Related papers: An Empirical Analysis of Dynamic Multiscale Hedgin…
This work develops techniques for the sequential detection and location estimation of transient changes in the volatility (standard deviation) of time series data. In particular, we introduce a class of change detection algorithms based on…
In this article, we introduce an algorithm called Backward Hedging, designed for hedging European and American options while considering transaction costs. The optimal strategy is determined by minimizing an appropriate loss function, which…
The paper considers variable selection in linear regression models where the number of covariates is possibly much larger than the number of observations. High dimensionality of the data brings in many complications, such as (possibly…
Experimentally observed networks of interacting dynamical systems are inferred from recorded multivariate time series by evaluating a statistical measure of dependence, usually the cross-correlation coefficient, or mutual information. These…
We describe here a framework for a certain class of multiscale likelihood factorizations wherein, in analogy to a wavelet decomposition of an L^2 function, a given likelihood function has an alternative representation as a product of…
Discrete time hedging in a complete diffusion market is considered. The hedge portfolio is rebalanced when the absolute difference between delta of the hedge portfolio and the derivative contract reaches a threshold level. The rate of…
A fractal approach to the long-short portfolio optimization is proposed. The algorithmic system based on the composition of market-neutral spreads into a single entity was considered. The core of the optimization scheme is a fractal walk…
Multiple speckle diffusing wave spectroscopy (MSDWS) can be applied to measure spatially heterogeneous mechanical behavior in soft solids, with high sensitivity to deformation and both spatial and temporal resolution. In this paper, we…
In analogy with steerable wavelets, we present a general construction of adaptable tight wavelet frames, with an emphasis on scaling operations. In particular, the derived wavelets can be "dilated" by a procedure comparable to the operation…
Excessive leverage, i.e. the abuse of debt financing, is considered one of the primary factors in the default of financial institutions. Systemic risk results from correlations between individual default probabilities that cannot be…
Time-series forecasting often faces challenges due to data volatility, which can lead to inaccurate predictions. Variational Mode Decomposition (VMD) has emerged as a promising technique to mitigate volatility by decomposing data into…
We extend and test empirically the multifractal model of asset returns based on a multiplicative cascade of volatilities from large to small time scales. The multifractal description of asset fluctuations is generalized into a multivariate…
A bird-feather-inspired herringbone riblet texture was investigated for turbulent drag reduction. The texture consists of blade riblets in a converging/diverging or herringbone pattern with spanwise wavelength $\Lambda_f$. The aim is to…
A framework for exponential time discretization of the multilayer rotating shallow water equations is developed in combination with a mimetic discretization in space. The method is based on a combination of existing exponential time…
We perform wavelet decomposition of high frequency financial time series into large and small time scale components. Taking the FTSE100 index as a case study, and working with the Haar basis, it turns out that the small scale component…
A diversified risk-adjusted time-series momentum (TSMOM) portfolio can deliver substantial abnormal returns and offer some degree of tail risk protection during extreme market events. The performance of existing TSMOM strategies, however,…
We determine the variance-optimal hedge when the logarithm of the underlying price follows a process with stationary independent increments in discrete or continuous time. Although the general solution to this problem is known as backward…
We consider hedging of a contingent claim by a 'semi-static' strategy composed of a dynamic position in one asset and static (buy-and-hold) positions in other assets. We give general representations of the optimal strategy and the hedging…
Our article considers a regression model with observed factors. The observed factors have a flexible stochastic volatility structure that has separate dynamics for the volatilities and the correlation matrix. The correlation matrix of the…
We propose a novel computational procedure for quadratic hedging in high-dimensional incomplete markets, covering mean-variance hedging and local risk minimization. Starting from the observation that both quadratic approaches can be treated…