Quantitative Finance
The paper introduces benchmark-neutral pricing and hedging for long-term contingent claims. It employs the growth optimal portfolio of the stocks as numeraire and the new benchmark-neutral pricing measure for pricing. For a realistic…
This paper provides the first causal evidence that credit supply expansion caused the 1999-2010 U.S. business cycle mainly through the channel of household leverage (debt-to-income ratio). Specifically, induced by net export growth, credit…
The evolution of cryptocurrency and decentralized finance (DeFi) marks a significant shift in the financial landscape, making it more accessible, inclusive, and participative for various societal groups. However, this transition from…
Guyon and Lekeufack recently proposed a path-dependent volatility model and documented its excellent performance in fitting market data and capturing stylized facts. The instantaneous volatility is modeled as a linear combination of two…
We establish the first axiomatic theory for diversification indices using six intuitive axioms: non-negativity, location invariance, scale invariance, rationality, normalization, and continuity. The unique class of indices satisfying these…
Entropy is a very useful concept from physics that tries to explain how a system behaves from a point of view of the thermodynamics. However, there are two ways to explain entropy, and it depends on if we are studying a microsystem or a…
The study examines whether fama-french equity factors can effectively explain the idiosyncratic risk and return characteristics of Bitcoin. By incorporating Fama-french factors, the explanatory power of these factors on Bitcoin's excess…
Understanding the emergence of data breaches is crucial for cyber insurance. However, analyses of data breach frequency trends in the current literature lead to contradictory conclusions. We put forward that those discrepancies may be (at…
We propose a method for constructing sparse high-frequency volatility estimators that are robust against change points in the spot volatility process. The estimators we propose are $\ell_1$-regularized versions of existing volatility…
We discuss the role of information entropy on the behaviour of random processes, and how this might take effect in the dynamics of financial market prices. We then go on to show how the Open Quantum Systems approach can be used as a more…
We demonstrate the use of Conditional Variational Encoder (CVAE) to improve the forecasts of daily stock volume time series in both short and long term forecasting tasks, with the use of advanced information of input variables such as…
In this article we show how to analyze the covariation of bond prices nonparametrically and robustly, staying consistent with a general no-arbitrage setting. This is, in particular, motivated by the problem of identifying the number of…
Financial markets have long since been modeled using stochastic methods such as Brownian motion, and more recently, rough volatility models have been built using fractional Brownian motion. This fractional aspect brings memory into the…
There are several approaches to modeling and forecasting time series as applied to prices of commodities and financial assets. One of the approaches is to model the price as a non-stationary time series process with heteroscedastic…
Financial organisations such as brokers face a significant challenge in servicing the investment needs of thousands of their traders worldwide. This task is further compounded since individual traders will have their own risk appetite and…
Modeling the trading volume curves of financial instruments throughout the day is of key interest in financial trading applications. Predictions of these so-called volume profiles guide trade execution strategies, for example, a common…
In today's competitive financial landscape, understanding and anticipating customer goals is crucial for institutions to deliver a personalized and optimized user experience. This has given rise to the problem of accurately predicting…
Financial trading is a crucial component of the markets, informed by a multimodal information landscape encompassing news, prices, and Kline charts, and encompasses diverse tasks such as quantitative trading and high-frequency trading with…
The ongoing Russia-Ukraine conflict between two major agricultural powers has posed significant threats and challenges to the global food system and world food security. Focusing on the impact of the conflict on the global agricultural…
This paper investigates the optimal selection of portfolios for power utility maximizing investors in a financial market where stock returns depend on a hidden Gaussian mean reverting drift process. Information on the drift is obtained from…