Quantitative Finance
Blockchain is a technological innovation that has the potential to radically change our financial markets by providing an alternative management approach to the "promise market", which is the foundation of our financial systems. Its…
An index tracker is a passive investment reproducing the return and risk of a market index, an enhanced index tracker offers a return greater than the index. We consider the selection of a portfolio of given cardinality to track an index,…
An agent-based modelling methodology for the joint price evolution of two stocks is put forward. The method models future multidimensional price trajectories reflecting how a class of agents rebalance their portfolios in an operational way…
The article investigates the usage of Informer architecture for building automated trading strategies for high frequency Bitcoin data. Three strategies using Informer model with different loss functions: Root Mean Squared Error (RMSE),…
This study explores the integration of a representative large language model, ChatGPT, into lending decision-making with a focus on credit default prediction. Specifically, we use ChatGPT to analyse and interpret loan assessments written by…
We model the trading activity between a broker and her clients (informed and uninformed traders) as an infinite-horizon stochastic control problem. We derive the broker's optimal dealing strategy in closed form and use this to introduce an…
While the Kelly portfolio has many desirable properties, including optimal long-term growth rate, the resulting investment strategy is rather aggressive. In this paper, we suggest a unified approach to the risk assessment of the Kelly…
Modern financial networks involve complex obligations that transcend simple monetary debts: multiple currencies, prioritized claims, supply chain dependencies, and more. We present a mathematical framework that unifies and extends these…
We study the long term dynamics of the stock portfolios owned by single Finnish legal entities in the Helsinki venue of the Nasdaq Nordic between 2001 and 2021. Using the Herfindahl-Hirschman index as a measure of concentration for the…
Optimal portfolio allocation is often formulated as a constrained risk problem, where one aims to minimize a risk measure subject to some performance constraints. This paper presents new Bayesian Optimization algorithms for such constrained…
This paper examines strategic trading under incomplete information, where firms lack full knowledge of key aspects of their competitors' trading strategies such as target sizes and market impact models. We extend previous work on…
Leveraged Exchange Traded Funds (LETFs), while extremely controversial in the literature, remain stubbornly popular with both institutional and retail investors in practice. While the criticisms of LETFs are certainly valid, we argue that…
In the Venture Capital (VC) industry, predicting the success of startups is challenging due to limited financial data and the need for subjective revenue forecasts. Previous methods based on time series analysis often fall short as they…
Peer-to-peer (P2P) lending connects borrowers and lenders through online platforms but suffers from significant information asymmetry, as lenders often lack sufficient data to assess borrowers' creditworthiness. This paper addresses this…
The key characteristic of a true free market economy is that exchanges are entirely voluntary. When there is a monopoly in the creation of currency as we have in today's markets, you no longer have a true free market. Features of the…
The paper analyses trade between the most developed economies of the world. The analysis is based on the previously proposed model of international trade. This model of international trade is based on the theory of general economic…
We study the existence of equilibrium when agents' preferences may not beconvex. For some specific utility functions, we provide a necessary and sufficientcondition under which there exists an equilibrium. The standard approach cannot be…
This paper extends the tactical asset allocation literature by incorporating regime modeling using techniques from machine learning. We propose a novel model that classifies current regimes, forecasts the distribution of future regimes, and…
Devising models of the limit order book that realistically reproduce the market response to exogenous trades is extremely challenging and fundamental in order to test trading strategies. We propose a novel explainable model for small tick…
High-frequency trading (HFT) accounts for almost half of equity trading volume, yet it is not identified in public data. We develop novel data-driven measures of HFT activity that separate strategies that supply and demand liquidity. We…