Quantitative Finance
In this paper, I present the first comprehensive, around-the-clock analysis of systematic jump risk by combining high-frequency market data with contemporaneous news narratives identified as the underlying causes of market jumps. These…
We investigate the impossibility of universally winning trading strategies -- those generating strict profit across all market trajectories -- through three distinct mathematical paradigms. Fundamentally, under standard admissibility…
We utilize FinBERT, a domain-specific transformer model, to parse 6.5 million sentences from 16,428 S&P 500 quarterly earnings call transcripts (2015-2025) and demonstrate that post-earnings stock returns are not equally affected by all…
In this study, we introduce an analytics framework, the Bank Risk Interlinkage with Dynamic Graph and Event Simulations (BRIDGES), to capture the systemic risks associated with the growing economic influence of the BRICS nations. This…
The analysis of logarithmic return distributions defined over large time scales is crucial for understanding the long-term dynamics of asset price movements. For large time scales of the order of two trading years, the anticipated Gaussian…
In the recent Basel Accords, the Expected Shortfall (ES) replaces the Value-at-Risk (VaR) as the standard risk measure for market risk in the banking sector, making it the most important risk measure in financial regulation. One of the most…
Factor models characterize the joint behavior of large sets of financial assets through a smaller number of underlying drivers. We develop a network-based framework in which factors emerge naturally from the structure of interactions among…
The global financial architecture is undergoing a shift from intermediary centric-settlement to programmable infrastructure, to transmute trillions in static illiquid capital into active, high-velocity instruments. We argue that Real World…
We develop a framework for stochastic portfolio theory (SPT), which incorporates modern nonlinear price impact and impact decay models. Our main result is the derivation of the celebrated master formula for additive functional generation of…
We prove that a two-cycle equilibrium in a general equilibrium model with infinitely-lived agents (GEILA) constitutes an equilibrium in an overlapping generations (OLG) model. Conversely, an equilibrium in an OLG model that satisfies…
The Nelson-Siegel model is widely used in fixed income markets to produce yield curve dynamics. The multiple time-dependent parameter model conveniently addresses the level, slope, and curvature dynamics of the yield curves. In this study,…
We examine whether news can improve realised volatility forecasting using a modern yet operationally simple NLP framework. News text is transformed into embedding-based representations, and forecasts are evaluated both as a standalone,…
The Kolmogorov-Smirnov (KS) statistic is widely used in credit risk model monitoring and validation to assess discriminatory power. In practice, a material decline in KS often triggers governance review and requires validation teams to…
The long-run convergence of developing economies toward advanced countries exhibits robust empirical regularities, yet the mechanisms underlying technological diffusion remain insufficiently specified in standard growth models. In this…
Driven by the increasing frequency and intensity of natural disasters and chronic climate threats, we investigate the impact of physical climate risk on global equity portfolios. By employing a panel regression analysis on sectoral returns,…
Herding, where investors imitate others' decisions rather than relying on their own analysis, is a prevalent phenomenon in financial markets. Excessive herding distorts rational decisions, amplifies volatility, and can be exploited by…
This paper introduces the Lambda extension of the R\'{e}nyi entropic value-at-risk ($\Lambda$-EVaR), a novel family of risk measures that unifies the flexible confidence level structure of the $\Lambda$-framework with the higher-moment…
This paper develops a decomposition of standard Risk Contribution (RC) into two economically interpretable components: inherent risk and correlation risk. Using a leave-one-out representation, each position's RC separates into a term…
We develop a multi-period Kyle-type model that incorporates both mandatory disclosure of informed trades and imperfect competition among market makers. We prove the existence and uniqueness of a linear equilibrium and show that the…
We study the long-only minimum variance (LOMV) portfolio under a one-factor covariance model with asset betas of arbitrary sign. We provide an explicit solution in terms of the set of active (positive weight) assets, and provide an explicit…