Quantitative Finance
The integration and innovation of finance and technology have gradually transformed the financial system into a complex one. Analyses of the causesd of abnormal fluctuations in the financial market to extract early warning indicators…
Statistical arbitrage is a prevalent trading strategy which takes advantage of mean reverse property of spread of paired stocks. Studies on this strategy often rely heavily on model assumption. In this study, we introduce an innovative…
In this paper, we explore the use of a deep residual U-net with self-attention to solve the the continuous time time-consistent mean variance optimal trade execution problem for multiple agents and assets. Given a finite horizon we…
Liquidity providers (LPs) on decentralized exchanges (DEXs) can protect themselves from adverse selection risk by updating their positions more frequently. However, repositioning is costly, because LPs have to pay gas fees for each update.…
Sovereign loan portfolios of Multilateral Development Banks (MDBs) typically consist of only a small number of borrowers and hence are heavily exposed to single name concentration risk. Based on realistic MDB portfolios constructed from…
Sparse index tracking is a prominent passive portfolio management strategy that constructs a sparse portfolio to track a financial index. A sparse portfolio is preferable to a full portfolio in terms of reducing transaction costs and…
We study a continuous time economy where agents have asymmetric information. The informed agent (``$I$''), at time zero, receives a private signal about the risky assets' terminal payoff $\Psi(X_T)$, while the uninformed agent (``$U$'') has…
When uncertainty is modelled by a set of non-dominated and non-compact probability measures, a notion of essential supremum for a family of real-valued functions is developed in terms of upper semi-analytic functions. We show how the…
An intriguing link between a wide range of problems occurring in physics and financial engineering is presented. These problems include the evolution of small perturbations of linear flows in hydrodynamics, the movements of particles in…
This paper studies the market structure impact of cheaper and faster chains on the Uniswap v3 Protocol. The Uniswap Protocol is the largest decentralized application on Ethereum by both gas and blockspace used, and user behaviors of the…
Cryptocurrency market is known for exhibiting significantly higher volatility than traditional asset classes. Efficient and adequate risk calculation is vital for managing risk exposures in such market environments where extreme price…
This paper is the first study to examine the time instability of the APT in the Japanese stock market. In particular, we measure how changes in each risk factor affect the stock risk premiums to investigate the validity of the APT over…
Inflation is one of the most important macroeconomic indicators that have a great impact on the population of any country and region. Inflation is influenced by range of factors, one of which is inflation expectations. Many central banks…
Sustainable investing refers to the integration of environmental and social aspects in investors' decisions. We propose a novel methodology based on the Triangulated Maximally Filtered Graph and node2vec algorithms to construct an hedging…
The time proximity of high-frequency trades can contain a salient signal. In this paper, we propose a method to classify every trade, based on its proximity with other trades in the market within a short period of time, into five types. By…
We investigate a market with a normal-speed informed trader (IT) who may employ mixed strategy and multiple anticipatory high-frequency traders (HFTs) who are under different inventory pressures, in a three-period Kyle's model. The pure-…
Banks' performance is an important topic for both professionals and researchers. Given the important literature on this subject, this paper aims to bring an up-to-date and organized review of literature on the determinants of banks…
The contributions of this paper are twofold: we define and investigate the properties of a short rate model driven by a general Gaussian Volterra process and, after defining precisely a notion of convexity adjustment, derive explicit…
We find the perhaps surprising inequality that the weighted average of independent and identically distributed Pareto random variables with infinite mean is larger than one such random variable in the sense of first-order stochastic…
Big data revolutionizes accounting and auditing, offering deep insights but also introducing challenges like data privacy and security. With data from IoT, social media, and transactions, traditional practices are evolving. Professionals…