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Business automation in investment banking: fast forward…. or not?
By 2020 service automation, based on robotic process automation (RPA), cognitive automation (CA) and artificial intelligence (AI) has reached an intriguing and confusing moment in its evolution across...
View ArticleDifference between the determinants of operational risk reporting in Islamic...
In this study, the author investigates the operational risk reporting practices of Islamic banking institutions (IBIs) and conventional banks (CBs) in Saudi Arabia. Moreover, the author explores the...
View ArticleRisk capital reserve and measurement precision in modeling heavy-tailed...
This paper provides a rationale for adopting quantitative buffer capital, designed to absorb variations due to measurement errors, especially those originating from the estimation risk.
View ArticleVolatility forecasting: the role of internet search activity and implied...
In this study, the authors search for a benchmark model with available market-based predictors to evaluate the net contribution of internet search activity data in forecasting volatility. The paper...
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Data Update 2 for 2020: Retrospective on a Disruptive Decade
My data updates usually look at the data for the most recent year and what I learn from them, but 2020 also marks the end of a decade. In this post, I look back at markets over the period, a testing...
View ArticleSEC Office of Compliance Inspections and Examinations Publishes Observations...
The Securities and Exchange Commission Commission's Office of Compliance Inspections and Examinations (OCIE) today issued examination observations related to cybersecurity and operational resiliency...
View ArticleSEC Charges Portfolio Manager and Advisory Firm with Misrepresenting Risk in...
The Securities and Exchange Commission today announced charges against a New York-based investment adviser for misleading investors about the management of risk in a mutual fund. Catalyst Capital...
View ArticleLeery Funk’s Open Letter to Sovereign Leaders
By Bill Kelly, CAIA Association CEO In the interest of brevity, I am going to skip the salutation and get right to the heart of the matter. As my name implies, I am Leery of the lofty promises that...
View ArticleNear-real-time monitoring in real-time gross settlement systems: a traffic...
This paper develops a method to identify quantitative risks in financial market infrastructures (FMIs) that is inspired by the Principles for Financial Market Infrastructures.
View ArticleStochastic Comparative Statics in Markov Decision Processes....
In multi-period stochastic optimization problems, the future optimal decision is a random variable whose distribution depends on the parameters of the optimization problem. We analyze how the expected...
View ArticleDeep neural networks algorithms for stochastic control problems on finite...
This paper presents several numerical applications of deep learning-based algorithms that have been introduced in [HPBL18]. Numerical and comparative tests using TensorFlow illustrate the performance...
View ArticlePlayer-Compatible Learning and Player-Compatible Equilibrium....
Player-Compatible Equilibrium (PCE) imposes cross-player restrictions on the magnitudes of the players' "trembles" onto different strategies. These restrictions capture the idea that trembles...
View ArticleAsymptotics of the time-discretized log-normal SABR model: The implied...
We propose a novel time discretization for the log-normal SABR model $dS_t = sigma_t S_t dW_t, dsigma_t = omega sigma_t dZ_t$, with $mbox{corr}(W_t,Z_t)=varrho$, which is a variant of the...
View ArticleStock Price Prediction Using Convolutional Neural Networks on a Multivariate...
Prediction of future movement of stock prices has been a subject matter of many research work. In this work, we propose a hybrid approach for stock price prediction using machine learning and deep...
View ArticleAsymptotic expansion for the Hartman-Watson distribution. (arXiv:2001.09579v1...
The Hartman-Watson distribution with density $f_r(t)$ is a probability distribution defined on $t geq 0$ which appears in several problems of applied probability. The density of this distribution is...
View ArticleFinance from the viewpoint of physics. (arXiv:2001.09446v1 [q-fin.ST])
In this note we review the basic mathematical ideas used in finance in the language of modern physics. In the framework of discrete time formalism we discuss the effect time rescaling, and derive path...
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