Related papers: Projective Market Model Approach to AHP Decision-M…
In this paper we seek to demonstrate the predictability of stock market returns and explain the nature of this return predictability. To this end, we introduce investors with different investment horizons into the news-driven, analytic,…
In this paper we show how to approximate a Heath-Jarrow-Morton dynamics for the forward prices in commodity markets with arbitrage-free models which have a finite dimensional state space. Moreover, we recover a closed form representation of…
We construct a matrix model equivalent (exactly, not asymptotically), to the random plane partition model, with almost arbitrary boundary conditions. Equivalently, it is also a random matrix model for a TASEP-like process with arbitrary…
In this paper, the optimal mean-reverting portfolio (MRP) design problem is considered, which plays an important role for the statistical arbitrage (a.k.a. pairs trading) strategy in financial markets. The target of the optimal MRP design…
The paper studies the concepts of hedging and arbitrage in a non probabilistic framework. It provides conditions for non probabilistic arbitrage based on the topological structure of the trajectory space and makes connections with the usual…
Geometric arbitrage theory reformulates a generic asset model possibly allowing for arbitrage by packaging all asset and their forward dynamics into a stochastic principal fibre bundle, with a connection whose parallel transport encodes…
We generalize the Arbitrage Pricing Theory (APT) to include the contribution of virtual arbitrage opportunities. We model the arbitrage return by a stochastic process. The latter is incorporated in the APT framework to calculate the…
Prediction markets are long known for prediction accuracy. This study systematically explores the fundamental properties of prediction markets, addressing questions about their information aggregation process and the factors contributing to…
An overview of current debates and contemporary research devoted to the modeling of decision making processes and their facilitation directs attention to the Analytic Hierarchy Process (AHP). At the core of the AHP are various…
The theory of functionally generated portfolios (FGPs) is an aspect of the continuous-time, continuous-path Stochastic Portfolio Theory of Robert Fernholz. FGPs have been formulated to yield a master equation - a description of their return…
Collateralization with daily margining has become a new standard in the post-crisis market. Although there appeared vast literature on a so-called multi-curve framework, a complete picture of a multi-currency setup with cross-currency basis…
This paper discusses predictive inference and feature selection for generalized linear models with scarce but high-dimensional data. We argue that in many cases one can benefit from a decision theoretically justified two-stage approach:…
During the last decade Levy processes with jumps have received increasing popularity for modelling market behaviour for both derviative pricing and risk management purposes. Chan et al. (2009) introduced the use of empirical likelihood…
The Artificial Prediction Market is a recent machine learning technique for multi-class classification, inspired from the financial markets. It involves a number of trained market participants that bet on the possible outcomes and are…
We propose a unified approach to several problems in Stochastic Portfolio Theory (SPT), which is a framework for equity markets with a large number $d$ of stocks. Our approach combines open markets, where trading is confined to the top $N$…
New theoretical approaches about forecasting stock markets are proposed. A mathematization of the stock market in terms of arithmetical relations is given, where some simple (non-differential, non-fractal) expressions are also suggested as…
We present a synthetic prediction market whose agent purchase logic is defined using a sigmoid transformation of a convex semi-algebraic set defined in feature space. Asset prices are determined by a logarithmic scoring market rule. Time…
This paper intends to apply the Hidden Markov Model into stock market and and make predictions. Moreover, four different methods of improvement, which are GMM-HMM, XGB-HMM, GMM-HMM+LSTM and XGB-HMM+LSTM, will be discussed later with the…
We provide closed-form market equilibrium formula consolidating informational imperfections and investors beliefs. Based on Merton's model, we characterize the equilibrium expected excess returns vector with incomplete information. We then…
Procurement refers to a process resulting in delivery of goods or services within a set time period. The process includes aspects of purchasing, specifications to be met, and solicitation notifications as in the case of Request For…