Hasil untuk "q-fin.PR"

Birger Wernerfelt, Cynthia A. Montgomery

Larry H. P. Lang, R. Stulz, R. Walkling

Cynthia A. Montgomery, Birger Wernerfelt

Paolo Marcellini

J. Tsitsiklis

F. Nistal de Paz, C. Nistal de Paz

Steven R. Brown

K. Golec-Biernat, M. Wüsthoff

We present a model based on the concept of saturation for small $Q^2$ and small $x$. With only three parameters we achieve a good description of all Deep Inelastic Scattering data below $x=0.01$. This includes a consistent treatment of charm and a successful extrapolation into the photoproduction regime. The same model leads to a roughly constant ratio of diffractive and inclusive cross section.

K. Parsons, Agata McCormac, M. Butavicius et al.

Patrick Ling

Although the valuation of life contingent assets has been thoroughly investigated under the framework of mathematical statistics, little financial economics research pays attention to the pricing of these assets in a non-arbitrage, complete market. In this paper, we first revisit the Fundamental Theorem of Asset Pricing (FTAP) and the short proof of it. Then we point out that discounted asset price is a martingale only when dividends are zero under all random states of the world, using a simple proof based on pricing kernel. Next, we apply Fundamental Theorem of Asset Pricing (FTAP) to find valuation formula for life contingent assets including life insurance policies and life contingent annuities. Last but not least, we state the assumption of static portfolio in a dynamic economy, and clarify the FTAP that accommodates the valuation of a portfolio of life contingent policies.

Abass Sagna

We consider islamic Profit and Loss (PL) sharing contract, possibly combined with an agency contract, and introduce the notion of {\em $c$-fair} profit sharing ratios ($c = (c_1, \ldots,c_d) \in (\mathbb R^{\star})^d$, where $d$ is the number of partners) which aims to determining both the profit sharing ratios and the induced expected maturity payoffs of each partner $\ell$ according to its contribution, determined by the rate component $c_{\ell}$ of the vector $c$, to the global success of the project. We show several new results that elucidate the relation between these profit sharing ratios and various important economic factors as the investment risk, the labor and the capital, giving accordingly a way of choosing them in connection with the real economy. The design of our approach allows the use of all the range of econometrics models or more general stochastic diffusion models to compute or approximate the quantities of interest.

Jiho Park

This paper proposes a theory of stock market predictability patterns based on a model of heterogeneous beliefs. In a discrete finite time framework, some agents receive news about an asset's fundamental value through a noisy signal. The investors are heterogeneous in that they have different beliefs about the stochastic supply. A momentum in the stock price arises from those agents who incorrectly underestimate the signal accuracy, dampening the initial price impact of the signal. A reversal in price occurs because the price reverts to the fundamental value in the long run. An extension of the model to multiple assets case predicts co-movement and lead-lag effect, in addition to cross-sectional momentum and reversal. The heterogeneous beliefs of investors about news demonstrate how the main predictability anomalies arise endogenously in a model of bounded rationality.

M. Mursaleen, K. Ansari, Asif Khan

Mykola Pinchuk

This paper examines the response of major cryptocurrencies to macroeconomic news announcements (MNA). While other cryptocurrencies exhibit no reaction to major MNA, Bitcoin responds negatively to inflation surprise. Price of Bitcoin decreases by 24 bps in response to a 1 standard deviation inflationary surprise. This reaction is inconsistent with widely-held beliefs of practitioners that Bitcoin can hedge inflation. I do not find support for the hypothesis that the negative response of Bitcoin to inflation is due to its negative exposure to interest rates. Instead, I find support for the hypothesis that Bitcoin is strongly affected by the shift in consumption-savings decisions, driven by the rise in inflation. Consistent with this view, Bitcoin has negative exposure to a proxy for the consumption-savings ratio.

Zhenfei Tan, H. Zhong, Q. Xia et al.

The technical virtual power plant (TVPP) is a promising paradigm to facilitate the integration of distributed energy resources (DERs) while incorporating operational constraints of both DERs and networks. Due to the volatility and limited predictability of DER generation and electric loads, the output capability of the TVPP is uncertain. In this regard, this paper proposes the robust capability curve (RCC) of the TVPP, which explicitly characterizes the allowable range of the scheduled power output that is executable for the TVPP under uncertainties. Implementing the RCC can secure the scheduling of the TVPP against unexpected fluctuations of operating conditions when the TVPP participates in the transmission-level dispatch. Mathematically, the RCC is the first-stage feasible set of an adjustable robust optimization problem. An uncertainty set model incorporating the variable correlation and uncertainty budget is employed, which makes the robustness and conservatism of the RCC adjustable. A novel methodology is proposed to estimate the RCC by the convex hull of several points on its perimeter. These perimeter points are obtained by solving a series of multi scenario-optimal power flow problems with worst-case uncertainty realizations identified based on a linearized network configuration. Case studies based on the IEEE-13 test feeder validate the effectiveness of the RCC to ensure the scheduling feasibility while hedging against uncertainties. The computational efficiency of the proposed RCC estimation method is also verified based on larger-scale test systems.

H. Srivastava, B. Khan, N. Khan et al.

Hongwei Ge, Yumei Song, Chunguo Wu et al.

The problem of adaptive traffic signal control in the multi-intersection system has attracted the attention of researchers. Among the existing methods, reinforcement learning has shown to be effective. However, the complex intersection features, heterogeneous intersection structures, and dynamic coordination for multiple intersections pose challenges for reinforcement learning-based algorithms. This paper proposes a cooperative deep Q-network with Q-value transfer (QT-CDQN) for adaptive multi-intersection signal control. In QT-CDQN, a multi-intersection traffic network in a region is modeled as a multi-agent reinforcement learning system. Each agent searches the optimal strategy to control an intersection by a deep Q-network that takes the discrete state encoding of traffic information as the network inputs. To work cooperatively, the agent considers the influence of the latest actions of its adjacencies in the process of policy learning. Especially, the optimal Q-values of the neighbor agents at the latest time step are transferred to the loss function of the Q-network. Moreover, the strategy of the target network and the mechanism of experience replay are used to improve the stability of the algorithm. The advantages of QT-CDQN lie not only in the effectiveness and scalability for the multi-intersection system but also in the versatility to deal with the heterogeneous intersection structures. The experimental studies under different road structures show that the QT-CDQN is competitive in terms of average queue length, average speed, and average waiting time when compared with the state-of-the-art algorithms. Furthermore, the experiments of recurring congestion and occasional congestion validate the adaptability of the QT-CDQN to dynamic traffic environments.

Ji-Cai Liu, F. Petrov

We establish a $q$-analogue of Sun--Zhao's congruence on harmonic sums. Based on this $q$-congruence and a $q$-series identity, we prove a congruence conjecture on sums of central $q$-binomial coefficients, which was recently proposed by Guo. We also deduce a $q$-analogue of a congruence due to Apagodu and Zeilberger from Guo's $q$-congruence.

M. Govindaraj, S. Sivasubramanian

A. Basharin, V. Chuguevsky, Nikita Volsky et al.

We demonstrate that ideal anapole metamaterials have infinite Q-factor. We have designed and fabricated a metamaterial consisting of planar metamolecules which exhibit anapole behavior in the sense that the electric dipole radiation is almost cancelled by the toroidal dipole one, producing thus an extremely high Q-factor at the resonance frequency. The size of the system, at the mm range, and the parasitic magnetic quadrupole radiation are the factors limiting the size of the Q-factor. In spite of the very low radiation losses the local fields at the metamolecules are extremely high, of the order of higher than the external incoming field.