Quantitative Finance
Grains account for more than 50% of the calories consumed by people worldwide, and military conflicts, pandemics, climate change, and soaring grain prices all have vital impacts on food security. However, the complex price behavior of the…
We examine how the introduction of concentrated liquidity has changed the liquidity provision market in automated market makers such as Uniswap. To this end, we compare average liquidity provider returns from trading fees before and after…
Portfolio management is the art and science in fiance that concerns continuous reallocation of funds and assets across financial instruments to meet the desired returns to risk profile. Deep reinforcement learning (RL) has gained increasing…
We revisit surplus on general life insurance contracts, represented by Markov models. We classify technical bases in terms of boundary conditions in Thiele's equation(s), allowing more general regulations than Scandinavian-style…
The stock market has been established since the 13th century, but in the current epoch of time, it is substantially more practicable to anticipate the stock market than it was at any other point in time due to the tools and data that are…
This paper adopts the random matrix theory (RMT) to analyze the correlation structure of the global agricultural futures market from 2000 to 2020. It is found that the distribution of correlation coefficients is asymmetric and right skewed,…
Kardemir Karabuk Iron Steel Industry Trade & Co. Inc., ranked as the 24th largest industrial company in Turkey, offers three distinct stocks listed on the Borsa Istanbul: KRDMA, KRDMB, and KRDMD. These stocks, sharing the sole difference in…
While economic theory explains the linkages among the financial markets of different countries, empirical studies mainly verify the linkages through Granger causality, without considering latent variables or instantaneous effects. Their…
We develop a model of bailout stigma where accepting a bailout signals a firm's balance-sheet weakness and worsens its funding prospect. To avoid stigma, high-quality firms either withdraw from subsequent financing after receiving bailouts…
Financial portfolio management describes the task of distributing funds and conducting trading operations on a set of financial assets, such as stocks, index funds, foreign exchange or cryptocurrencies, aiming to maximize the profit while…
How much do financial management fees cost investors? This article studies an approximate formula for the cumulative costs of annual Assets Under Management (AUM) fees. The formula states that an investment paying an annual fee of…
Time irreversibility in neuronal dynamics has recently been demonstrated to correlate with various indicators of cognitive effort in living systems. Using Landauer's principle, which posits that time-irreversible information processing…
Modern portfolio optimization is centered around creating a low-risk portfolio with extensive asset diversification. Following the seminal work of Markowitz, optimal asset allocation can be computed using a constrained optimization model…
This communication reports on a study carried out in the context of the collaborative FOEHN project (Human and Organizational Factors in Non-Destructive Evaluation) supported by the French National Research Agency. The motivation of this…
In this paper, we study the portfolio optimization problem formulated by Lacker and Soret. They formulate a finite time horizon model that allows agents to be competitive, measuring their utility not only by their absolute wealth but also…
Dynamic spectral risk measures define a claim's valuation bounds as supremum and infimum of expectations of the claim's payoff over a dominated set of measures. The measures at which such extrema are attained are called extreme measures. We…
Options, serving as a crucial financial instrument, are used by investors to manage and mitigate their investment risks within the securities market. Precisely predicting the present price of an option enables investors to make informed and…
In this paper, we study the Black-Litterman (BL) asset allocation model (Black and Litterman, 1990) under the hidden truncation skew-normal distribution (Arnold and Beaver, 2000). In particular, when returns are assumed to follow this skew…
A blockchain replaces central counterparties with time-consuming consensus protocols to record the transfer of ownership. This settlement latency slows cross-exchange trading, exposing arbitrageurs to price risk. Off-chain settlement,…
The distribution-free chain ladder of Mack justified the use of the chain ladder predictor and enabled Mack to derive an estimator of conditional mean squared error of prediction for the chain ladder predictor. Classical insurance loss…