Quantitative Finance
Forecasting models for systematic trading strategies do not adapt quickly when financial market conditions rapidly change, as was seen in the advent of the COVID-19 pandemic in 2020, causing many forecasting models to take loss-making…
Dynamic AMM pools, as found in Temporal Function Market Making, rebalance their holdings to a new desired ratio (e.g. moving from being 50-50 between two assets to being 90-10 in favour of one of them) by introducing an arbitrage…
Convex optimisation has provided a mechanism to determine arbitrage trades on automated market markets (AMMs) since almost their inception. Here we outline generic closed-form solutions for $N$-token geometric mean market maker pool…
We develop two alternate approaches to arbitrage-free, market-complete, option pricing. The first approach requires no riskless asset. We develop the general framework for this approach and illustrate it with two specific examples. The…
We reassess Boehmer et al. (2021, BJZZ)'s seminal work on the predictive power of retail order imbalance (ROI) for future stock returns. First, we replicate their 2010-2015 analysis in the more recent 2016-2021 period. We find that the…
In this study, we discuss a machine learning technique to price exotic options with two underlying assets based on a non-Gaussian Levy process model. We introduce a new multivariate Levy process model named the generalized normal tempered…
Trading pressure from one asset can move the price of another, a phenomenon referred to as cross impact. Using tick-by-tick data spanning 5 years for 500 assets listed in the United States, we identify the features that make cross-impact…
Due to the variety of corporate risks in turmoil markets and the consequent financial distress especially in COVID-19 time, this paper investigates corporate resilience and compares different types of resilience that can be potential…
Predictable forward performance processes (PFPPs) are stochastic optimal control frameworks for an agent who controls a randomly evolving system but can only prescribe the system dynamics for a short period ahead. This is a common scenario…
National football teams increasingly issue tradeable blockchain-based fan tokens to strategically enhance fan engagement. This study investigates the impact of 2022 World Cup matches on the dynamic performance of each team's fan token. The…
We study the problem of valuing and hedging a vulnerable derivative claim with bilateral cash flows between two counterparties in the presence of asymmetric funding costs, defaults and wrong way risk (WWR). We characterize the pre-default…
We propose a time-adaptive, high-order compact finite difference scheme for option pricing in a family of stochastic volatility models. We employ a semi-discrete high-order compact finite difference method for the spatial discretisation,…
With the recent development of large language models (LLMs), models that focus on certain domains and languages have been discussed for their necessity. There is also a growing need for benchmarks to evaluate the performance of current LLMs…
We develop a model for credit rating migration that accounts for the impact of economic state fluctuations on default probabilities. The joint process for the economic state and the rating is modelled as a time-homogeneous Markov chain.…
Performance attribution analysis, defined as the process of explaining the drivers of the excess performance of an investment portfolio against a benchmark, stands as a significant feature of portfolio management and plays a crucial role in…
Liberalized electricity markets often include resource adequacy mechanisms that require consumers to contract with generation resources well in advance of real-time operations. While administratively defined mechanisms have most commonly…
As algorithmic trading and electronic markets continue to transform the landscape of financial markets, detecting and deterring rogue agents to maintain a fair and efficient marketplace is crucial. The explosion of large datasets and the…
Marketing is the way we ensure our sales are the best in the market, our prices the most accessible, and our clients satisfied, thus ensuring our brand has the widest distribution. This requires sophisticated and advanced understanding of…
Introduction: The paper addresses the challenging problem of predicting the short-term realized volatility of the Bitcoin price using order flow information. The inherent stochastic nature and anti-persistence of price pose difficulties in…
We study a continuous time economy where throughout time, insiders receive private signals regarding the risky assets' terminal payoff. We prove existence of a partial communication equilibrium where, at each private signal time, the public…