Related papers: Quantile hedging for an insider
We study the dynamic investment decisions of investors who prioritise specific quantiles of outcomes over their expected values. Downside-focused agents targeting low quantiles reduce risk in states with high variance, while those with a…
We propose a model for hedging in a market with jumps for a large investor. The dynamics of the stock prices and the value process is governed by forward-backward SDEs driven by Teugels martingales. Unlike known FBSDE market models, ours…
Quantile estimation is a problem presented in fields such as quality control, hydrology, and economics. There are different techniques to estimate such quantiles. Nevertheless, these techniques use an overall fit of the sample when the…
A market with asymmetric information can be viewed as a repeated exchange game between the informed sector and the uninformed one. In a market with risk-neutral agents, De Meyer [2010] proves that the price process should be a particular…
We review the recent approaches to modelling financial markets based on multi-agent systems. After a brief summary of the basic stylised facts observed in real-market time-series we discuss some simple agent-based systems which are…
In this work we are concerned with valuing optionalities associated to invest or to delay investment in a project when the available information provided to the manager comes from simulated data of cash flows under historical (or…
Prediction markets mobilize financial incentives to forecast binary event outcomes through the aggregation of dispersed beliefs and heterogeneous information. Their growing popularity and demonstrated predictive accuracy in political…
While we expect quantum computers to surpass their classical counterparts in the future, current devices are prone to high error rates and techniques to minimise the impact of these errors are indispensable. There already exists a variety…
Quantile is an important measure in finance and quality assessment in service industry. In this paper, we model the temporal and cross-sectional interactive effect of the quantiles of large-dimensional time series by a latent quantile…
Incorporation of expert information in inference or decision settings is often important, especially in cases where data are unavailable, costly or unreliable. One approach is to elicit prior quantiles from an expert and then to fit these…
In the last years several estimation strategies have been formulated to determine the value of an unknown parameter in the most precise way, taking into account the presence of noise. These strategies typically rely on the use of quantum…
In this paper we provide a quantitative analysis to the concept of arbitrage, that allows to deal with model uncertainty without imposing the no-arbitrage condition. In markets that admit ``small arbitrage", we can still make sense of the…
Csiszar's f-divergence of two probability distributions was extended to the quantum case by the author in 1985. In the quantum setting positive semidefinite matrices are in the place of probability distributions and the quantum…
Machine learning models are increasingly used in a wide variety of financial settings. The difficulty of understanding the inner workings of these systems, combined with their wide applicability, has the potential to lead to significant new…
Quantile regression \parencite{Koenker1978} is a robust and practically useful way to efficiently model quantile varying correlation and predict varied response quantiles of interest. This article constructs and tests MM algorithms, which…
Autonomous agents based on Large Language Models (LLMs) that devise plans and tackle real-world challenges have gained prominence.However, tailoring these agents for specialized domains like quantitative investment remains a formidable…
We first review and critically examine some basic concepts and ambiguities related to quantum mechanics and quantum measurement to understand the success and shortcomings of current theories. We also touch on ideas regarding expression of…
Many-body quantum-mechanical scattering problem is solved asymptotically when the size of the scatterers (inhomogeneities) tends to zero and their number tends to infinity. A method is given for calculation of the number of small…
We address the relation between quantum metrological resolution and coherence. We examine this dependence in two manners: we develop a quantum Wiener-Kintchine theorem for a suitable model of quantum ruler, and we compute the Fisher…
We consider an agent who has access to a financial market, including derivative contracts, who looks to maximise her utility. Whilst the agent looks to maximise utility over one probability measure, or class of probability measures, she…