Related papers: Hedge Fund Index Rules and Construction
Discrete time hedging in a complete diffusion market is considered. The hedge portfolio is rebalanced when the absolute difference between delta of the hedge portfolio and the derivative contract reaches a threshold level. The rate of…
Equity-linked securities with a guaranteed return become very popular in financial markets ether as investment instruments or life insurance policies. The contract pays off a guaranteed amount plus a payment linked to the performance of a…
Indexes are useful for summarizing multivariate information into single metrics for monitoring, communicating, and decision-making. While most work has focused on defining new indexes for specific purposes, more attention needs to be…
In this paper we seek to demonstrate the predictability of stock market returns and explain the nature of this return predictability. To this end, we introduce investors with different investment horizons into the news-driven, analytic,…
We quantify the amount of information filtered by different hierarchical clustering methods on correlations between stock returns comparing it with the underlying industrial activity structure. Specifically, we apply, for the first time to…
Graph pattern matching is a fundamental operation for the analysis and exploration ofdata graphs. In thispaper, we presenta novel approachfor efficiently finding homomorphic matches for hybrid graph patterns, where each pattern edge may be…
In the seminal work [9], several macroscopic market observables have been introduced, in an attempt to find characteristics capturing the diversity of a financial market. Despite the crucial importance of such observables for investment…
The construction cost index is an important indicator of the construction industry. Predicting CCI has important practical significance. This paper combines information fusion with machine learning, and proposes a multi-feature fusion (MFF)…
Financial markets are nonlinear with complexity, where different types of assets are traded between buyers and sellers, each having a view to maximize their Return on Investment (ROI). Forecasting market trends is a challenging task since…
We study the construction and rebalancing of sparse index-tracking portfolios from an operational research perspective, with explicit emphasis on uncertainty quantification and implementability. The decision variables are portfolio weights…
We propose and experimentally demonstrate an innovative stock index prediction method using a weighted optical reservoir computing system. We construct fundamental market data combined with macroeconomic data and technical indicators to…
A common problem in risk analysis is to characterize the overall security of a system of valuable assets (e.g., government buildings or communication hubs), and to suggest measures to mitigate any hazards or security threats. Currently,…
Commodity exchange-traded funds (ETFs) are a significant part of the rapidly growing ETF market. They have become popular in recent years as they provide investors access to a great variety of commodities, ranging from precious metals to…
In this paper we consider how we can include index options in enhanced indexation. We present the concept of an \enquote{option strategy} which enables us to treat options as an artificial asset. An option strategy for a known set of…
This paper considers a portfolio trading strategy formulated by algorithms in the field of machine learning. The profitability of the strategy is measured by the algorithm's capability to consistently and accurately identify stock indices…
Being based on Web technologies, Linked Data is distributed and decentralised in its nature. Hence, for the purpose of finding relevant Linked Data on the Web, search indices play an important role. Also for avoiding network communication…
This paper builds the clustering model of measures of market microstructure features which are popular in predicting stock returns. In a 10-second time-frequency, we study the clustering structure of different measures to find out the best…
This note studies the behavior of an index I_t which is assumed to be a tradable security, to satisfy the BSM model dI_t/I_t = \mu dt + \sigma dW_t, and to be efficient in the following sense: we do not expect a prespecified trading…
A fund manager invests both the fund's assets and own private wealth in separate but potentially correlated risky assets, aiming to maximize expected utility from private wealth in the long run. If relative risk aversion and investment…
An investment portfolio consists of $n$ algorithmic trading strategies, which generate vectors of positions in trading assets. Sign opposite trades (buy/sell) cross each other as strategies are combined in a portfolio. Then portfolio…