Related papers: Tracking VIX with VIX Futures: Portfolio Construct…
In this paper, we propose a data-driven sliding window approach to solve a log-optimal portfolio problem. In contrast to many of the existing papers, this approach leads to a trading strategy with time-varying portfolio weights rather than…
Previous literature shows that prevalent risk measures such as Value at Risk or Expected Shortfall are ineffective to curb excessive risk-taking by a tail-risk-seeking trader with S-shaped utility function in the context of portfolio…
We present several methods for predicting the dynamics of Hamiltonian systems from discrete observations of their vector field. Each method is either informed or uninformed of the Hamiltonian property. We empirically and comparatively…
We analyze empirical data for 4,000 real-life trading portfolios (U.S. equities) with holding periods of about 0.7-19 trading days. We find a simple scaling C ~ 1/T, where C is cents-per-share, and T is the portfolio turnover. Thus, the…
Neural networks have been increasingly employed in Model Predictive Controller (MPC) to control nonlinear dynamic systems. However, MPC still poses a problem that an achievable update rate is insufficient to cope with model uncertainty and…
This brief proposes a quasi time-fuel optimal control strategy to solve the dynamic tracking problem of unmanned systems when fuel and control input are limited. This kind of motion planning and control strategy could bring the biggest…
In this paper we derive the optimal execution trajectory for a trader who wishes to buy or sell a large position of shares which evolve as a geometric Brownian process in contrast to the arithmetic model which prevails in the existing…
In this paper, we study the portfolio optimization problem with general utility functions and when the return and volatility of underlying asset are slowly varying. An asymptotic optimal strategy is provided within a specific class of…
Motivated by empirical evidence for rough volatility models, this paper investigates continuous-time mean-variance (MV) portfolio selection under the Volterra Heston model. Due to the non-Markovian and non-semimartingale nature of the…
We consider the joint SPX-VIX calibration within a general class of Gaussian polynomial volatility models in which the volatility of the SPX is assumed to be a polynomial function of a Gaussian Volterra process defined as a stochastic…
Fast appearance variations and the distractions of similar objects are two of the most challenging problems in visual object tracking. Unlike many existing trackers that focus on modeling only the target, in this work, we consider the…
Joint calibration to SPX and VIX market data is a delicate task that requires sophisticated modeling and incurs significant computational costs. The latter is especially true when pricing of volatility derivatives hinges on nested Monte…
While the use of volatilities is pervasive throughout finance, our ability to determine the instantaneous volatility of stocks is nascent. Here, we present a method for measuring the temporal behavior of stocks, and show that stock prices…
Adaptive optimal control using value iteration (VI) initiated from a stabilizing policy is theoretically analyzed in various aspects including the continuity of the result, the stability of the system operated using any single/constant…
Approximate dynamic programming has been investigated and used as a method to approximately solve optimal regulation problems. However, the extension of this technique to optimal tracking problems for continuous time nonlinear systems has…
We present a nonlinear model predictive control (MPC) scheme for tracking of dynamic target signals. The scheme combines stabilization and dynamic trajectory planning in one layer, thus ensuring constraint satisfaction irrespective of…
Financial networks have become extremely useful in characterizing the structure of complex financial systems. Meanwhile, the time evolution property of the stock markets can be described by temporal networks. We utilize the temporal network…
This paper examines systematic put-writing strategies applied to S&P 500 Index options, with a focus on position sizing as a key determinant of long-term performance. Despite the well-documented volatility risk premium, where implied…
In this work, I address the issue of forming riskless hedge in the continuous time option pricing model with stochastic stock volatility. I show that it is essential to verify whether the replicating portfolio is self-financing, in order…
In this paper, we propose a method for evaluating autonomous trading strategies that provides realistic expectations, regarding the strategy's long-term performance. This method addresses This method addresses many pitfalls that currently…