Related papers: Quant Bust 2020
The valuation process that economic agents undergo for investments with uncertain payoff typically depends on their statistical views on possible future outcomes, their attitudes toward risk, and, of course, the payoff structure itself.…
Reliable estimates of volatility and correlation are fundamental in economics and finance for understanding the impact of macroeconomics events on the market and guiding future investments and policies. Dependence across financial returns…
Following the highly restrictive measures adopted by many countries for combating the current pandemic, the number of individuals infected by SARS-CoV-2 and the associated number of deaths is steadily decreasing. This fact, together with…
We consider a financial market where stocks are available for dynamic trading, and European and American options are available for static trading (semi-static trading strategies). We assume that the American options are infinitely…
Studying the dynamics of COVID-19 is of paramount importance to understanding the efficiency of restrictive measures and develop strategies to defend against upcoming contagion waves. In this work, we study the spread of COVID-19 using a…
Commonly used limit order book attributes are empirically considered based on NASDAQ ITCH data. It is shown that some of them have the properties drastically different from the ones assumed in many market dynamics study. Because of this…
Given multiple new COVID-19 variants are continuously emerging, non-pharmaceutical interventions are still primary control strategies to curb the further spread of coronavirus. However, implementing strict interventions over extended…
We consider a financial market in which traders potentially face restrictions in trading some of the available securities. Traders are heterogeneous with respect to their beliefs and risk profiles, and the market is assumed thin: traders…
Electricity price forecasting supports decision-making in energy markets and asset operation. Probabilistic forecasts are increasingly adopted to explicitly quantify uncertainty, typically issued as quantile predictions or ensembles of the…
Inefficient markets allow investors to consistently outperform the market. To demonstrate that inefficiencies exist in sports betting markets, we created a betting algorithm that generates above market returns for the NFL, NBA, NCAAF,…
In a continuous-time model with multiple assets described by c\`{a}dl\`{a}g processes, this paper characterizes superhedging prices, absence of arbitrage, and utility maximizing strategies, under general frictions that make execution prices…
Examples of games between two partners with mixed strategies, calculated by the use of the probability amplitude as some vector in Hilbert space are given. The games are macroscopic, no microscopic quantum agent is supposed. The reason for…
It has been assumed that arbitrage profits are not possible in efficient markets, because future prices are not predictable. Here we show that predictability alone is not a sufficient measure of market efficiency. We instead propose to…
Quantization can preserve predictive accuracy under low-bit deployment while silently breaking algorithmic recourse: an actionable change that flips a decision before quantization may fail after quantization, or become substantially more…
Making use of the Quantum Network formalism of \textit{Phys. Rev. A,} \textbf{82} (2010) 062305, we present the case for quantum networks with finite outcomes, more specifically one which could distinguish only between specific unitary…
We explore the competitive effects of reaction time of automated trading strategies in simulated financial markets containing a single exchange with public limit order book and continuous double auction matching. A large body of research…
Using the tools developed for statistical physics, we simultaneously analyze statistical properties of the Jakarta and Kuala Lumpur Stock Exchange indices. In spite of the small number of data used in the analysis, the result shows the…
This paper examines the implementation of a statistical arbitrage trading strategy based on co-integration relationships where we discover candidate portfolios using multiple factors rather than just price data. The portfolio selection…
Algorithmic trading in modern financial markets is widely acknowledged to exhibit strategic, game-theoretic behaviors whose complexity can be difficult to model. A recent series of papers (Chriss, 2024b,c,a, 2025) has made progress in the…
We consider an investor facing a classical portfolio problem of optimal investment in a log-Brownian stock and a fixed-interest bond, but constrained to choose portfolio and consumption strategies that reduce a dynamic shortfall risk…