Showing 1 - 10 of 14
Sodium-ion batteries (SIBs) are suitable candidates for the field of large-scale energy storage due to infinite global reserves and low-cost of sodium. Prussian blue (PB) and its analogues are promising cathode materials for SIBs because of their environmental friendliness, open framework, and...
Persistent link: https://www.econbiz.de/10013304073
We analyze the fluctuation of the loss from default around its large portfolio limit in a class of reduced-form models of correlated firm-by-firm default timing. We prove a weak convergence result for the fluctuation process and use it for developing a conditionally Gaussian approximation to the...
Persistent link: https://www.econbiz.de/10013064447
Stochastic gradient descent in continuous time (SGDCT) provides a computationally efficient method for the statistical learning of continuous-time models, which are widely used in science, engineering, and finance. The SGDCT algorithm follows a (noisy) descent direction along a continuous stream...
Persistent link: https://www.econbiz.de/10012958523
We treat the parameter estimation problem for mean-field models of large interacting financial systems such as the banking system and a pool of assets held by an institution or backing a security. We develop an asymptotic inference approach that addresses the scale and complexity of such...
Persistent link: https://www.econbiz.de/10012901435
We examine the behavior of mortgage borrowers over several economic cycles using an unprecedented dataset of origination and monthly performance records for over 120 million mortgages originated across the US between 1995 and 2014. Our deep learning model of multi-period mortgage delinquency,...
Persistent link: https://www.econbiz.de/10012935974
This paper develops a new neural network architecture for modeling spatial distributions (i.e., distributions on R^d) which is computationally efficient. The design of the architecture takes advantage of the specific structure of limit order books. The new architecture, which we refer to as a...
Persistent link: https://www.econbiz.de/10012970366
Financial institutions, government-sponsored enterprises, and asset-backed security in- vestors are often exposed to delinquency and prepayment risk from large numbers of loans. Examples include mortgages, credit cards, auto, student, and business loans. Due to the size of the pools, the...
Persistent link: https://www.econbiz.de/10012972596
We consider the problem of optimally selecting a large portfolio of risky loans, such as mortgages, credit cards, auto loans, student loans, or business loans. Examples include loan portfolios held by financial institutions and fixed-income investors as well as pools of loans backing mortgage-...
Persistent link: https://www.econbiz.de/10012856103
We prove a law of large numbers for the loss from default and use it for approximating the distribution of the loss from default in large, potentially heterogenous portfolios. The density of the limiting measure is shown to solve a non-linear stochastic PDE, and certain moments of the limiting...
Persistent link: https://www.econbiz.de/10012857388
Using a large-scale Deep Learning approach applied to a high-frequency database containing billions of electronic market quotes and transactions for US equities, we uncover nonparametric evidence for the existence of a universal and stationary price formation mechanism relating the dynamics of...
Persistent link: https://www.econbiz.de/10012924845