Category

Research Papers

Francesco Pierangeli
0
Research Papers
April 6, 2017

From PF And The Systemic Risk Of Hedge Funds: Risk-Measurement Precision For Option Portfolios

Abstract The Securities and Exchange Commission’s Form PF is the implementation of Congress’s post-crisis mandate for risk reporting by hedge funds to help protect investors…
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Francesco Pierangeli
0
Research Papers
April 6, 2017

Contract As Automation: The Computational Representation Of Financial Agreements

Abstract We show that the fundamental legal structure of a well-written financial contract follows a state-transition logic that can be formalized mathematically as a finite-state…
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Francesco Pierangeli
0
Research Papers
April 6, 2017

Clustering Techniques And Their Effects On Portfolio Formation And Risk Analysis

Abstract This paper explores the application of three different port-folio formation rules using standard clustering techniques-K-means, K-mediods, and hierarchical-to a large financial data set (16…
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Francesco Pierangeli
0
Research Papers
April 6, 2017

The Application Of Visual Analytics To Financial Stability Monitoring

Abstract This paper provides an overview of visual analytics — the science of analytical reasoning enhanced by interactive visualizations tightly coupled with data analytics software…
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Francesco Pierangeli
0
Research Papers
April 6, 2017

Cryptography And The Economics Of Supervisory Information: Balancing Transparency And Confidentiality

Abstract We elucidate the tradeoffs between transparency and confidentiality in the context of financial regulation. The structure of information in financial contexts creates incentives with…
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Francesco Pierangeli
0
Research Papers
April 6, 2017

Systematic Scenario Selection: Stress Testing And The Nature Of Uncertainty

Abstract We present a technique for selecting multidimensional shock scenarios for use in financial stress testing. The methodology systematically enforces internal consistency among the shock…
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Francesco Pierangeli
1
Research Papers
April 6, 2017

Risk Management Data And Information For Improved Insigth

Abstract We provide an introduction and overview to the field of risk management for interested non-specialists, with a particular focus on the data and information…
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Francesco Pierangeli
1
Research Papers
April 6, 2017

A Brief History Of Financial Risk And Information

Abstract This chapter presents the historical context for the current state of financial information and risk management. In lieu of a comprehensive history, the authors…
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Francesco Pierangeli
0
Research Papers
April 6, 2017

Encoding Transparency: Literate Programming And Test Generation For Scientific Function Libraries

Abstract We present a variation on literate programming (see Knuth: 1984, 1992) targeting multiple simultaneous readerships, both human (e.g., coders, testers, analysts, etc.) and compilers/interpreters…
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Francesco Pierangeli
0
Research Papers
April 6, 2017

At The Limits Of Liquid Crystallinity: Stimuli Responsive 3D Columnar Liquid Crystals And Soft Crystals Of Supramolecular Anthracene Mesogens

Abstract Stimuli responsive 3D columnar liquid crystals and soft crystals of supramolecular anthracene mesogens were investigated in a study. X-ray scattering, modeling and temperature variable…
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