Related papers: Analysis of hedging based on co-persistence theory
In this work, I address the issue of forming riskless hedge in the continuous time option pricing model with stochastic stock volatility. I show that it is essential to verify whether the replicating portfolio is self-financing, in order…
Recent developments in deep learning techniques have motivated intensive research in machine learning-aided stock trading strategies. However, since the financial market has a highly non-stationary nature hindering the application of…
This paper characterises dynamic linkages arising from shocks with heterogeneous degrees of persistence. Using frequency domain techniques, we introduce measures that identify smoothly varying links of a transitory and persistent nature.…
The time proximity of trades across stocks reveals interesting topological structures of the equity market in the United States. In this article, we investigate how such concurrent cross-stock trading behaviors, which we denote as…
Computational topology has recently known an important development toward data analysis, giving birth to the field of topological data analysis. Topological persistence, or persistent homology, appears as a fundamental tool in this field.…
The probability minimizing problem of large losses of portfolio in discrete and continuous time models is studied. This gives a generalization of quantile hedging presented in [3].
The cosparse analysis model has been introduced recently as an interesting alternative to the standard sparse synthesis approach. A prominent question brought up by this new construction is the analysis pursuit problem -- the need to find a…
Label information is widely used in hashing methods because of its effectiveness of improving the precision. The existing hashing methods always use two different projections to represent the mutual regression between hash codes and class…
The cryptocurrency market is volatile, non-stationary and non-continuous. Together with liquid derivatives markets, this poses a unique opportunity to study risk management, especially the hedging of options, in a turbulent market. We study…
The performance of trend following strategies can be ascribed to the difference between long-term and short-term realized variance. We revisit this general result and show that it holds for various definitions of trend strategies. This…
Stock price prediction has been an important research theme both academically and practically. Various methods to predict stock prices have been studied until now. The feature that explains the stock price by a cross-section analysis is…
In this article, we investigate the behavior of long-term options. In many cases, option prices follow an exponential decay (or growth) rate for further maturity dates. We determine under what conditions option prices are characterized by…
In the paper a problem of risk measures on a discrete-time market model with transaction costs is studied. Strategy effectiveness and shortfall risk is introduced. This paper is a generalization of quantile hedging presented in [4].
This paper demonstrates the flaws of co-persistence theory proposed by Bollerslev and Engle (1993) which cause the theory can hardly be applied. With the introduction of the half-life of decay coefficient as the measure of the persistence,…
We present a robust Deep Hedging framework for the pricing and hedging of option portfolios that significantly improves training efficiency and model robustness. In particular, we propose a neural model for training model embeddings which…
This article is concerned with stability and performance of controlled stochastic processes under receding horizon policies. We carry out a systematic study of methods to guarantee stability under receding horizon policies via appropriate…
Persistence in spatially extended dynamical systems (like coarsening systems and other nonequilibrium systems) is reviewed. We discuss, in particular, the spatial correlations in the persistent regions and their evolution in time in these…
Derivatives, as a critical class of financial instruments, isolate and trade the price attributes of risk assets such as stocks, commodities, and indices, aiding risk management and enhancing market efficiency. However, traditional hedging…
We show how D4PG can be used in conjunction with quantile regression to develop a hedging strategy for a trader responsible for derivatives that arrive stochastically and depend on a single underlying asset. We assume that the trader makes…
Persistence is an important characteristic of many complex systems in nature, related to how long the system remains at a certain state before changing to a different one. The study of complex systems' persistence involves different…