Related papers: Economic state classification and portfolio optimi…
We consider a mean-reverting stochastic volatility model which satisfies some relevant stylized facts of financial markets. We introduce an algorithm for the detection of peaks in the volatility profile, that we apply to the time series of…
We demonstrate the application of an algorithmic trading strategy based upon the recently developed dynamic mode decomposition (DMD) on portfolios of financial data. The method is capable of characterizing complex dynamical systems, in this…
In a reinforcement learning (RL) framework, we study the exploratory version of the continuous time expected utility (EU) maximization problem with a portfolio constraint that includes widely-used financial regulations such as short-selling…
Stochastic inflation describes the global structure of the inflationary universe by modeling the super-Hubble dynamics as a system of matter fields coupled to gravity where the sub-Hubble field fluctuations induce a stochastic force into…
This paper demonstrates the usefulness and importance of the concept of honest times to financial modeling. It studies a financial market with asset prices that follow jump-diffusions with negative jumps. The central building block of the…
Our work focuses on deep learning (DL) portfolio optimization, tackling challenges in long-only, multi-asset strategies across market cycles. We propose training models with limited regime data using pre-training techniques and leveraging…
We propose functional approach to the stochastic inflationary universe dynamics. It is based on path integral representation of the solution to the differential equation for the scalar field probability distribution. In the saddle-point…
Financial markets change their behaviours abruptly. The mean, variance and correlation patterns of stocks can vary dramatically, triggered by fundamental changes in macroeconomic variables, policies or regulations. A trader needs to adapt…
Stochastic effects in generic scenarios of inflation with multiple fields are investigated. First passage time techniques are employed to calculate the statistical moments of the number of inflationary $e$-folds, which give rise to all…
Seemingly unrelated models of inflation that originate from different physical setups yield, in some cases, identical predictions for the currently constrained inflationary observables. In order to classify the available models, we propose…
We study some aspects of fine tuning in inflationary scenarios within string theory flux compactifications and, in particular, in models of accidental inflation. We investigate the possibility that the apparent fine-tuning of the low energy…
In this paper we study the optimal investment and reinsurance problem of an insurance company whose investment preferences are described via a forward dynamic exponential utility in a regime-switching market model. Financial and actuarial…
Given the increasing importance of environmental, social and governance (ESG) factors, particularly carbon emissions, we investigate optimal proportional portfolio insurance (PPI) strategies accounting for carbon footprint reduction. PPI…
Many complex adaptive systems contain a large diversity of specialized components. The specialization at the level of the microscopic degrees of freedom, and diversity at the level of the system as a whole are phenomena that appear during…
We use an evolutionary game model to study the interplay between corporate environmental compliance and enforcement promoted by the policy maker in a country facing a pollution trap, i.e., a scenario in which the vast majority of firms do…
The portfolio optimization problem in which the variances of the return rates of assets are not identical is analyzed in this paper using the methodology of statistical mechanical informatics, specifically, replica analysis. We define two…
A novel optimisation framework through quadratic nonlinear projection is introduced for credit portfolio when the portfolio risk is measured by Conditional Value-at-Risk (CVaR). The whole optimisation procedure to search toward the optimal…
Optimizing portfolio performance is a fundamental challenge in financial modeling, requiring the integration of advanced clustering techniques and data-driven optimization strategies. This paper introduces a comparative backtesting approach…
Most of the analytical techniques used in the business cycle synchronisation literature rely upon the estimation of an empirical correlation matrix of time series data of macroeconomic aggregates, real GDP usually being the key variable.…
We study the presence of chaotic behavior in phase space in the pre-inflationary stage of hybrid inflation models. This is closely related to the problem of initial conditions associated to these inflationary type of models. We then show…