Related papers: Deconstructing the Low-Vol Anomaly
How should a court resolve a shareholder-management dispute after an unexpected price drop, when it is suspected that at an earlier time management chose not to update (disclose to) the market about a material event that was privately…
We consider a mixed stochastic control problem that arises in Mathematical Finance literature with the study of interactions between dividend policy and investment. This problem combines features of both optimal switching and singular…
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…
We decompose returns for portfolios of bottom-ranked, lower-priced assets relative to the market into rank crossovers and changes in the relative price of those bottom-ranked assets. This decomposition is general and consistent with…
When decision makers evaluate a sequence of rewards, they may pay more attention to larger rewards and, given attention is limited, less attention to smaller rewards. They may also become less attentive to each reward when attention is…
Robust control seeks stabilizing policies that perform reliably under adversarial disturbances, with $\mathcal{H}_\infty$ control as a classical formulation. It is known that policy optimization of robust $\mathcal{H}_\infty$ control…
We study the evolution of biased domain walls in the early universe. We explicitly discuss the roles played by the surface tension and volume pressure in the evolution of the walls, and quantify their effects by looking at the collapse of…
We consider the randomness of market trade as the origin of price and return stochasticity. We look at time series of trade values and volumes as random variables during the averaging interval {\Delta} and describe the dependences of…
In this paper we study the problem of optimally paying out dividends from an insurance portfolio, when the criterion is to maximize the expected discounted dividends over the lifetime of the company and the portfolio contains claims due to…
We study tail risk dynamics in high-frequency financial markets and their connection with trading activity and market uncertainty. We introduce a dynamic extreme value regression model accommodating both stationary and local unit-root…
Proponents of behavioral finance have identified several "puzzles" in the market that are inconsistent with rational finance theory. One such puzzle is the "excess volatility puzzle". Changes in equity prices are too large given changes in…
The dynamic portfolio optimization problem in finance frequently requires learning policies that adhere to various constraints, driven by investor preferences and risk. We motivate this problem of finding an allocation policy within a…
In order to understand the origin of stock price jumps, we cross-correlate high-frequency time series of stock returns with different news feeds. We find that neither idiosyncratic news nor market wide news can explain the frequency and…
In financial markets, the order flow, defined as the process assuming value one for buy market orders and minus one for sell market orders, displays a very slowly decaying autocorrelation function. Since orders impact prices, reconciling…
We investigated the unbounded diffusion observed in a time-dependent oval-shaped billiard and its suppression owing to inelastic collisions with the boundary. The main focus is on the behavior of the diffusion coefficient, which plays a key…
We present a mathematical method to statistically decouple the effects of unknown inclination angles on the mass distribution of exoplanets that have been discovered using radial-velocity techniques. The method is based on the distribution…
We consider the multi-refraction strategies in two equivalent versions of the optimal dividend problem in the dual (spectrally positive L\'evy) model. The first problem is a variant of the bail-out case where both dividend payments and…
We present a theoretical investigation of shot-noise properties in nondegenerate elastic diffusive conductors. Both Monte Carlo simulations and analytical approaches are used. Two new phenomena are found: (i) the display of enhanced shot…
A common belief is that leveraged ETFs (LETFs) suffer long-term performance decay due to \emph{volatility drag}. We show that this view is incomplete: LETF performance depends fundamentally on return autocorrelation and return dynamics. In…
The study of long-horizon returns has received a great deal of attention in recent years (see, for example, Boudoukh, Richardson, and Whitelaw (2008), Neuberger (2012) and Lee (2013), Fama and French (2018)). While most of the discussions…