Quantitative Finance
In this paper, we explore an optimal timing strategy for the trading of price spreads exhibiting mean-reverting characteristics. A sequential optimal stopping framework is formulated to analyze the optimal timings for both entering and…
Entropic Value-at-Risk (EVaR) measure is a convenient coherent risk measure. Due to certain difficulties in finding its analytical representation, it was previously calculated explicitly only for the normal distribution. We succeeded to…
The contrast between companies' "fleshy" promises and the "skeletal" performance in digital transformation may lead to a higher risk of stock price crash. This paper selects a sample of Shanghai and Shenzhen A-share listed companies from…
In this paper, we explore the application of Gaussian Processes (GPs) for predicting mean-reverting time series with an underlying structure, using relatively unexplored functional and augmented data structures. While many conventional…
The objective of this research is to examine how sentiment analysis can be employed to generate trading signals for the Foreign Exchange (Forex) market. The author assessed sentiment in social media posts and news articles pertaining to the…
Recent advancements in large language models (LLMs) have opened new pathways for many domains. However, the full potential of LLMs in financial investments remains largely untapped. There are two main challenges for typical deep…
Anti-Money Laundering (AML) is a crucial task in ensuring the integrity of financial systems. One keychallenge in AML is identifying high-risk groups based on their behavior. Unsupervised learning, particularly clustering, is a promising…
Detecting anomalies is important for identifying inefficiencies, errors, or fraud in business processes. Traditional process mining approaches focus on analyzing 'flattened', sequential, event logs based on a single case notion. However,…
Sentiment analysis can be used for stock market prediction. However, existing research has not studied the impact of a user's financial background on sentiment-based forecasting of the stock market using artificial neural networks. In this…
The objective of this paper is the construction of new indicators that can be useful to operate in the cryptocurrency market. These indicators are based on public data obtained from the blockchain network, specifically from the nodes that…
This paper addresses the continuous-time portfolio selection problem under generalized disappointment aversion (GDA). The implicit definition of the certainty equivalent within GDA preferences introduces time inconsistency to this problem.…
In this paper we study the short-time behavior of the at-the-money implied volatility for arithmetic Asian options with fixed strike price. The asset price is assumed to follow the Black-Scholes model with a general stochastic volatility…
Using intraday data for the cross-section of individual stocks, we show that both transitory and persistent fluctuations in realized market and average idiosyncratic volatility, skewness and kurtosis are differentially priced in the…
Exploring transactions within the Bitcoin blockchain entails examining the transfer of bitcoins among several hundred million entities. However, it is often impractical and resource-consuming to study such a vast number of entities.…
This paper analyzes a problem of optimal static hedging using derivatives in incomplete markets. The investor is assumed to have a risk exposure to two underlying assets. The hedging instruments are vanilla options written on a single…
The present article explores the application of randomized control techniques in empirical asset pricing and performance evaluation. It introduces geometric random walks, a class of Markov chain Monte Carlo methods, to construct flexible…
We study the local sensitivity of heating degree day (HDD) and cooling degree day (CDD) temperature futures and option prices with respect to perturbations in the deseasonalized temperature or in one of its derivatives up to a certain order…
Limit Order Books (LOBs) serve as a mechanism for buyers and sellers to interact with each other in the financial markets. Modelling and simulating LOBs is quite often necessary for calibrating and fine-tuning the automated trading…
The term structure of interest rates (yield curve) is a critical facet of financial analytics, impacting various investment and risk management decisions. It is used by the central bank to conduct and monitor its monetary policy. That…
For constants $\gamma \in (0,1)$ and $A\in (1,\infty)$, we prove existence and uniqueness of a solution to the singular and path-dependent Riccati-type ODE \begin{align*} \begin{cases} h'(y) = \frac{1+\gamma}{y}\big( \gamma -…