Related papers: High order universal portfolios
Estimation of high dimensional covariance matrices is an interesting and important research topic. In this paper, we propose a dynamic structure and develop an estimation procedure for high dimensional covariance matrices. Asymptotic…
Many cryptocurrency brokers nowadays offer a variety of derivative assets that allow traders to perform hedging or speculation. This paper proposes an effective algorithm based on neural networks to take advantage of these investment…
A single-step high-order implicit time integration scheme with controllable numerical dissipation at high frequencies is presented for the transient analysis of structural dynamic problems. The amount of numerical dissipation is controlled…
This paper is devoted to a study of robust fundamental theorems of asset pricing in discrete time and finite horizon settings. Uncertainty is modelled by a (possibly uncountable) family of price processes on the same probability space. Our…
Classical portfolio optimization methods typically determine an optimal capital allocation through the implicit, yet critical, assumption of statistical time-invariance. Such models are inadequate for real-world markets as they employ…
We investigate the stability of the topological phase of the toric code model in the presence of a uniform magnetic field by means of variational and high-order series expansion approaches. We find that when this perturbation is strong…
In a fixed time horizon, appropriately executing a large amount of a particular asset -- meaning a considerable portion of the volume traded within this frame -- is challenging. Especially for illiquid or even highly liquid but also highly…
Topology provides an essential concept for achieving unchanged (or protected) quantum properties in the presence of perturbations. A challenge facing realistic applications is that the level of protection displayed in real systems is…
During the last few years, there has been an interest in comparing simple or heuristic procedures for portfolio selection, such as the naive, equal weights, portfolio choice, against more "sophisticated" portfolio choices, and in explaining…
In this paper we present a new bound obtained with the probabilistic method for the solution of the Set Covering problem with unit costs. The bound is valid for problems of fixed dimension, thus extending previous similar asymptotic…
Managing a portfolio to a risk model can tilt the portfolio toward weaknesses of the model. As a result, the optimized portfolio acquires downside exposure to uncertainty in the model itself, what we call "second order risk." We propose a…
Normals with unknown parameters (NUP) can be used to convert nontrivial model-based estimation problems into iterations of linear least-squares or Gaussian estimation problems. In this paper, we extend this approach by augmenting factor…
As the use of deep neural networks continues to grow, understanding their behaviour has become more crucial than ever. Post-hoc explainability methods are a potential solution, but their reliability is being called into question. Our…
It has previously been hypothesized, and supported with some experimental evidence, that deeper representations, when well trained, tend to do a better job at disentangling the underlying factors of variation. We study the following related…
Many-to-many matching with contracts is studied in the framework of revealed preferences. All preferences are described by choice functions that satisfy natural conditions. Under a no-externality assumption individual preferences can be…
While time series momentum is a well-studied phenomenon in finance, common strategies require the explicit definition of both a trend estimator and a position sizing rule. In this paper, we introduce Deep Momentum Networks -- a hybrid…
Quality-Diversity (QD) algorithms are a new type of Evolutionary Algorithms (EAs), aiming to find a set of high-performing, yet diverse solutions. They have found many successful applications in reinforcement learning and robotics, helping…
We revisit the problem of computing an optimal partial cover of points by intervals. We show that the greedy algorithm computes a permutation $\Pi = \pi_1, \pi_2,\ldots$ of the intervals that is $3/4$-competitive for any prefix of $k$…
A number of writers have supposed that for the full specification of belief, higher order probabilities are required. Some have even supposed that there may be an unending sequence of higher order probabilities of probabilities of…
The present paper provides a study of high-dimensional statistical arbitrage that combines factor models with the tools from stochastic control, obtaining closed-form optimal strategies which are both interpretable and computationally…