Related papers: Analysis of hedging based on co-persistence theory
This paper investigates the hedging effectiveness of a dynamic moving window OLS hedging model, formed using wavelet decomposed time-series. The wavelet transform is applied to calculate the appropriate dynamic minimum-variance hedge ratio…
We propose some machine-learning-based algorithms to solve hedging problems in incomplete markets. Sources of incompleteness cover illiquidity, untradable risk factors, discrete hedging dates and transaction costs. The proposed algorithms…
This paper considers a novel co-design problem of the optimal \textit{sequential} attack, whose attack strategy changes with the time series, and in which the \textit{sequential} attack selection strategy and \textit{sequential} attack…
We investigate model risk and distributionally robust optimization (DRO) under marginal and martingale constraints. Building on our previous work, we address the previously open case of static hedging with second-period maturity vanilla…
We investigate the use of path signatures in a machine learning context for hedging exotic derivatives under non-Markovian stochastic volatility models. In a deep learning setting, we use signatures as features in feedforward neural…
We consider the hedging problem where a futures position can be automatically liquidated by the exchange without notice. We derive a semi-closed form for an optimal hedging strategy with dual objectives - to minimise both the variance of…
In this work, we present a generalization of extended persistent homology to filtrations of graded sub-groups by defining relative homology in this setting. Our work provides a more comprehensive and flexible approach to get an algebraic…
This paper presents a class of new algorithms for distributed statistical estimation that exploit divide-and-conquer approach. We show that one of the key benefits of the divide-and-conquer strategy is robustness, an important…
Reducing financial risk is of paramount importance to investors, financial institutions, and corporations. Since the pioneering contribution of Johnson (1960), the optimal hedge ratio based on futures is regularly utilized. The current…
The passive management approach offers conservative investors a way to reduce risk concerning the market. This investment strategy aims at replicating a specific index, such as the NASDAQ Composite or the FTSE100 index. The problem is that…
We investigate the performance of the Deep Hedging framework under training paths beyond the (finite dimensional) Markovian setup. In particular we analyse the hedging performance of the original architecture under rough volatility models…
Progressive Hedging is a popular decomposition algorithm for solving multi-stage stochastic optimization problems. A computational bottleneck of this algorithm is that all scenario subproblems have to be solved at each iteration. In this…
In order to figure out and to forecast the emergence phenomena of social systems, we propose several probabilistic models for the analysis of financial markets, especially around a crisis. We first attempt to visualize the collective…
This study explores contagion in the Chinese stock market using Hawkes processes to analyze autocorrelation and cross-correlation in multivariate time series data. We examine whether market indices exhibit trending behavior and whether…
Recent advances in computer architecture and networking opened the opportunity for parallelizing the clustering algorithms. This divide-and-conquer strategy often results in better results to centralized clustering with a much-improved time…
This paper presents a sophisticated multi-day turnover quantitative trading algorithm that integrates advanced deep learning techniques with comprehensive cross-sectional stock prediction for the Chinese A-share market. Our framework…
The successive discrete structures generated by a sequential algorithm from random input constitute a Markov chain that may exhibit long term dependence on its first few input values. Using examples from random graph theory and search…
We consider a stochastic game-theoretic model of an investment market in continuous time with short-lived assets and study strategies, called survival, which guarantee that the relative wealth of an investor who uses such a strategy remains…
Pairs trading, a strategy that capitalizes on price movements of asset pairs driven by similar factors, has gained significant popularity among traders. Common practice involves selecting highly cointegrated pairs to form a portfolio, which…
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…