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PDSim: A Shiny App for Polynomial Diffusion Model Simulation and Estimation
PDSim is an R package that enables users to simulate commodity futures prices using the polynomial diffusion model introduced in Filipovic and Larsson (2016) through both a Shiny web application and R scripts. It also provides s ... Read More >
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Quantile connectedness across BRICS and international grain futures markets: Ins ...
This study examines the quantile connectedness among grain futures markets in BRICS and international markets, with a particular focus on the ongoing and escalating impacts of the Russia-Ukraine conflict. The findings reveal sig ... Read More >
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Managing Basis Risks in Weather Parametric Insurance: A Quantitative Study of Di ...
Weather parametric insurance relies on weather indices rather than actual loss assessments, enhancing claims efficiency, reducing moral hazard, and improving fairness. In the context of increasing climate change risks, despite g ... Read More >
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The Impact of Designated Market Makers on Market Liquidity and Competition: A Si ...
This paper conducts an empirical investigation into the effects of Designated Market Makers (DMMs) on key market quality indicators, such as liquidity, bid-ask spreads, and order fulfillment ratios. Through agent-based simulatio ... Read More >
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Position-building in competition with real-world constraints
This paper extends the optimal-trading framework developed in arXiv:2409.03586v1 to compute optimal strategies with real-world constraints. The aim of the current paper, as with the previous, is to study trading in the context o ... Read More >
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From Gini index as a Lyapunov functional to convergence in Wasserstein distance
In several recent works on infinite-dimensional systems of ODEs \cite{cao_derivation_2021,cao_explicit_2021,cao_iterative_2024,cao_sticky_2024}, which arise from the mean-field limit of agent-based models in economics and social ... Read More >
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Economic effects on households of an augmentation of the cash back duration of r ...
This article examines the economic effects of an increase in the duration of home loans on households, focusing on the French real estate market. It highlights trends in the property market, existing loan systems in other countr ... Read More >
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Optimal Investment with Costly Expert Opinions
We consider the Merton problem of optimizing expected power utility of terminal wealth in the case of an unobservable Markov-modulated drift. What makes the model special is that the agent is allowed to purchase costly expert op ... Read More >
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What Does ChatGPT Make of Historical Stock Returns? Extrapolation and Miscalibra ...
We examine how large language models (LLMs) interpret historical stock returns and compare their forecasts with estimates from a crowd-sourced platform for ranking stocks. While stock returns exhibit short-term reversals, LLM fo ... Read More >
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Macroscopic properties of equity markets: stylized facts and portfolio performan ...
Macroscopic properties of equity markets affect the performance of active equity strategies but many are not adequately captured by conventional models of financial mathematics and econometrics. Using the CRSP Database of the US ... Read More >