Quantitative Finance
The utility function plays a core role in portfolio selection, but its specific form is typically hard to elicit. We propose a definition of the elicited utility function and develop a preference-fitting method to obtain it. Basically, we…
Three quantitative predictions have been advanced for the square-root law (SRL) of market impact, $I/\sigma_D = c\,(Q/V_D)^{\delta}$ with $\delta\approx 0.5$: GGPS ($\delta=\beta-1$), FGLW ($\delta=\alpha-1$), and LOB walking…
We propose the first deep learning algorithm, the Certainty Equivalent Learning (CEL) algorithm, for solving high-dimensional discrete-time dynamic programming problems with recursive utility. Dynamic programming with recursive utility is…
We study a one period limit order market with informed traders, noise traders, and competitive liquidity suppliers, in which the number of informed traders is random. Liquidity suppliers know the distribution of the informed trader count,…
We propose a Gabor--Epps uncertainty principle for practical trading. The key idea is that high-frequency correlation is not observed in clock time alone, but is resolved through market activity, order-flow overlap, and finite coupling…
The release of SR 26-2 marks a significant modernization of U.S. model risk management by replacing SR 11-7 with a more risk-based and materiality-sensitive supervisory framework. However, generative and agentic AI are excluded, creating an…
We propose a multivariate generalisation of the Lo-MacKinlay (1988) variance ratio that decomposes long-horizon equity-return dynamics into separate return-channel and volatility-channel memory components across the cross-section of asset…
Uniformly weighted divergence preferences (UWDP) introduced in Maccheroni et al. (2006) are an important class of risk-averse preferences that contain as a special case the monotone mean--variance utility. UWDP are characterised by the…
Market impact is defined as the difference between the observed price trajectory under a given execution strategy and the counterfactual trajectory that would have prevailed without it. Since this counterfactual is unobservable, estimating…
Renewable Power Purchase Agreements have become increasingly important instruments for supporting the energy transition, as they offer revenue stability to renewable energy producers and price certainty to electricity consumers. This paper…
This paper examines portfolio optimization and tail-risk analytics for a heterogeneous universe of actively managed investment funds. Using daily Bloomberg data for 30 funds from 4 December 2020 to 24 December 2025, the study evaluates…
This paper reports a precision audit of a production filter stack against a 13-day window of post-rejection forward-market observations on Solana DEX trading (2026-04-10 to 2026-04-23, UTC). The audit yielded 99,510 follow-up samples across…
We present a Kaplan-Meier and Cox proportional-hazards survival analysis of 832,941 Solana pump.fun token launches with 24-hour graduation outcomes, observed continuously between 2026-05-08 and 2026-06-10. The pooled graduation rate is…
We study coordinated buyer behavior on the Solana pump.fun bonding-curve marketplace using 1,578,333 buyer observations from 166,098 token launches between June 12 and June 26, 2026. A two-stage detection pipeline - intra-launch…
Financial markets are hard to predict, not because price moves are purely random, but because structure is strategic, capacity-constrained, and computationally difficult. Classical information theory measures uncertainty, dependence, and…
I propose a cap-axis integral diagnostic for factor-model evaluation. Low-dimensional factor models can improve the maximum-Sharpe frontier while leaving zero-alpha violations on economically fixed subspaces. The diagnostic studies one such…
We consider a class of partial-information portfolio optimization problems in which the drift of a risky asset is driven by two latent stochastic factors evolving at distinct time scales. We show that the filtered estimate of the latent…
Systematic trend following has, on average, been profitable for at least two centuries; yet since approximately 2009, short-term trends have ceased to deliver reliable returns. Using a cross-section of roughly 100 liquid futures contracts…
When is a large trade news, and when is it a liquidity shock? We study this question in a sequential competitive limit order book with asymmetric information. In our model, liquidity suppliers observe aggregate order flow but not its…
Tail-risk management is not only an instrument-selection problem. It is an allocation problem across loss mechanisms: abrupt crash states, volatility repricing, and persistent drawdowns require different forms of protection. This paper…