Related papers: An Empirical Analysis of Dynamic Multiscale Hedgin…
We consider dynamic sublinear expectations (i.e., time-consistent coherent risk measures) whose scenario sets consist of singular measures corresponding to a general form of volatility uncertainty. We derive a c\`adl\`ag nonlinear…
In this study, we perform some analysis for the probability distributions in the space of frequency and time variables. However, in the domain of high frequencies, it behaves in such a way as the highly non-linear dynamics. The wavelet…
A Bayesian procedure is developed for multivariate stochastic volatility, using state space models. An autoregressive model for the log-returns is employed. We generalize the inverted Wishart distribution to allow for different correlation…
Due to their high resolution, dynamic medical 2D+t and 3D+t volumes from computed tomography (CT) and magnetic resonance tomography (MR) reach a size which makes them very unhandy for teleradiologic applications. A lossless scalable…
Typical LHC analyses search for local features in kinematic distributions. Assumptions about anomalous patterns limit them to a relatively narrow subset of possible signals. Wavelets extract information from an entire distribution and…
This paper presents a data-driven interpretable machine learning algorithm for semi-static hedging of Exchange Traded options, considering transaction costs with efficient run-time. Further, we provide empirical evidence on the performance…
In this paper, we propose a data-driven sliding window approach to solve a log-optimal portfolio problem. In contrast to many of the existing papers, this approach leads to a trading strategy with time-varying portfolio weights rather than…
We present a framework for hedging a portfolio of derivatives in the presence of market frictions such as transaction costs, market impact, liquidity constraints or risk limits using modern deep reinforcement machine learning methods. We…
We study the exponential Ornstein-Uhlenbeck stochastic volatility model and observe that the model shows a multiscale behavior in the volatility autocorrelation. It also exhibits a leverage correlation and a probability profile for the…
This paper addresses the challenges faced in large-volume trading, where executing substantial orders can result in significant market impact and slippage. To mitigate these effects, this study proposes a volatility-volume-based order…
Risk aversion is a key element of utility maximizing hedge strategies; however, it has typically been assigned an arbitrary value in the literature. This paper instead applies a GARCH-in-Mean (GARCH-M) model to estimate a time-varying…
Previous studies showed that hydro-climate processes are stochastic and complex systems, and it is difficult to discover the hidden patterns in the all non-stationary data and thoroughly understand the hydro-climate relationships. For the…
We investigate the optimal portfolio deleveraging (OPD) problem with permanent and temporary price impacts, where the objective is to maximize equity while meeting a prescribed debt/equity requirement. We take the real situation with cross…
The exponentially weighted moving average (EMWA) could be labeled as a competitive volatility estimator, where its main strength relies on computation simplicity, especially in a multi-asset scenario, due to dependency only on the decay…
Velocity measurements made from multiple-epoch astronomical images of evolving objects with optically thin continuum emission (e.g. as relativistic jets or expanding supernova shells) may be confused as a result of the overlap of…
This paper proposes a variational framework for multi-objective level set topology optimization. The approach interprets the level set function as a generalized coordinate of a fictitious material and derives its equation of motion from…
Multivariate stochastic volatility models with skew distributions are proposed. Exploiting Cholesky stochastic volatility modeling, univariate stochastic volatility processes with leverage effect and generalized hyperbolic skew…
We present an algorithm producing a dynamic non-self-financing hedging strategy in an incomplete market corresponding to investor-relevant risk criterion. The optimization is a two stage process that first determines admissible model…
The event-by-event analysis of multiparticle production in high energy hadron and nuclei collisions can be performed using the discrete wavelet transformation. The ring-like and jet-like structures in two-dimensional angular histograms are…
Variational inference (VI) has become a widely used approach for scalable Bayesian inference, but its performance strongly depends on the flexibility of the chosen variational family. In this work, we propose a novel variational family that…