scholarly journals An introduction to econophysics and quantitative finance

2015 ◽  
Vol 51 ◽  
pp. 320-336
Author(s):  
Rémy Chicheportiche ◽  
Thibault Jaisson ◽  
Iacopo Mastromatteo ◽  
Vincent Vargas
Keyword(s):  
Quantitative Finance

scholarly journals COVID-19 Outbreak and CO2 Emissions: Macro-Financial Linkages

2020 ◽  
Vol 14 (1) ◽  
pp. 12
Author(s):  
Julien Chevallier
Keyword(s):  
Co2 Emissions ◽  
Fossil Fuels ◽  
Mixed Data ◽  
Energy Information Administration ◽  
Time Varying ◽  
Data Sampling ◽  
Quantitative Finance ◽  
Financial Variables ◽  
Mixed Data Sampling ◽  
The One

In the Dynamic Conditional Correlation with Mixed Data Sampling (DCC-MIDAS) framework, we scrutinize the correlations between the macro-financial environment and CO2 emissions in the aftermath of the COVID-19 diffusion. The main original idea is that the economy’s lock-down will alleviate part of the greenhouse gases’ burden that human activity induces on the environment. We capture the time-varying correlations between U.S. COVID-19 confirmed cases, deaths, and recovered cases that were recorded by the Johns Hopkins Coronavirus Center, on the one hand; U.S. Total Industrial Production Index and Total Fossil Fuels CO2 emissions from the U.S. Energy Information Administration on the other hand. High-frequency data for U.S. stock markets are included with five-minute realized volatility from the Oxford-Man Institute of Quantitative Finance. The DCC-MIDAS approach indicates that COVID-19 confirmed cases and deaths negatively influence the macro-financial variables and CO2 emissions. We quantify the time-varying correlations of CO2 emissions with either COVID-19 confirmed cases or COVID-19 deaths to sharply decrease by −15% to −30%. The main takeaway is that we track correlations and reveal a recessionary outlook against the background of the pandemic.

scholarly journals From dissonance to resonance: cognitive interdependence in quantitative finance

2012 ◽  
Vol 41 (3) ◽  
pp. 383-417 ◽  
Author(s):  
Daniel Beunza ◽  
David Stark
Keyword(s):  
Quantitative Finance

scholarly journals FinRL: A Deep Reinforcement Learning Library for Automated Stock Trading in Quantitative Finance

2020 ◽  
Author(s):  
Xiao-Yang Liu ◽  
Hongyang Yang ◽  
Qian Chen ◽  
Runjia Zhang ◽  
Liuqing Yang ◽  
...  
Keyword(s):  
Reinforcement Learning ◽  
Stock Trading ◽  
Quantitative Finance

Quantitative Finance: Friend or Foe?

2012 ◽  
pp. 19-31
Author(s):  
Benjamin Herzog ◽  
Julien Turc
Keyword(s):  
Quantitative Finance

First-passage times of two-dimensional Brownian motion

2016 ◽  
Vol 48 (4) ◽  
pp. 1045-1060 ◽  
Author(s):  
Steven Kou ◽  
Haowen Zhong
Keyword(s):  
Brownian Motion ◽  
Analytical Solutions ◽  
Laplace Transforms ◽  
First Passage Times ◽  
Absolute Difference ◽  
Two Dimensional ◽  
First Passage ◽  
Quantitative Finance ◽  
The 1960S ◽  
Passage Times

AbstractFirst-passage times (FPTs) of two-dimensional Brownian motion have many applications in quantitative finance. However, despite various attempts since the 1960s, there are few analytical solutions available. By solving a nonhomogeneous modified Helmholtz equation in an infinite wedge, we find analytical solutions for the Laplace transforms of FPTs; these Laplace transforms can be inverted numerically. The FPT problems lead to a class of bivariate exponential distributions which are absolute continuous but do not have the memoryless property. We also prove that the density of the absolute difference of FPTs tends to ∞ if and only if the correlation between the two Brownian motions is positive.

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