Related papers: An Empirical Analysis of Dynamic Multiscale Hedgin…
This paper introduces a dynamic minimum variance portfolio (MVP) model using nonlinear volatility dynamic models, based on high-frequency financial data. Specifically, we impose an autoregressive dynamic structure on MVP processes, which…
Wavelets provide the flexibility to analyse stochastic processes at different scales. Here, we apply them to multivariate point processes as a means of detecting and analysing unknown non-stationarity, both within and across data streams.…
The formation of periodic wrinkles in soft layered materials due to mechanical instabilities is prevalent in nature and has been proposed for use in multiple applications. However, such phenomena have been explored predominantly in…
Many real-world applications require aligning two temporal sequences, including bioinformatics, handwriting recognition, activity recognition, and human-robot coordination. Dynamic Time Warping (DTW) is a popular alignment method, but can…
Volatility dynamics of wavelet - filtered stock price time series is studied. Using the universal thresholding method of wavelet filtering and a principle of minimal linear autocorrelation of noise component we find that the quantitative…
This paper addresses the long-standing challenge of estimating the leverage effect from high-frequency data contaminated by dependent, non-Gaussian microstructure noise. We depart from the conventional reliance on pre-averaging or…
Implied volatilities form a well-known structure of smile or surface which accommodates the Bachelier model and observed market prices of interest rate options. For the swaptions that we study, three parameters are taken into account for…
We examine whether hedging effectiveness is affected by asymmetry in the return distribution by applying tail specific metrics to compare the hedging effectiveness of short and long hedgers using crude oil futures contracts. The metrics…
This study introduces a dynamic investment framework to enhance portfolio management in volatile markets, offering clear advantages over traditional static strategies. Evaluates four conventional approaches : equal weighted, minimum…
Time discretization along with space discretization is important in the numerical simulation of subsurface flow applications for long run. In this paper, we derive theoretical convergence error estimates in discrete-time setting for…
The robustness of two widespread multifractal analysis methods, one based on detrended fluctuation analysis and one on wavelet leaders, is discussed in the context of time-series containing non-uniform structures with only isolated…
This paper studies equity basket options -- i.e., multi-dimensional derivatives whose payoffs depend on the value of a weighted sum of the underlying stocks -- and develops a new and innovative approach to ensure consistency between options…
This article presents the data-driven equation-free modeling of the dynamics of a hexafloat floating offshore wind turbine based on the application of dynamic mode decomposition (DMD). All the analyses are performed on experimental data…
Benders decomposition with adaptive oracles was proposed to solve large-scale optimisation problems with a column bounded block-diagonal structure, where subproblems differ on the right-hand side and cost coefficients. Adaptive Benders…
We propose and demonstrate a method for the adaptive wavefront correction of dynamic multimode fiber beams for the first time. The wavefront of incident beam is reconstructed in real-time based on the complete modal information, which…
We propose an alternative approach towards cost mitigation in volatility-managed portfolios based on smoothing the predictive density of an otherwise standard stochastic volatility model. Specifically, we develop a novel variational Bayes…
We use hyperbolic wavelet regression for the fast reconstruction of high-dimensional functions having only low dimensional variable interactions. Compactly supported periodic Chui-Wang wavelets are used for the tensorized hyperbolic wavelet…
Dynamic hedging of an European option under a general local volatility model with small linear transaction costs is studied. A continuous control version of Leland's strategy that asymptotically replicates the payoff is constructed. An…
We present a numerically efficient approach for learning a risk-neutral measure for paths of simulated spot and option prices up to a finite horizon under convex transaction costs and convex trading constraints. This approach can then be…
We study the design of portfolios under a minimum risk criterion. The performance of the optimized portfolio relies on the accuracy of the estimated covariance matrix of the portfolio asset returns. For large portfolios, the number of…