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We establish the existence of anomalous excess returns based on trend following strategies across four asset classes (commodities, currencies, stock indices, bonds) and over very long time scales. We use for our studies both futures time…
The problem of detecting the presence of a signal that can lead to a disaster is studied. A decision-maker collects data sequentially over time. At some point in time, called the change point, the distribution of data changes. This change…
We investigate the distributions of epsilon-drawdowns and epsilon-drawups of the most liquid futures financial contracts of the world at time scales of 30 seconds. The epsilon-drawdowns (resp. epsilon- drawups) generalise the notion of runs…
The cutoff phenomenon is an abrupt transition from out of equilibrium to equilibrium undergone by certain Markov processes in the limit where the size of the state space tends to infinity: instead of decaying gradually over time, their…
In this paper we extend the investigation into the transition from sure to probabilistic sniping as introduced in Menkveld and Zoican \cite{mz2017}. In that paper, the authors introduce a stylized version of a competitive game in which high…
Deep learning's success has been attributed to the training of large, overparameterized models on massive amounts of data. As this trend continues, model training has become prohibitively costly, requiring access to powerful computing…
We study how to unwind stochastic order flow with minimal transaction costs. Stochastic order flow arises, e.g., in the central risk book (CRB), a centralized trading desk that aggregates order flows within a financial institution. The desk…
Motivated by the literature on investment flows and optimal trading, we examine intraday predictability in the cross-section of stock returns. We find a striking pattern of return continuation at half-hour intervals that are exact multiples…
Discrete time hedging in a complete diffusion market is considered. The hedge portfolio is rebalanced when the absolute difference between delta of the hedge portfolio and the derivative contract reaches a threshold level. The rate of…
Premature convergence can be detrimental to the performance of search methods, which is why many search algorithms include restart strategies to deal with it. While it is common to perturb the incumbent solution with diversification steps…
Recently there has been much work on selective sampling, an online active learning setting, in which algorithms work in rounds. On each round an algorithm receives an input and makes a prediction. Then, it can decide whether to query a…
Financial markets exhibit an apparent paradox: while directional price movements remain largely unpredictable--consistent with weak-form efficiency--the magnitude of price changes displays systematic structure. Here we demonstrate that…
When deployed in the real world, machine learning models inevitably encounter changes in the data distribution, and certain -- but not all -- distribution shifts could result in significant performance degradation. In practice, it may make…
This paper studies empirical deep hedging for S&P 500 index options under a local downside-shortfall reward. It moves beyond performance comparison by asking what the learned hedge does, when it fails, and whether it can be made auditable.…
This paper examines the pricing of short-term and long-term dynamic network risk in the cross-section of stock returns. Stocks with high sensitivities to dynamic network risk earn lower returns. We rationalize our finding with economic…
We revisit the long-only trend-following strategy presented in A Century of Profitable Industry Trends by Zarattini and Antonacci, which achieved exceptional historical performance with an 18.2% annualized return and a Sharpe Ratio of 1.39.…
Customer churn describes terminating a relationship with a business or reducing customer engagement over a specific period. Two main business marketing strategies play vital roles to increase market share dollar-value: gaining new and…
We analyse time series of CDS spreads for a set of major US and European institutions on a pe- riod overlapping the recent financial crisis. We extend the existing methodology of {\epsilon}-drawdowns to the one of joint {\epsilon}-drawups,…
In this paper, we model the cash surplus (or equity) of a risky business with a Brownian motion. Owners can take cash out of the surplus in the form of "dividends", subject to transaction costs. However, if the surplus hits 0 then ruin…
We consider a Brownian motion with linear drift that splits at fixed time points into a fixed number of branches, which may depend on the branching point. For this process, which we shall refer to as the Brownian decision tree, we…