This paper surveys deep learning algorithms, IoT cyber security and risk models, and established mathematical formulas to identify the best approach for developing a dynamic and self-adapting system for predictive cyber risk analytics supported with Artificial Intelligence and Machine Learning...

We consider a canonical asset pricing model, where agents with quadratic preferences are allowed to retrade a limited set of securities over multiple periods, after which these securities expire, and agents consume their liquidation values. A key assumption in this model is that agents have...

We build an equilibrium model to explain why stock return predictability concentrates in bad times. The key feature is that investors use different forecasting models, and hence assess uncertainty differently. As economic conditions deteriorate, uncertainty rises and investors' opinions...

We solve a dynamic general equilibrium model with generalized disappointment aversion preferences and continuous state endowment dynamics. We apply the framework to the term structure of interest rates and show that the model generates an upward sloping term structure of nominal interest rates,...

An accurate forecast of intraday volume is a key aspect of algorithmic trading. This manuscript proposes a state-space model to forecast intraday trading volume via the Kalman filter and derives closed-form expectation-maximization (EM) solutions for model calibration. The model is extended to...

We propose a new asset-pricing framework in which all securities' signals are used to predict each individual return. While the literature focuses on each security's own- signal predictability, assuming an equal strength across securities, our framework is flexible and includes...

We theoretically characterize the behavior of machine learning asset pricing models. We prove that expected out-of-sample model performance—in terms of SDF Sharpe ratio and average pricing errors—is improving in model parameterization (or “complexity”). Our results predict that the best...

This article introduces a very flexible framework for causal and predictive market views and stress-testing. The framework elegantly combines Bayesian networks (BNs) and Entropy Pooling (EP). In the new framework, BNs are used to generate a finite set of joint causal views / stress-tests for the...

We propose a strategy to extract the information on the market participants' expectation of the future short rate from the cross-sectional zero coupon bond prices. In line with the current market practice of building different yield curves for different tenors, we construct multiple one-factor...