Quantitative Finance authors/titles "new" (2024)

New submissions

Submissions received from Wed 13 Mar 24 to Thu 14 Mar 24, announced Fri, 15 Mar 24

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[ total of 18 entries: 1-18 ]
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New submissions for Fri, 15 Mar 24

[1] arXiv:2403.08811 [pdf, other]

Title: The UK Universities Superannuation Scheme valuations 2014-2023: gilt yield dependence, self-sufficiency and metrics

Authors: Jackie Grant

Comments: 51 pages, 20 figures, 10 tables and 4 appendices

Subjects: General Finance (q-fin.GN)

This review considers the Universities Superannuation Scheme (USS) valuationsfrom 2014 to 2023. USS is a 70-80 billion GBP Defined Benefit pension schemewith over 500,000 members who are employed (or have been employed) at around 70UK universities. Disputes over USS have led to a decade of industrial action.New results are presented showing the high dependence of USS pensioncontributions on the return from UK government bonds (the gilt yield). The twoconditions of the USS-specific 'self-sufficiency' (SfS) definition areexamined. USS data are presented along with new analysis. It is shown that thesecond SfS condition of 'maintaining a high funding ratio' dominates USSmodelling to amplify gilt yield dependence, inflating the SfS liabilitiesbeyond the regulatory requirements, and leading to excessive prudence. The Red,Amber and Green status of USS metrics 'Actual' and 'Target' Reliance are alsoexamined. It is shown that Target Reliance tethers the cost of future pensionsto the SfS definition and that Actual Reliance can simultaneously be Green andRed. Implications for regulatory intervention are considered. An aim of thisreview is to support evidence-based decision making and consensus building.

[2] arXiv:2403.08846 [pdf, other]

Title: Valuation of Power Purchase Agreements for Corporate Renewable Energy Procurement

Authors: Roozbeh Qorbanian, Nils Löhndorf, David Wozabal

Subjects: General Economics (econ.GN)

Corporate renewable power purchase agreements (PPAs) are long-term contractsthat enable companies to source renewable energy without having to develop andoperate their own capacities. Typically, producers and consumers agree on afixed per-unit price at which power is purchased. The value of the PPA to thebuyer depends on the so called capture price defined as the difference betweenthis fixed price and the market value of the produced volume during theduration of the contract. To model the capture price, practitioners often useeither fundamental or statistical approaches to model future market prices,which both have their inherent limitations. We propose a new approach thatblends the logic of fundamental electricity market models with statisticallearning techniques. In particular, we use regularized inverse optimization ina quadratic fundamental bottom-up model of the power market to estimate themarginal costs of different technologies as a parametric function of exogenousfactors. We compare the out-of-sample performance in forecasting the captureprice using market data from three European countries and demonstrate that ourapproach outperforms established statistical learning benchmarks. We thendiscuss the case of a photovoltaic plant in Spain to illustrate how to use themodel to value a PPA from the buyer's perspective.

[3] arXiv:2403.08886 [pdf, ps, other]

Title: Measuring the bioeconomy economically: exploring the connections between concepts, methods, data, indicators and their limitations

Authors: Sebastián Leavy, Gabriela Allegretti, Elen Presotto, Marco Antonio Montoya, Edson Talamini

Comments: 68 pages, 12 figures, 1 Table, 2 annexes, Total of 17,758 words

Subjects: General Economics (econ.GN)

Despite its relevance, measuring the contributions of the bioeconomy tonational economies remains an arduous task that faces limitations. Part of thedifficulty is associated with the lack of a clear and widely accepted conceptof the bioeconomy and moves on to the connections between methods, data andindicators. The present study aims to define the concepts of bioeconomy and toexplore the connections between concepts, methods, data and indicators whenmeasuring the bioeconomy economically, and the limitations involved in thisprocess. The bioeconomy concepts were defined based on a literature review anda content analysis of 84 documents selected through snowballing procedures tofind articles measuring 'how big is the bioeconomy?'. The content of the 84documents was uploaded to the QDA Miner software and coded according to thebioeconomy concept, the methods or models used, the data sources accessed, theindicators calculated, and the limitations reported by the authors. The resultsof the occurrence and co-occurrence of the codes were extracted and analyzedstatistically, indicating that the measurement of bioeconomy (i) need recognizeand pursue the proposed concept of holistic bioeconomy; (ii) rarely consideredaspects of holistic bioeconomy (3.5%); (iii) is primarily based on the conceptof biomass-based bioeconomy (BmBB) (94%); (iv) the association with the conceptof biosphere (BsBB) appeared in 26% of the studies; (v) the biotech-basedbioeconomy (BtBB) was the least frequent (1.2%); (vi) there is a diversity ofmethods and models, but the most common are those traditionally used to measuremacroeconomic activities, especially input-output models; (vii) depending onthe prevailing methods, the data comes from various official statisticaldatabases, such as national accounts and economic activity classificationsystems;...

[4] arXiv:2403.09045 [pdf, ps, other]

Title: Entangled vs. Separable Choice

Authors: Nail Kashaev, Martin Plávala, Victor H. Aguiar

Subjects: General Economics (econ.GN)

See Also

Qifu Technology Inc. (QFIN) Stock Price, Quote & News - Stock AnalysisQuantitative Finance authors/titles Mar 2024Announcement of new Quantitative Finance (q-fin) archive

We study joint probabilistic choice rules that describe the behavior of twodecision makers, each facing a possibly different menu. These choice rules areseparable when they can be factored into autonomous choices from eachindividual solely correlated through their individual probabilistic choicerules. Despite recent interest in studying such rules, a completecharacterization of the restrictions on them remains an open question. Areasonable conjecture is that such restrictions on separable joint choice canbe factored into individual choice restrictions. We name these restrictionsseparable and show that this conjecture is true if and only if theprobabilistic choice rule of at least one decision maker uniquely identifiesthe distribution over deterministic choice rules. Otherwise, entangled choicerules exist that satisfy separable restrictions yet are not separable. Thepossibility of entangled choice complicates the characterization of separablechoice since one needs to augment the separable restrictions with the newemerging ones.

[5] arXiv:2403.09138 [pdf, ps, other]

Title: Study on Standardizing Working Time: A Case of XYZ Retail Store in Bandung, Indonesia

Authors: Aprodhita Anindya Putri, Akhmad Yunani

Comments: 9 pages, 11 tables, and 3 figures

Journal-ref: Aprodhita Anindya Putri, Akhmad Yunani. "Study on Standardizing Working Time: A Case of XYZ Retail Store in Bandung, Indonesia" International Research Journal of Economics and Management Studies, Vol. 3, No. 2, pp. 86-94, 2024

Subjects: General Economics (econ.GN)

Work time standardization helps to find and reduce wasteful movements andtime in the workplace, such as chatting, mobile phone use, insufficient rest,or unproductive tasks. This study aims to map the process of displayingproducts from the warehouse to the shelves and calculate and determine thestandard working time of employees of the Operations Division of PT XYZ Branchwho oversee displaying X Milk and Y Bread. The data was collected six times inthree weeks, including interviews and observations, and took a sample of 20pieces on each product to carry out data analysis such as data sufficiencytests and control charts. Several time deviations were found in the displayprocess of X Milk products on all observation days in different activities.Whereas in the process of displaying Y Bread, only the deviation of workingtime was found on the 4th observation day, which proves that the process needsto have a standard working time so that the activity work time is morecontrolled. Therefore, the analysis is carried out with the calculation ofperformance rating, time allowance, normal time, and standard time. The resultof the standard time calculation for the display process of X Milk products is15.83 minutes and Y Bread is 9.18 minutes for each product of 20 units.

[6] arXiv:2403.09265 [pdf, other]

Title: Zonal vs. Nodal Pricing: An Analysis of Different Pricing Rules in the German Day-Ahead Market

Authors: Johannes Knörr, Martin Bichler, Teodora Dobos

Comments: 35 pages, 9 figures

Subjects: General Economics (econ.GN)

The European electricity market is based on large pricing zones with auniform day-ahead price. The energy transition leads to shifts in supply anddemand and increasing redispatch costs. In an attempt to ensure efficientmarket clearing and congestion management, the EU Commission has mandated theBidding Zone Review (BZR) to reevaluate the configuration of European biddingzones. Based on a unique data set published in the context of the BZR, wecompare various pricing rules for the German power market. We compare marketclearing and pricing for national, zonal, and nodal models, including theirgeneration costs and associated redispatch costs. Moreover, we investigatedifferent non-uniform pricing rules and their economic implications for theGerman electricity market. Our results indicate that the differences in theaverage prices in different zones are small. The total costs across differentconfigurations are similar and the reduction of standard deviations in pricesis also small based on this data set. A nodal pricing rule leads to the lowesttotal costs. We also analyze the quality of different pricing rules and theirdifferences with respect to the quality of the price signals and the necessaryuplift payments. While the study focuses on Germany, the analysis is relevantbeyond and feeds into the broader discussion about pricing rules.

[7] arXiv:2403.09267 [pdf, other]

Title: Deep Limit Order Book Forecasting

Authors: Antonio Briola, Silvia Bartolucci, Tomaso Aste

Comments: 43 pages, 14 figures, 12 Tables

Subjects: Trading and Market Microstructure (q-fin.TR); Machine Learning (cs.LG)

We exploit cutting-edge deep learning methodologies to explore thepredictability of high-frequency Limit Order Book mid-price changes for aheterogeneous set of stocks traded on the NASDAQ exchange. In so doing, werelease `LOBFrame', an open-source code base, to efficiently processlarge-scale Limit Order Book data and quantitatively assess state-of-the-artdeep learning models' forecasting capabilities. Our results are twofold. Wedemonstrate that the stocks' microstructural characteristics influence theefficacy of deep learning methods and that their high forecasting power doesnot necessarily correspond to actionable trading signals. We argue thattraditional machine learning metrics fail to adequately assess the quality offorecasts in the Limit Order Book context. As an alternative, we propose aninnovative operational framework that assesses predictions' practicality byfocusing on the probability of accurately forecasting complete transactions.This work offers academics and practitioners an avenue to make informed androbust decisions on the application of deep learning techniques, their scopeand limitations, effectively exploiting emergent statistical properties of theLimit Order Book.

[8] arXiv:2403.09272 [pdf, ps, other]

Title: Global Shipyard Capacities Limiting the Ramp-Up of Global Hydrogen-based Transportation

Authors: Maximilian Stargardt (1,2), David Kress (1), Heidi Heinrichs (1), Jörn-Christian Meyer (3), Jochen Linßen (1), Grit Walther (3), Detlef Stolten (1,2) ((1) Forschungszentrum Jülich GmbH, Institute of Energy and Climate Research - Techno-economic Systems Analysis (IEK-3), Jülich, Germany (2) RWTH Aachen University, Chair of Fuel Cells, Faculty of Mechanical Engineering, Aachen, Germany (3) RWTH Aachen University, Chair of Operations Management, Schoolf of Business and Economics, Aachen, Germany)

Comments: Number of pages:26 + 4 pages Appendix Number of figures: 8

Subjects: General Economics (econ.GN)

Decarbonizing the global energy system requires significant expansions ofrenewable energy technologies. Given that cost-effective renewable sources arenot necessarily situated in proximity to the largest energy demand centersglobally, the maritime transportation of low-carbon energy carriers, such asrenewable-based hydrogen or ammonia, will be needed. However, whether existentshipyards possess the required capacity to provide the necessary global fleethas not yet been answered. Therefore, this study estimates global tanker demandbased on projections for global hydrogen demand, while comparing theseprojections with historic shipyard production. Our findings reveal a potentialbottleneck until 2033-2039 if relying on liquefied hydrogen exclusively. Thisbottleneck could be circumvented by increasing local hydrogen production,utilizing pipelines, or liquefied ammonia as an energy carrier for hydrogen.Furthermore, the regional concentration of shipyard locations raises concernsabout diversification. Increasing demand for container vessels couldsubstantially hinder the scale-up of maritime hydrogen transport.

[9] arXiv:2403.09470 [pdf, ps, other]

Title: Climate Immobility Traps: A Household-Level Test

Authors: Marco Letta, Pierluigi Montalbano, Adriana Paolantonio

Subjects: General Economics (econ.GN)

The complex relationship between climate shocks, migration, and adaptationhampers a rigorous understanding of the heterogeneous mobility outcomes of farmhouseholds exposed to climate risk. To unpack this heterogeneity, the analysiscombines longitudinal multi-topic household survey data from Nigeria with acausal machine learning approach, tailored to a conceptual framework bridgingeconomic migration theory and the poverty traps literature. The results showthat pre-shock asset levels, in situ adaptive capacity, and cumulative shockexposure drive not just the magnitude but also the sign of the impact ofa*griculture-relevant weather anomalies on the mobility outcomes of farminghouseholds. While local adaptation acts as a substitute for migration, theroles played by wealth constraints and repeated shock exposure suggest thepresence of climate-induced immobility traps.

[10] arXiv:2403.09494 [pdf, other]

Title: Layer 2 be or Layer not 2 be: Scaling on Uniswap v3

Authors: Austin Adams

Subjects: Trading and Market Microstructure (q-fin.TR)

This paper studies the market structure impact of cheaper and faster chainson the Uniswap v3 Protocol. The Uniswap Protocol is the largest decentralizedapplication on Ethereum by both gas and blockspace used, and user behaviors ofthe protocol are very sensitive to fluctuations in gas prices and marketstructure due to the economic factors of the Protocol. We focus on the chainswhere Uniswap v3 has the most activity, giving us the best comparison toEthereum mainnet. Because of cheaper gas and lower block times, we findevidence that the majority of swaps get better gas-adjusted execution on thesechains, liquidity providers are more capital efficient, and liquidity providershave increased fee returns from more arbitrage. We also present evidence thattwo second block times may be too long for optimal liquidity provider returns,compared to first come, first served. We argue that many of the currentdrawbacks with AMMs may be due to chain dynamics and are vastly improved withcheaper and faster transactions

Cross-lists for Fri, 15 Mar 24

[11] arXiv:2403.09532 (cross-list from math.OC) [pdf, other]

Title: Robust SGLD algorithm for solving non-convex distributionally robust optimisation problems

Authors: Ariel Neufeld, Matthew Ng Cheng En, Ying Zhang

Subjects: Optimization and Control (math.OC); Probability (math.PR); Mathematical Finance (q-fin.MF)

In this paper we develop a Stochastic Gradient Langevin Dynamics (SGLD)algorithm tailored for solving a certain class of non-convex distributionallyrobust optimisation problems. By deriving non-asymptotic convergence bounds, webuild an algorithm which for any prescribed accuracy $\varepsilon>0$ outputs anestimator whose expected excess risk is at most $\varepsilon$. As a concreteapplication, we employ our robust SGLD algorithm to solve the (regularised)distributionally robust Mean-CVaR portfolio optimisation problem using realfinancial data. We empirically demonstrate that the trading strategy obtainedby our robust SGLD algorithm outperforms the trading strategy obtained whensolving the corresponding non-robust Mean-CVaR portfolio optimisation problemusing, e.g., a classical SGLD algorithm. This highlights the practicalrelevance of incorporating model uncertainty when optimising portfolios in realfinancial markets.

Replacements for Fri, 15 Mar 24

[12] arXiv:2209.00534 (replaced) [pdf, other]

Title: Inequality of Opportunity and Income Redistribution

Authors: Marcel Preuss, Germán Reyes, Jason Somerville, Joy Wu

Comments: JEL codes: C91, D63

Subjects: General Economics (econ.GN)

[13] arXiv:2209.10334 (replaced) [pdf, other]

Title: Trade Co-occurrence, Trade Flow Decomposition, and Conditional Order Imbalance in Equity Markets

Authors: Yutong Lu, Gesine Reinert, Mihai Cucuringu

Subjects: Trading and Market Microstructure (q-fin.TR); Statistical Finance (q-fin.ST)

[14] arXiv:2309.05054 (replaced) [pdf, ps, other]

Title: Gamma Hedging and Rough Paths

Authors: John Armstrong, Andrei Ionescu

Subjects: Mathematical Finance (q-fin.MF)

[15] arXiv:2311.12450 (replaced) [pdf, other]

Title: Hedging carbon risk with a network approach

Authors: Michele Azzone, Maria Chiara Pocelli, Davide Stocco

Subjects: Portfolio Management (q-fin.PM)

[16] arXiv:2312.00506 (replaced) [pdf, ps, other]

Title: Generative artificial intelligence enhances creativity but reduces the diversity of novel content

Authors: Anil R. Doshi, Oliver P. Hauser

Subjects: Human-Computer Interaction (cs.HC); Artificial Intelligence (cs.AI); General Economics (econ.GN)

[17] arXiv:2402.13355 (replaced) [pdf, ps, other]

Title: A new characterization of second-order stochastic dominance

Authors: Yuanying Guan, Muqiao Huang, Ruodu Wang

Subjects: Risk Management (q-fin.RM)

[18] arXiv:2403.00774 (replaced) [pdf, ps, other]

Title: Regional inflation analysis using social network data

Authors: Vasilii Chsherbakov, Ilia Karpov

Subjects: Statistical Finance (q-fin.ST); Computation and Language (cs.CL); Social and Information Networks (cs.SI)

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[ total of 18 entries: 1-18 ]
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