Related papers: Can one hear the shape of a target zone?
We propose a Genetic Programming architecture for the generation of foreign exchange trading strategies. The system's principal features are the evolution of free-form strategies which do not rely on any prior models and the utilization of…
This thesis evaluates most of the extreme mixture models and methods that have appended in the literature and implements them in the context of finance and insurance. The paper also reviews and studies extreme value theory, time series,…
This paper introduces a spatiotemporal exponential generalised autoregressive conditional heteroscedasticity (spatiotemporal E-GARCH) model, extending traditional spatiotemporal GARCH models by incorporating asymmetric volatility…
We model systemic risk using a common factor that accounts for market-wide shocks and a tail dependence factor that accounts for linkages among extreme stock returns. Specifically, our theoretical model allows for firm-specific impacts of…
We consider calculation of capital requirements when the underlying economic scenarios are determined by simulatable risk factors. In the respective nested simulation framework, the goal is to estimate portfolio tail risk, quantified via…
Put-call parity is risk-neutral at terminal payoff, but its enforcement is path-dependent and capital-using. I test whether the SPX and RUT carry gap is explained by OIS-based funding, volatility, trading-friction, and financial-condition…
We establish Hoeffding-type concentration inequalities for the low and high tail bounds of sums of exchangeable random variables. Our results exhibit an anti-symmetry in such tail bounds due to the assumption of exchangeability, a…
Twenty five years ago, several authors proposed to describe the forward interest rate curve (FRC) as an elastic string along which idiosyncratic shocks propagate, accounting for the peculiar structure of the return correlation across…
Models for extreme values are generally derived from limit results, which are meant to be good enough approximations when applied to finite samples. Depending on the speed of convergence of the process underlying the data, these…
We consider learning a trading agent acting on behalf of the treasury of a firm earning revenue in a foreign currency (FC) and incurring expenses in the home currency (HC). The goal of the agent is to maximize the expected HC at the end of…
Score-based diffusion models have become a powerful framework for generative modeling, with score estimation as a central statistical bottleneck. Existing guarantees for score estimation largely focus on light-tailed targets or rely on…
Dealers in foreign exchange markets provide bid and ask prices to their clients at which they are happy to buy and sell, respectively. To manage risk, dealers can skew their quotes and hedge in the interbank market. Hedging offers certainty…
This paper empirically analyses risk in the Euro relative to other currencies. Comparisons are made between a sub period encompassing the final transitional stage to full monetary union with a sub period prior to this. Stability in the face…
This paper develops a dynamic factor model in which common level and volatility factors evolve jointly, allowing conditional means and variances to interact endogenously within a large-information setting. The joint evolution of these…
Modeling and predicting extreme movements in GDP is notoriously difficult and the selection of appropriate covariates and/or possible forms of nonlinearities are key in obtaining precise forecasts. In this paper, our focus is on using large…
We consider continuous-time models with a large panel of moment conditions, where the structural parameter depends on a set of characteristics, whose effects are of interest. The leading example is the linear factor model in financial…
A fixed-design residual bootstrap method is proposed for the two-step estimator of Francq and Zako\"ian (2015) associated with the conditional Value-at-Risk. The bootstrap's consistency is proven for a general class of volatility models and…
Addressing the ongoing examination of high-frequency trading practices in financial markets, we report the results of an extensive empirical study estimating the maximum possible profitability of the most aggressive such practices, and…
There is an increasing interest to understand the dependence structure of a random vector not only in the center of its distribution but also in the tails. Extreme-value theory tackles the problem of modelling the joint tail of a…
To ensure the safety of railroad operations, it is important to monitor and forecast track geometry irregularities. A higher safety requires forecasting with higher spatiotemporal frequencies, which in turn requires capturing spatial…