Related papers: Trading Strategies Generated by Lyapunov Functions
This study delves into the analysis of financial markets through the lens of Wyckoff Phases, a framework devised by Richard D. Wyckoff in the early 20th century. Focusing on the accumulation pattern within the Wyckoff framework, the…
The role of portfolio construction in the implementation of equity market neutral factors is often underestimated. Taking the classical momentum strategy as an example, we show that one can significantly improve the main strategy's features…
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,…
The emerging cryptocurrency market has lately received great attention for asset allocation due to its decentralization uniqueness. However, its volatility and brand new trading mode have made it challenging to devising an acceptable…
In this article we show that the payment flow of a linear tax on trading gains from a security with a semimartingale price process can be constructed for all c\`agl\`ad and adapted trading strategies. It is characterized as the unique…
Cover's celebrated theorem states that the long run yield of a properly chosen "universal" portfolio is as good as the long run yield of the best retrospectively chosen constant rebalanced portfolio. The "universality" pertains to the fact…
Modeling financial time series by stochastic processes is a challenging task and a central area of research in financial mathematics. As an alternative, we introduce Quant GANs, a data-driven model which is inspired by the recent success of…
With the improvement of computer performance and the development of GPU-accelerated technology, trading with machine learning algorithms has attracted the attention of many researchers and practitioners. In this research, we propose a novel…
This paper studies a continuous-time market {under stochastic environment} where an agent, having specified an investment horizon and a target terminal mean return, seeks to minimize the variance of the return with multiple stocks and a…
This paper does not suppose a priori that the evolution of the price of a financial asset is a semimartingale. Since possible strategies of investors are self-financing, previous prices are forced to be finite quadratic variation processes.…
The stock market offers a platform where people buy and sell shares of publicly listed companies. Generally, stock prices are quite volatile; hence predicting them is a daunting task. There is still much research going to develop more…
We propose Functional Flow Matching (FFM), a function-space generative model that generalizes the recently-introduced Flow Matching model to operate in infinite-dimensional spaces. Our approach works by first defining a path of probability…
The numeraire portfolio in a financial market is the unique positive wealth process that makes all other nonnegative wealth processes, when deflated by it, supermartingales. The numeraire portfolio depends on market characteristics, which…
Cryptocurrency trading represents a nascent field of research, with growing adoption in industry. Aided by its decentralised nature, many metrics describing cryptocurrencies are accessible with a simple Google search and update frequently,…
Motivated by practical applications, we explore the constrained multi-period mean-variance portfolio selection problem within a market characterized by a dynamic factor model. This model captures predictability in asset returns driven by…
This article presents a novel numerically tractable technique for synthesizing Lyapunov functions for equilibria of nonlinear vector fields. In broad strokes, corresponding to an isolated equilibrium point of a given vector field, a…
We consider a stochastic factor financial model where the asset price process and the process for the stochastic factor depend on an observable Markov chain and exhibit an affine structure. We are faced with a finite time investment horizon…
We study the forward investment performance process (FIPP) in an incomplete semimartingale market model with closed and convex portfolio constraints, when the investor's risk preferences are of the power form. We provide necessary and…
Establishing profitable trading strategies in financial markets is a challenging task. While traditional methods like technical analysis have long served as foundational tools for traders to recognize and act upon market patterns, the…
Empirical studies indicate the existence of long range dependence in the volatility of the underlying asset. This feature can be captured by modeling its return and volatility using functions of a stationary fractional Ornstein--Uhlenbeck…