A generative model is a statistical model of the joint probability distribution. We built a generative model for univariate time series in finance using a Variational Autoencoder (VAE) neural network architecture. We test the model in SP500 and the Heston Model widely used for option pricing and...

This paper shows that row-continuous Markov chains with one or two boundaries have transient probabilities with matrix-geometric structure. Also explored is the relationship between the Green's function method and the matrix-geometric structure. Also explored is the relationship between the...

We consider a multivariate time series whose increments are given from a homogeneous Markov chain. We show that the martingale component of this process can be extracted by a filtering method and establish the corresponding martingale decomposition in closed-form. This representation is useful...

Growth-Trend (GT) timing from Philosophical Economics is a brilliant timing strategy which only signals a bear market when both the trend in the unemployment (UE) rate and the SP500 index are bearish. As a result, it captures most market downturns while switching to cash in less than 15% of the...

With 30% of the world's investment grade sovereign bonds trading at sub-zero yields, there is a growing acceptance that negative interest rates are the 'new normal.' Even very low probabilities of sustained negative interest rates in the future leads to incredibly high Expected Values for...

Prior academic research focuses on commodities in isolation as leading economic indicators, ignoring the message price behavior may have on other asset classes. We find that the relative movement of Lumber to Gold provides important information on economic growth and inflation expectations,...

Here we present a novel approach to how the Chief Investment Office (CIO) can select investment strategies to allocate to and to decide the percentage allocation to them. The method that we outline here is a continuation of our previous research on recommender systems science[13]. The aim of...

Fixed income investors favor higher yields with lower risk. Our objective in this paper is to outline an active fixed income strategy that maximizes yield and is protected against major risk factors affecting fixed income securities. In particular, we look at interest rate risk, credit risk,...