Related papers: The theory of quantitative trading
This book is concerned with the various aspects of hierarchical collective behaviour which is manifested by most complex systems in nature. From the many of the possible topics, we plan to present a selection of those that we think are…
Statistical learning theory provides the theoretical basis for many of today's machine learning algorithms. In this article we attempt to give a gentle, non-technical overview over the key ideas and insights of statistical learning theory.…
We present a general logical framework for reasoning about agents' cognitive attitudes of both epistemic type and motivational type. We show that it allows us to express a variety of relevant concepts for qualitative decision theory…
This book is written to offer a humble, but unified, treatment of e-values in hypothesis testing. It is organized into three parts: Fundamental Concepts, Core Ideas, and Advanced Topics. The first part includes four chapters that introduce…
This article is a prologue to the article "Why Markets are Inefficient: A Gambling 'Theory' of Financial Markets for Practitioners and Theorists." It presents important background for that article --- why gambling is important, even…
This is a replacement paper. There are 6 chapters. The first two chapters are introductory. The third chapter is on extremal graph theory. The fourth chapter is about algebra in graph theory. The fifth chapter is focused on algorithms. The…
Large language models are reshaping quantitative investing by turning unstructured financial information into evidence-grounded signals and executable decisions. This survey synthesizes research with a focus on equity return prediction and…
Optimal transport has become part of the standard quantitative economics toolbox. It is the framework of choice to describe models of matching with transfers, but beyond that, it allows to: extend quantile regression; identify discrete…
This paper acts as a collection of various trading strategies and useful pieces of market information that might help to implement such strategies. This list is meant to be comprehensive (though by no means exhaustive) and hence we only…
The primary theme of this investigation is a decision theoretic account of conditional ought statements (e.g., "You ought to do A, if C") that rectifies glaring deficiencies in classical deontic logic. The resulting account forms a sound…
In this chapter, I review the main methods and techniques of complex systems science. As a first step, I distinguish among the broad patterns which recur across complex systems, the topics complex systems science commonly studies, the tools…
The purpose of this book is to lay out certain aspects of descriptive set theory. After initially establishing notation and generalities we proceed to the following topics: partitions, semirings, rings, $\sigma$-rings, $\delta$-rings,…
This is the third paper in a series concerning the game-theoretic aspects of position-building while in competition. The first paper set forth foundations and laid out the essential goal, which is to minimize implementation costs in light…
Estimating and controlling large risks has become one of the main concern of financial institutions. This requires the development of adequate statistical models and theoretical tools (which go beyond the traditionnal theories based on…
This is an informal and sketchy review of six topical, somewhat unrelated subjects in quantitative finance: rough volatility models; random covariance matrix theory; copulas; crowded trades; high-frequency trading & market stability; and…
Research on quantum technology spans multiple disciplines: physics, computer science, engineering, and mathematics. The objective of this manuscript is to provide an accessible introduction to this emerging field for economists that is…
In the paper a problem of risk measures on a discrete-time market model with transaction costs is studied. Strategy effectiveness and shortfall risk is introduced. This paper is a generalization of quantile hedging presented in [4].
The aim of this text is to provide a linguistically accessible, but comprehensive introduction into a variety of topics in dynamical systems and its applications. Whilst preliminary knowledge of dynamical systems is useful, it is not…
A simple model of a buying-selling cycle is proposed. The model comprises two moves: a rational buying and a random selling. The notion of a profit intensity is introduced. Supply and demand curves and geometrical interpretation are…
An thorough introduction is given at an introductory level to the field of quantitative complex system science, with special emphasis on emergence in dynamical systems based on network topologies. Subjects treated include graph theory and…