arXiv · arXiv · 2026
This study quantifies survivorship bias in India's NIFTY Smallcap 250 index using a dataset of 1,437 stocks over nine years (2016-2025). By reconstructing historical index composition through market capitalization ranking and comparing equal-weight portfolios of current constituents versus all historical members, I show that survivor-only backtesting overstates annual returns by 4.94 percentage points (23.3%) and Sha…
Harjot Singh Ranse
arXiv · arXiv · 2021
This research focuses on the study of relationships between public and private equity investors in France. In this regard, we need to apprehend the formal or informal nature of interactions that can sometimes take place within traditional innovation networks (Djellal \& Gallouj, 2018). For this, our article mobilizes a public-private partnerships approach (PPPs) and the resource-based view theory. These perspectives …
Jonathan Labbe
arXiv · arXiv · 2008
A linear and lagged relationship between inflation, unemployment and labor force change rate, p(t)=A0UE(t-t0)+A1dLF(t-t1)/LF(t-t1)+ A2, where A0, A1, and A2 are empirical country-specific coefficients, was found for developed economies. The relationship obtained for France is characterized by A0=-1, A1=4, A2=0.095, t0=4 years, and t1=4 years. For GDP deflator, it provides a RMS forecasting error (RMFSE) of 1.0% at a …
Ivan O. Kitov, Oleg I. Kitov, Svetlana A. Dolinskaya
arXiv · arXiv q-fin · 2020
The present paper originated from a problem in Financial Mathematics concerned with calculating the value of a European call option based on multiple assets each following the binomial model. The model led to an interesting family of polytopes $P(b)$ associated with the power-set $\mathcal{L} = \wp\{1,\dots,m\}$ and parameterized by $b \in \mathbb{R}^m$, each of which is a collection of probability density function o…
Assaf Libman
arXiv · arXiv · 2026
We consider a market maker who can only obtain and dispose of inventory by responding to a sequence of sealed-bid enquiries, and whose customers arrive with imbalanced intent: sellers more often than buyers, or the reverse. Under the assumption that the best competing response is exponentially distributed around a commonly discerned fair price, we observe a symmetry in the steady state solution that compresses the im…
Peter Cotton
arXiv · arXiv · 2026
Multimodal time-to-event prediction often requires integrating sensitive data distributed across multiple parties, making centralized model training impractical due to privacy constraints. At the same time, most existing multimodal survival models produce single deterministic predictions without indicating how confident the model is in its estimates, which can limit their reliability in real-world decision making. To…
Abhilash Kar, Basisth Saha, Tanmay Sen, Biswabrata Pradhan
arXiv · arXiv · 2024
Portfolio optimisation is essential in quantitative investing, but its implementation faces several practical difficulties. One particular challenge is converting optimal portfolio weights into real-life trades in the presence of realistic features, such as transaction costs and integral lots. This is especially important in automated trading, where the entire process happens without human intervention. Several works…
Cristiano Arbex Valle
arXiv · arXiv · 2023
The emergence of cryptoassets has sparked a paradigm shift in the world of finance and investment, ushering in a new era of digital assets with profound implications for the future of currency and asset management. A recent study showed that during the bubble period around the year, 2018, the price of cryptoasset, XRP has a strong anti correlation with the largest singular values of the correlation tensors obtained f…
Abhijit Chakraborty, Tetsuo Hatsuda, Yuichi Ikeda
arXiv · arXiv · 2021
Biofouling of ships causes major environmental and economic consequences all over the world. In addition, biofouling management of ship hulls causes both social, environmental and economic risks that should all be considered reaching well-balanced decisions. In addition, each case is unique and thus optimal management strategy must be considered case-specifically. We produced a novel decision support tool using Bayes…
Emilia Luoma, Mirka Laurila-Pant, Elias Altarriba, Inari Helle, Lena Granhag
arXiv · arXiv · 2018
We employ the thermal optimal path method to explore both the long-term and short-term interaction patterns between the onshore CNY and offshore CNH exchange rates (2012-2015). For the daily data, the CNY and CNH exchange rates show a weak alternate lead-lag structure in most of the time periods. When CNY and CNH display a large disparity, the lead-lag relationship is uncertain and depends on the prevailing market fa…
Hai-Chuan Xu, Wei-Xing Zhou, Didier Sornette
arXiv · arXiv · 2011
The highly detailed international trade data among all countries in the world during 1971-2000 shows that the kinds of export goods and the logarithmic GDP (gross domestic production) of a country has an S-shaped relationship. This indicates all countries can be divided into three stages accordingly. First, the poor countries always export very few kinds of products as we expect. Second, once the economic size (GDP) …
Lunchao Hu, Kailan Tian, Xin Wang, Jiang Zhang