Related papers: SmartDCA superiority
We investigate a statistical-static hedging technique for pricing assets considered as single-step stochastic cash flows. The valuation is based on constructing in a canonical way a European style derivative on a benchmark security such…
We examine several recently suggested methods for the detection of long-range correlations in data series based on similar ideas as the well-established Detrended Fluctuation Analysis (DFA). In particular, we present a detailed comparison…
Difference-of-Convex Algorithm (DCA) is a well-known nonconvex optimization algorithm for minimizing a nonconvex function that can be expressed as the difference of two convex ones. Many famous existing optimization algorithms, such as SGD…
We consider a difference-of-convex formulation where one of the terms is allowed to be hypoconvex (or weakly convex). We first examine the precise behavior of a single iteration of the Difference-of-Convex algorithm (DCA), giving a tight…
A highly relevant problem of modern finance is the design of Value-at-Risk (VaR) optimal portfolios. Due to contemporary financial regulations, banks and other financial institutions are tied to use the risk measure to control their credit,…
We present a simulation-and-regression method for solving dynamic portfolio allocation problems in the presence of general transaction costs, liquidity costs and market impacts. This method extends the classical least squares Monte Carlo…
An algorithmic stablecoin is a type of cryptocurrency managed by algorithms (i.e., smart contracts) to dynamically minimize the volatility of its price relative to a specific form of asset, e.g., US dollar. As algorithmic stablecoins have…
Internet market makers are always facing intense competitive environment, where personalized price reductions or discounted coupons are provided for attracting more customers. Participants in such a price war scenario have to invest a lot…
The ever-growing volume and decentralized nature of data, coupled with the need to harness it and extract knowledge, have led to the extensive use of distributed deep learning (DDL) techniques for training. These techniques rely on local…
In this paper, we consider a class of difference-of-convex (DC) optimization problems, which require only a weaker restricted $L$-smooth adaptable property on the smooth part of the objective function, instead of the standard global…
Stochastic Dual Coordinate Ascent is a popular method for solving regularized loss minimization for the case of convex losses. In this paper we show how a variant of SDCA can be applied for non-convex losses. We prove linear convergence…
In prior works, stochastic dual coordinate ascent (SDCA) has been parallelized in a multi-core environment where the cores communicate through shared memory, or in a multi-processor distributed memory environment where the processors…
We propose a new financial model, the stochastic volatility model with sticky drawdown and drawup processes (SVSDU model), which enables us to capture the features of winning and losing streaks that are common across financial markets but…
Deep clustering (DC) has become the state-of-the-art for unsupervised clustering. In principle, DC represents a variety of unsupervised methods that jointly learn the underlying clusters and the latent representation directly from…
We propose deterministic timed automata (DTA) as a model-independent language for specifying performance and dependability measures over continuous-time stochastic processes. Technically, these measures are defined as limit frequencies of…
We develop a deep reinforcement learning framework for dynamic portfolio optimization that combines a Dirichlet policy with cross-sectional attention mechanisms. The Dirichlet formulation ensures that portfolio weights are always feasible,…
Volatility is a natural risk measure in finance as it quantifies the variation of stock prices. A frequently considered problem in mathematical finance is to forecast different estimates of volatility. What makes it promising to use deep…
Static Code Analyzers (SCAs) have played a critical role in software quality assurance. However, SCAs with various static analysis techniques suffer from different levels of false positives and false negatives, thereby yielding the varying…
The lead-lag effect, where the price movement of one asset systematically precedes that of another, has been widely observed in financial markets and conveys valuable predictive signals for trading. However, traditional lead-lag detection…
Dynamic model averaging (DMA) combines the forecasts of a large number of dynamic linear models (DLMs) to predict the future value of a time series. The performance of DMA critically depends on the appropriate choice of two forgetting…