Quantitative Finance
We present a novel methodology for modeling and forecasting multivariate realized volatilities using customized graph neural networks to incorporate spillover effects across stocks. The proposed model offers the benefits of incorporating…
In the short time to maturity limit it is proved that for the conditionally lognormal SABR model the zero vanna implied volatility is a lower bound for the volatility swap strike. The result is valid for all values of the correlation…
The Non-Fungible-Token (NFT) market has experienced explosive growth in recent years. According to DappRadar, the total transaction volume on OpenSea, the largest NFT marketplace, reached 34.7 billion dollars in February 2023. However, the…
In this paper we study a robust utility maximization problem in continuous time under model uncertainty. The model uncertainty is governed by a continuous semimartingale with uncertain local characteristics. Here, the differential…
Identifying the structural dependence between the cryptocurrencies and predicting market trend are fundamental for effective portfolio management in cryptocurrency trading. In this paper, we present a unified Bayesian framework based on…
In the current market practice, many cyber insurance products offer a coverage bundle for losses arising from various types of incidents, such as data breaches and ransomware attacks, and the coverage for each incident type comes with a…
The stock segment of China's time-honored brand enterprises has an important position in our securities stock market. The holiday effect is one of the market anomalies that occur in the securities market, which refers to the phenomenon that…
The Nelson-Siegel framework is employed to model the term structure of commodity futures prices. Exploiting the information embedded in the level, slope and curvature parameters, we develop novel investment strategies that assume short-term…
Financial risk prediction plays a crucial role in the financial sector. Machine learning methods have been widely applied for automatically detecting potential risks and thus saving the cost of labor. However, the development in this field…
Systemic risk is concerned with the instability of a financial system whose members are interdependent in the sense that the failure of a few institutions may trigger a chain of defaults throughout the system. Recently, several systemic…
In this paper we examine the problem of valuing an exotic derivative known as the American passport option where the underlying is driven by a L\'evy process. The passport option is a call option on a trading account. We derive the pricing…
In this paper, we propose a multidimensional statistical model of intraday electricity prices at the scale of the trading session, which allows all products to be simulated simultaneously. This model, based on Poisson measures and inspired…
We study a toy two-player game for periodic double auction markets to generate liquidity. The game has imperfect information, which allows us to link market spreads with signal strength. We characterize Nash equilibria in cases with or…
Predicting fund performance is beneficial to both investors and fund managers, and yet is a challenging task. In this paper, we have tested whether deep learning models can predict fund performance more accurately than traditional…
It is widely assumed that in our lifetimes the products available in the global economy have become more diverse. This assumption is difficult to investigate directly, however, because it is difficult to collect the necessary data about…
The focus of this paper is on identifying the most effective selling strategy for pairs trading of stocks. In pairs trading, a long position is held in one stock while a short position is held in another. The goal is to determine the…
We investigate the behaviour of cryptocurrencies using data for bitcoin, ethereum and ripple which account for over 70% of the cryptocurrency market. We demonstrate that $\alpha$-stable distribution is an appropriately sufficient model for…
Introduced in the late 90s, the passport option gives its holder the right to trade in a market and receive any positive gain in the resulting traded account at maturity. Pricing the option amounts to solving a stochastic control problem…
Discount is the difference between the face value of a bond and its present value. I propose an arbitrage-free dynamic framework for discount models, which provides an alternative to the Heath--Jarrow--Morton framework for forward rates. I…
This paper studies the influences of a high-frequency trader (HFT) on a large trader whose future trading is predicted by the former. We conclude that HFT always front-runs and the large trader is benefited when: (1) there is sufficient…