Quantitative Finance
Electricity price forecasting (EPF) plays a critical role in power system operation and market decision making. While existing review studies have provided valuable insights into forecasting horizons, market mechanisms, and evaluation…
We identify the measurable absorbing obstruction to uniqueness of invariant probability measures for a Markov kernel. Ordinary absorbing decompositions obstruct global irreducibility and recurrence, but not necessarily uniqueness: an…
Cost-of-capital valuation is a well-established approach to the valuation of liabilities and is one of the cornerstones of current regulatory frameworks for the insurance industry. Standard cost-of-capital considerations typically rely on…
Copula-based Conditional Value at Risk (CCVaR) is defined as an alternative version of the classical Conditional Value at Risk (CVaR) for multivariate random vectors intended to be real-valued. We aim to generalize CCVaR to several…
This paper investigates optimal investment and insurance strategies under a mean-variance criterion with path-dependent effects. We use a rough volatility model and a Hawkes process with a power kernel to capture the path dependence of the…
This paper investigates the impact of posterior drift on out-of-sample forecasting accuracy in overparametrized machine learning models. We document the loss in performance when the loadings of the data generating process change between the…
Financial and gambling markets are ostensibly similar and hence strategies from one could potentially be applied to the other. Financial markets have been extensively studied, resulting in numerous theorems and models, while gambling…
This paper studies the topic of cost-efficiency in incomplete markets. A payoff is called cost-efficient if it achieves a given probability distribution at some given investment horizon with a minimum initial budget. Extensive literature…
The introduction of leverage on prediction-market event contracts raises three structurally distinct questions that have not been addressed jointly: how leverage changes manipulation incentives, how it interacts with informed-trading rents,…
Paper 1 of this research programme develops a resolution-aware risk-design framework for the simplest event-linked perpetual: a contract whose underlying tracks a single binary prediction-market probability through resolution. The…
We develop and counterfactually evaluate a resolution-aware risk-design framework (PIRAP) for perpetual futures whose underlying tracks a single binary prediction-market probability through resolution. The framework specifies six…
Historical Simulation (HS) and its extensions form a popular class of methods for estimating Value-at-Risk for portfolios of financial assets based on historical data. In this note, we seek to unify several ideas and models from throughout…
Volatility is the language in which finance often describes risk, but it is not the language in which institutions experience risk. Allocators live through drawdowns, liquidity needs, spending rules, rebalance decisions, board oversight,…
Accurate and efficient imbalance electricity price forecasting is critical for industrial energy trading systems, especially as battery assets and automated bidding pipelines increasingly participate in balancing markets. However, real-time…
This study investigates how cross-stock information diffusion, driven by both retail and institutional investors, influences excess comovement in the Chinese retail-dominated market and the U.S. institution-dominated market. Using data from…
It is well-known that, in the Bachelier model, when asset prices and volatilities are uncorrelated, the implied volatility coincides with the fair value of the volatility swap. In this paper, via classical It\^o calculus and Taylor…
Can contagion be inferred from aggregated default data? We study this as a problem of identifiability, asking whether contagion generates components in default count distributions that remain distinct from those induced by macroeconomic…
We explore a nuance to 'no arbitrage' in relation to 'information efficiency': acting immediately on an arbitrage is sometimes suboptimal; in such cases optimised trading can suppress the anticipation of predictable risk-outcomes, thereby…
We study overpricing in a repeated game between two representative agents: a market maker, who controls market liquidity, and a market taker, who chooses trade quantities. Market prices evolve through the endogenous price impact of trades…
Rolling-window factor pipelines for Chinese A-share markets contain a subtle but costly flaw: daily price-move limits (+/-10% main-board, +/-20% STAR/ChiNext) render a fraction of closing prices non-executable, yet standard implementations…