure, and optimism bias, strategic mis-rapresentation, complexity, poor planning, poor risk allocation, poor scope management are all reasons to explain their over budget and delay. For megaprojects, especially in the nuclear field, a key strategy to achieve good performances appears to be the standardization. This standardization needs to be twofold: (i) technical standardisation, i.e. the construction of very similar design over and over, and (ii) the project delivery chain standardisation, i.e. the same stakeholders involved in the delivery of a project that is replicable multiple times. Under this perspective, given their size and standardisation potential, SMRs, might be a suitable class of NPP for several countries. Yet, if the economy of scale is the only driver considered, SMRs are hardly competitive with large NPPs (or even with gas or coal power plants). However, a fleet of standard SMRs might balance the lack of economy of scale with the economy of multiples, and the delivery of several standardised SMR projects might be the key to achieve good project management performances in the nuclear sector. However, the deployment of SMRs faces a number of challenges from several perspectives, such as the licencing, supply chain and financing ones. These challenges might be enormous, but so are the potential rewards too.

[4]  arXiv:1802.07457 (cross-list from econ.EM) [pdf]
Title: The Security of the United Kingdom Electricity Imports under Conditions of High European Demand
Comments: 13 pages, 11 figures
Subjects: Econometrics (econ.EM); General Finance (q-fin.GN)

Energy policy in Europe has been driven by the three goals of security of supply, economic competitiveness and environmental sustainability, referred to as the energy trilemma. Although there are clear conflicts within the trilemma, member countries have acted to facilitate a fully integrated European electricity market. Interconnection and cross-border electricity trade has been a fundamental part of such market liberalisation. However, it has been suggested that consumers are exposed to a higher price volatility as a consequence of interconnection. Furthermore, during times of energy shortages and high demand, issues of national sovereignty take precedence over cooperation. In this article, the unique and somewhat peculiar conditions of early 2017 within France, Germany and the United Kingdom have been studied to understand how the existing integration arrangements address the energy trilemma. It is concluded that the dominant interests are economic and national security; issues of environmental sustainability are neglected or overridden. Although the optimisation of European electricity generation to achieve a lower overall carbon emission is possible, such a goal is far from being realised. Furthermore, it is apparent that the United Kingdom, and other countries, cannot rely upon imports from other countries during periods of high demand and/or limited supply.

Replacements for Thu, 22 Feb 18

[5]  arXiv:1611.09300 (replaced) [pdf, other]
Title: Asymptotic approximation of optimal portfolio for small time horizons
Comments: 17 pages, 9 figures
Subjects: Probability (math.PR); Mathematical Finance (q-fin.MF); Portfolio Management (q-fin.PM)
[6]  arXiv:1612.02024 (replaced) [pdf, other]
Title: Impossible Inference in Econometrics: Theory and Applications
Subjects: Statistics Theory (math.ST); Economics (q-fin.EC); Applications (stat.AP); Methodology (stat.ME)
[7]  arXiv:1703.10897 (replaced) [pdf, ps, other]
Title: Multi-unit Assignment under Dichotomous Preferences
Authors: Josue Ortega
Comments: 26 pages
Subjects: Economics (q-fin.EC); Computer Science and Game Theory (cs.GT)
[8]  arXiv:1707.03542 (replaced) [pdf, other]
Title: Modeling Systemic Risk with Interbank Flows, Borrowing, and Investing
Comments: 26 pages, 29 figures. Keywords: systemic risk, stochastic control, principal-agent problem, stationary distribution, stochastic stability, Lyapunov function
Subjects: Risk Management (q-fin.RM)
[9]  arXiv:1712.00064 (replaced) [pdf, other]
Title: A Short-term Intervention for Long-term Fairness in the Labor Market
Authors: Lily Hu, Yiling Chen
Comments: 10 pages
Subjects: Computer Science and Game Theory (cs.GT); General Finance (q-fin.GN)
[ total of 9 entries: 1-9 ]
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