Related papers: Is It Possible to OD on Alpha?
We give an explicit algorithm and source code for extracting equity risk factors from dead (a.k.a. "flatlined" or "hockey-stick") alphas and using them to improve performance characteristics of good (tradable) alphas. In a nutshell, we use…
This paper investigates the problem of ensembling multiple strategies for sequential portfolios to outperform individual strategies in terms of long-term wealth. Due to the uncertainty of strategies' performances in the future market, which…
We consider the problem of the statistical uncertainty of the correlation matrix in the optimization of a financial portfolio. We show that the use of clustering algorithms can improve the reliability of the portfolio in terms of the ratio…
We investigate the impact of order flow imbalance (OFI) on price movements in equity markets in a multi-asset setting. First, we propose a systematic approach for combining OFIs at the top levels of the limit order book into an integrated…
This paper presents hedging strategies for European and exotic options in a Levy market. By applying Taylor's Theorem, dynamic hedging portfolios are con- structed under different market assumptions, such as the existence of power jump…
How do you bring your assets as close as possible to your target allocation by only investing a fixed amount of additional funds, and not selling any assets? We look at two versions of this problem which have simple, closed form solutions…
Analysis of asset liability management (ALM) strategies especially for long term horizon is a crucial issue for banks, funds and insurance companies. Modern economic models, investment strategies and optimization criteria make ALM studies…
Blockchains have block-size limits to ensure the entire cluster can keep up with the tip of the chain. These block-size limits are usually single-dimensional, but richer multidimensional constraints allow for greater throughput. The…
We consider the problem of risk diversification of $\alpha$-stable heavy tailed risks. We study the behaviour of the aggregated Value-at-Risk, with particular reference to the impact of different tail dependence structures on the limits to…
While many researchers adopt a sharding approach to design scaling blockchains, few works have studied the transaction placement problem incurred by sharding protocols. The widely-used hashing placement algorithm renders an overwhelming…
A multiflow in a planar graph is uncrossed if its support paths do not cross. Recently such flows have played a role in approximation algorithms for maximum disjoint paths in "fully-planar" instances, where the combined supply-demand graph…
We describe the pricing and hedging of financial options without the use of probability using rough paths. By encoding the volatility of assets in an enhancement of the price trajectory, we give a pathwise presentation of the replication of…
Crowding is widely regarded as one of the most important risk factors in designing portfolio strategies. In this paper, we analyze stock crowding using network analysis of fund holdings, which is used to compute crowding scores for stocks.…
This paper presents a simple method for a posteriori (historical) multi-variate multi-stage optimal trading under transaction costs and a diversification constraint. Starting from a given amount of money in some currency, we analyze the…
In a market with one safe and one risky asset, an investor with a long horizon, constant investment opportunities, and constant relative risk aversion trades with small proportional transaction costs. We derive explicit formulas for the…
In a balancing network each processor has an initial collection of unit-size jobs (tokens) and in each round, pairs of processors connected by balancers split their load as evenly as possible. An excess token (if any) is placed according to…
This paper presents a stream-oriented architecture for structuring cluster applications. Clusters that run applications based on this architecture can scale to tenths of thousands of nodes with significantly less performance loss or…
We consider several transitions between narrow lines that have an enhanced sensitivity to a possible variation of the fine structure constant, alpha. This enhancement may allow a search to be performed with an effective suppression of the…
Properties of distributions of the number of trades in different intraday time intervals for five stocks traded in MICEX are studied. The dependence of the mean number of trades on the capital turnover is analyzed. Correlation analysis…
Using multiple streams can improve the overall system performance by mitigating the data transfer overhead on heterogeneous systems. Currently, very few cases have been streamed to demonstrate the streaming performance impact and a…