Related papers: A characterisation of cross-impact kernels
We study the influence of additional intermediate marginal distributions on the value of the martingale optimal transport problem. From a financial point of view, this corresponds to taking into account call option prices not only, as…
A dynamical model is introduced for the formation of a bullish or bearish trends driving an asset price in a given market. Initially, each agent decides to buy or sell according to its personal opinion, which results from the combination of…
We amend and extend the Chiarella model of financial markets to deal with arbitrary long-term value drifts in a consistent way. This allows us to improve upon existing calibration schemes, opening the possibility of calibrating individual…
We show how text from news articles can be used to predict intraday price movements of financial assets using support vector machines. Multiple kernel learning is used to combine equity returns with text as predictive features to increase…
In this paper, we propose a clearing model for prices in a financial markets due to margin calls on short sold assets. In doing so, we construct an explicit formulation for the prices that would result immediately following asset purchases…
In this study, we leverage powerful non-linear machine learning methods to identify the characteristics of trades that contain valuable information. First, we demonstrate the effectiveness of our optimized neural network predictor in…
Strictly proper kernel scores are well-known tool in probabilistic forecasting, while characteristic kernels have been extensively investigated in the machine learning literature. We first show that both notions coincide, so that insights…
In this article, we develop a kernel-based framework for constructing dynamic, pathdependent trading strategies under a mean-variance optimisation criterion. Building on the theoretical results of (Muca Cirone and Salvi, 2025), we…
The potential of machine learning to automate and control nonlinear, complex systems is well established. These same techniques have always presented potential for use in the investment arena, specifically for the managing of equity…
This paper investigates how realized and option implied volatilities are related to the future quantiles of commodity returns. Whereas realized volatility measures ex-post uncertainty, volatility implied by option prices reveals the…
The paper studies sub and super-replication price bounds for contingent claims defined on general trajectory based market models. No prior probabilistic or topological assumptions are placed on the trajectory space, trading is assumed to…
Recommender systems are a critical component of e-commercewebsites. The rapid development of online social networking services provides an opportunity to explore social networks together with information used in traditional recommender…
Regarding the intraday sequence of high frequency returns of the S&P index as daily realizations of a given stochastic process, we first demonstrate that the scaling properties of the aggregated return distribution can be employed to define…
Emphasizing the statistics of jumps crossing the strike and local time, we develop a decomposition of equity option risk premiums. Operationalizing this theoretical treatment, we equip the pricing kernel process with unspanned risks, embed…
We review recent progress in modeling credit risk for correlated assets. We start from the Merton model which default events and losses are derived from the asset values at maturity. To estimate the time development of the asset values, the…
One of the peculiarities of power and gas markets is the delivery mechanism of forward contracts. The seller of a futures contract commits to deliver, say, power, over a certain period, while the classical forward is a financial agreement…
Financial contagion has been widely recognized as a fundamental risk to the financial system. Particularly potent is price-mediated contagion, wherein forced liquidations by firms depress asset prices and propagate financial stress,…
Prediction markets, such as Polymarket, aggregate dispersed information into tradable probabilities, but they still lack a unifying stochastic kernel comparable to the one options gained from Black-Scholes. As these markets scale with…
This review summarizes the historical development of probability measures in asset pricing, from early mathematical finance and state price theory to risk-neutral valuation, martingale measures, forward measures, stochastic discount…
In markets with transaction costs, consistent price systems play the same role as martingale measures in frictionless markets. We prove that if a continuous price process has conditional full support, then it admits consistent price systems…