Quantitative Finance
In this paper, we present a measure of time irreversibility using trend pattern statistics. We define the irreversibility index as the Kullback-Leibler divergence between the distribution of uptrends subsequences (increasing trends) and the…
Chebyshev polynomials of the first kind have long been used to approximate experimental data in solving various technical problems. Within the framework of this study, the dynamics of shares of eight Czech enterprises was analyzed by the…
Our research aims to find the best model that uses companies projections and sector performances and how the given company fares accordingly to correctly predict equity share prices for both short and long term goals.
There seems to exist significant similarities between a reactor system and a supply chain from collection to delivery. In the reactor case, neutrons are continuously produced and absorbed in nuclear fuel. In a supply system case, items are…
We consider the classical problem of building an arbitrage-free implied volatility surface from bid-ask quotes. We design a fast numerical procedure, for which we prove the convergence, based on the Sinkhorn algorithm that has been recently…
In this paper we show how the relaxation techniques can be used to establish the existence of an optimal contract in presence of information asymmetry. The method we illustrate was initially motivated by the problem of designing optimal…
We study a continuous-time expected utility maximization problem in which the investor at maturity receives the value of a contingent claim in addition to the investment payoff from the financial market. The investor knows nothing about the…
In this paper, we present a very fast Monte Carlo scheme for additive processes: the computational time is of the same order of magnitude of standard algorithms for Brownian motions. We analyze in detail numerical error sources and propose…
In a natural market environment, the price prediction model needs to be updated in real time according to the data obtained by the system to ensure the accuracy of the prediction. In order to improve the user experience of the system, the…
We develop original models to study interacting agents in financial markets and in social networks. Within these models randomness is vital as a form of shock or news that decays with time. Agents learn from their observations and learning…
We propose a new measure of systemic risk to analyze the impact of the major financial market turmoils in the stock markets from 2000 to 2023 in the USA, Europe, Brazil, and Japan. Our Implied Volatility Realized Volatility Systemic Risk…
This research presents a novel Discrete Event Simulation (DES) of the Lloyd's of London specialty insurance market, exploring complex market dynamics that have not been previously studied quantitatively. The proof-of-concept model allows…
We introduce Deep Inception Networks (DINs), a family of Deep Learning models that provide a general framework for end-to-end systematic trading strategies. DINs extract time series (TS) and cross sectional (CS) features directly from daily…
MOPO-LSI is an open-source Multi-Objective Portfolio Optimization Library for Sustainable Investments. This document provides a user guide for MOPO-LSI version 1.0, including problem setup, workflow and the hyper-parameters in…
This paper introduces a novel framework for assessing risk and decision-making in the presence of uncertainty, the \emph{$\varphi$-Divergence Quadrangle}. This approach expands upon the traditional Risk Quadrangle, a model that quantifies…
The paper explores the concept of the \emph{expectile risk measure} within the framework of the Fundamental Risk Quadrangle (FRQ) theory. According to the FRQ theory, a quadrangle comprises four stochastic functions associated with a random…
This paper presents a novel framework for analyzing the optimal asset and signal combination problem. Our approach builds upon the dynamic portfolio selection problem introduced by Brandt and Santa-Clara (2006) and consists of two stages.…
Portfolio optimization has been an area that has attracted considerable attention from the financial research community. Designing a profitable portfolio is a challenging task involving precise forecasting of future stock returns and risks.…
We present simple general conditions on the acceptance sets under which their induced monetary risk and deviation measures are comonotonic additive. We show that acceptance sets induce comonotonic additive risk measures if and only if the…
We review the solution of the $A_r$ Q-systems in terms of the partition function of paths on a weighted graph, and show that it is possible to modify the graphs and transfer matrices so as to provide an explicit connection to the theory of…