Related papers: A Mathematical Analysis of Technical Analysis
A Levy-driven Ornstein-Uhlenbeck process is proposed to model the evolution of the risk-free rate and default intensities for the purpose of evaluating option contracts on a credit index. Time evolution in credit markets is assumed to…
In this study we consider the pricing of energy derivatives when the evolution of spot prices is modeled with a normal tempered stable driven Ornstein-Uhlenbeck process. Such processes are the generalization of normal inverse Gaussian…
Trading styles can be classified into either trend-following or mean-reverting. If the net trading style is trend-following the traded asset is more likely to move in the same direction it moved previously (the opposite is true if the net…
We study the evolution of distributions under the action of an ergodic dynamical system, which may be stochastic in nature. By employing tools from Koopman and transfer operator theory one can evolve any initial distribution of the state…
Evolutionary algorithms have been widely used for a range of stochastic optimization problems in order to address complex real-world optimization problems. We consider the knapsack problem where the profits involve uncertainties. Such a…
Classifying streaming data requires the development of methods which are computationally efficient and able to cope with changes in the underlying distribution of the stream, a phenomenon known in the literature as concept drift. We propose…
Motivated by the recently launched mobile data trading markets (e.g., China Mobile Hong Kong's 2nd exChange Market), in this paper we study the mobile data trading problem under the future data demand uncertainty. We introduce a…
We study the problem of active portfolio management where an investor aims to outperform a benchmark strategy's risk profile while not deviating too far from it. Specifically, an investor considers alternative strategies whose terminal…
In this paper we study utility maximization with proportional transaction costs. Assuming extended weak convergence of the underlying processes we prove the convergence of the corresponding utility maximization problems. Moreover, we…
This paper proposes a stochastic approach to model temperature dynamic and study related risk measures. The dynamic of temperatures can be modelled by a mean-reverting process such as an Ornstein-Uhlenbeck one. In this study, we estimate…
This paper examines a trade execution game for two large traders in a generalized price impact model. We incorporate a stochastic and sequentially dependent factor that exogenously affects the market price into financial markets. Our model…
We study a financial market where the risky asset is modelled by a geometric It\^o-L\'{e}vy process, with a singular drift term. This can for example model a situation where the asset price is partially controlled by a company which…
How effective are the most common trading models? The answer may help investors realize upsides to using each model, act as a segue for investors into more complex financial analysis and machine learning, and to increase financial literacy…
Run and tumble equations are widely used models for bacterial chemotaxis. In this paper, we are interested in the long time behaviour of run and tumble equations with unbounded velocities. We show existence, uniqueness and quantitative…
The volume weighted average price (VWAP) execution strategy is well known and widely used in practice. In this study, we explicitly introduce a trading volume process into the Almgren-Chriss model, which is a standard model for optimal…
The local Rademacher complexity framework is one of the most successful general-purpose toolboxes for establishing sharp excess risk bounds for statistical estimators based on the framework of empirical risk minimization. Applying this…
We consider the robust exponential utility maximization problem in discrete time: An investor maximizes the worst case expected exponential utility with respect to a family of nondominated probabilistic models of her endowment by…
We introduce a class of adaptive timestepping strategies for stochastic differential equations with non-Lipschitz drift coefficients. These strategies work by controlling potential unbounded growth in solutions of a numerical scheme due to…
We give explicit solutions for utility maximization of terminal wealth problem $u(X_T)$ in the presence of Knightian uncertainty in continuous time $[0,T]$ in a complete market. We assume there is uncertainty on both drift and volatility of…
In this paper, we propose an equilibrium pricing model in a dynamic multi-period stochastic framework with uncertain income streams. In an incomplete market, there exist two traded risky assets (e.g. stock/commodity and weather derivative)…