Statistical Finance
As a fundamental method in economics and finance, the factor model has been extensively utilized in quantitative investment. In recent years, there has been a paradigm shift from traditional linear models with expert-designed factors to…
We investigate the application of quantum cognition machine learning (QCML), a novel paradigm for both supervised and unsupervised learning tasks rooted in the mathematical formalism of quantum theory, to distance metric learning in…
We study conditional linear factor models in the context of asset pricing panels. Our analysis focuses on conditional means and covariances to characterize the cross-sectional and inter-temporal properties of returns and factors as well as…
Most empirical works that study the financing decisions of family businesses use financial ratios. These data present asymmetry, non-normality, non-linearity and even dependence on the results of the choice of which accounting figure goes…
We present a novel approach for predicting the distribution of asset returns using a quantile-based method with Long Short-Term Memory (LSTM) networks. Our model is designed in two stages: the first focuses on predicting the quantiles of…
We present a new model for commodity pricing that enhances accuracy by integrating four distinct risk factors: spot price, stochastic volatility, convenience yield, and stochastic interest rates. While the influence of these four variables…
Digital currencies have become popular in the last decade due to their non-dependency and decentralized nature. The price of these currencies has seen a lot of fluctuations at times, which has increased the need for prediction. As their…
In this article we compare the performances of a logistic regression and a feed forward neural network for credit scoring purposes. Our results show that the logistic regression gives quite good results on the dataset and the neural network…
Dynamic quantiles, or Conditional Autoregressive Value at Risk (CAViaR) models, have been extensively studied at the individual level. However, efforts to estimate multiple dynamic quantiles jointly have been limited. Existing approaches…
We study a multivariate autoregressive stochastic volatility model for the first 3 principal components (level, slope, curvature) of 10 series of zero-coupon Treasury bond rates with maturities from 1 to 10 years. We fit this model using…
Accurate stock market prediction provides great opportunities for informed decision-making, yet existing methods struggle with financial data's non-linear, high-dimensional, and volatile characteristics. Advanced predictive models are…
Large Language Models (LLMs) have achieved remarkable success recently, displaying exceptional capabilities in creating understandable and organized text. These LLMs have been utilized in diverse fields, such as clinical research, where…
Fluctuations in the stock market rapidly shape the economic world and consumer markets, impacting millions of individuals. Hence, accurately forecasting it is essential for mitigating risks, including those associated with inactivity.…
The paper proposes and implements a methodology to fit a seven-parameter Generalized Tempered Stable (GTS) distribution to financial data. The nonexistence of the mathematical expression of the GTS probability density function makes the…
This paper introduces SpotV2Net, a multivariate intraday spot volatility forecasting model based on a Graph Attention Network architecture. SpotV2Net represents assets as nodes within a graph and includes non-parametric high-frequency…
Starting from a basic model in which the dynamic of the transaction prices is a geometric Brownian motion disrupted by a microstructure white noise, corresponding to the random alternation of bids and asks, we propose moment-based…
The residuals in factor models prevalent in asset pricing presents opportunities to exploit the mis-pricing from unexplained cross-sectional variation for arbitrage. We performed a replication of the methodology of Guijarro-Ordonez et al.…
Classic stochastic volatility models assume volatility is unobservable. We use the Volatility Index: S&P 500 VIX to observe it, to easier fit the model. We apply it to corporate bonds. We fit autoregression for corporate rates and for risk…
With the widespread application of machine learning in financial risk management, conventional wisdom suggests that longer training periods and more feature variables contribute to improved model performance. This paper, focusing on…
High-frequency trading (HFT) has transformed modern financial markets, making reliable short-term price forecasting models essential. In this study, we present a novel approach to mid-price forecasting using Level 1 limit order book (LOB)…