Related papers: Stochastic Spread Pairs Trading in the Indian Comm…
We describe a model for evolving commodity forward prices that incorporates three important dynamics which appear in many commodity markets: mean reversion in spot prices and the resulting Samuelson effect on volatility term structure,…
The usage of a spot volatility estimate based on a volatility decomposition in a time-changed price-model according to the trading times is investigated. In this model clock-time volatility splits up into the product of tick-time volatility…
In this study, we model the Indian stock market as heterogenous scale free network, which is then embedded in a two dimensional hyperbolic space through a machine learning based technique called as coalescent embedding. This allows us to…
Based on the concept of self-decomposable random variables we discuss the application of a model for a pair of dependent Poisson processes to energy facilities. Due to the resulting structure of the jump events we can see the…
Within the context of risk integration, we introduce in risk measurement stochastic holding period (SHP) models. This is done in order to obtain a `liquidity-adjusted risk measure' characterized by the absence of a fixed time horizon. The…
We consider a market model that consists of financial investors and producers of a commodity. Producers optionally store some production for future sale and go short on forward contracts to hedge the uncertainty of the future commodity…
We address the issue of control of a stochastic two-component granulation process in pharmaceutical applications through using Stochastic Model Predictive Control (SMPC) and model reduction to obtain the desired particle distribution. We…
Climate is an evolving complex system with dynamic interactions and non-linear feedback mechanisms, shaping environmental and socio-economic outcomes. Crop production is highly sensitive to climatic fluctuations (and many other…
We introduce a multi-factor stochastic volatility model for commodities that incorporates seasonality and the Samuelson effect. Conditions on the seasonal term under which the corresponding volatility factor is well-defined are given, and…
We propose a new estimator for the spot covariance matrix of a multi-dimensional continuous semi-martingale log asset price process which is subject to noise and non-synchronous observations. The estimator is constructed based on a local…
We introduce a stochastic price model where, together with a random component, a moving average of logarithmic prices contributes to the price formation. Our model is tested against financial datasets, showing an extremely good agreement…
We propose three different data-driven approaches for pricing European-style call options using supervised machine-learning algorithms. These approaches yield models that give a range of fair prices instead of a single price point. The…
Pairs-trading is a trading strategy that involves matching a long position with a short position in two stocks aiming at market-neutral profits. While a typical pairs-trading system monitors the prices of two statistically correlated stocks…
The money market and the capital market of the Indian financial markets have a symbiotic relationship in the development of the Indian economy. The nature and the characteristics of the markets differ to a large extent as the money market…
The focus of this paper is on identifying the most effective selling strategy for pairs trading of stocks. In pairs trading, a long position is held in one stock while a short position is held in another. The goal is to determine the…
Volatility clustering is a crucial property that has a substantial impact on stock market patterns. Nonetheless, developing robust models for accurately predicting future stock price volatility is a difficult research topic. For predicting…
The aim of this work is to create systematic trading strategies built upon several financial crisis indicators based on the spectral properties of market dynamics. Within the limitations of our framework and data, we will demonstrate that…
In commodity and energy markets swing options allow the buyer to hedge against futures price fluctuations and to select its preferred delivery strategy within daily or periodic constraints, possibly fixed by observing quoted futures…
We investigate the joint dynamics of spot and implied volatility from an empirical perspective. We focus on the equity market with the SPX Index our underlying of choice. Using only observable quantities, we extract the instantaneous…
Jumps and market microstructure noise are stylized features of high-frequency financial data. It is well known that they introduce bias in the estimation of volatility (including integrated and spot volatilities) of assets, and many methods…