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We perform a large-scale simulation of an Ising-based financial market model that includes 300 asset time series. The financial system simulated by the model shows a fat-tailed return distribution and volatility clustering and exhibits…
This article is part of a comprehensive research project on liquidity risk in asset management, which can be divided into three dimensions. The first dimension covers liability liquidity risk (or funding liquidity) modeling, the second…
We employ and examine vine copulas in modeling symmetric and asymmetric dependency structures and forecasting financial returns. We analyze the asset allocations performed during the 2008-2009 financial crisis and test different portfolio…
We develop a liquidity-sensitive multivariate volatility framework to improve the estimation of time-varying covariance structures under market frictions. We introduce two novel portfolio-level liquidity measures, liquidity jump and…
The intricate behavior patterns of financial markets are influenced by fundamental, technical, and psychological factors. During times of high volatility and regime shifts causes many traditional strategies like trend-following or…
The paper studies problem of continuous time optimal portfolio selection for a incom- plete market diffusion model. It is shown that, under some mild conditions, near optimal strategies for investors with different performance criteria can…
Financial markets typically exhibit dynamically complex properties as they undergo continuous interactions with economic and environmental factors. The Efficient Market Hypothesis indicates a rich difference in the structural complexity of…
With the increasing complexity of financial markets and rapid growth in data volume, traditional risk monitoring methods no longer suffice for modern financial institutions. This paper designs and optimizes a risk monitoring system based on…
We analyze empirical data for 4,000 real-life trading portfolios (U.S. equities) with holding periods of about 0.7-19 trading days. We find a simple scaling C ~ 1/T, where C is cents-per-share, and T is the portfolio turnover. Thus, the…
Advanced classification algorithms are being increasingly used in safety-critical applications like health-care, engineering, etc. In such applications, miss-classifications made by ML algorithms can result in substantial financial or…
Recurrence Plot (RP) and Recurrence Quantification Analysis (RQA) are signal numerical analysis methodologies able to work with non linear dynamical systems and non stationarity. Moreover they well evidence changes in the states of a…
This paper proposes a dynamic process of portfolio risk measurement to address potential information loss. The proposed model takes advantage of financial big data to incorporate out-of-target-portfolio information that may be missed when…
Volatility-based trading strategies have attracted a lot of attention in financial markets due to their ability to capture opportunities for profit from market dynamics. In this article, we propose a new volatility-based trading strategy…
We discuss the foundations of factor or regression models in the light of the self-consistency condition that the market portfolio (and more generally the risk factors) is (are) constituted of the assets whose returns it is (they are)…
High precision analytical approximation is proposed for variance-covariance based risk allocation in a portfolio of risky assets. A general case of a single-period multi-factor Merton-type model with stochastic recovery is considered. The…
We investigate whether fractal markets hypothesis and its focus on liquidity and invest- ment horizons give reasonable predictions about dynamics of the financial markets during the turbulences such as the Global Financial Crisis of late…
This paper aims to develop new mathematical and computational tools for modeling the distribution of portfolio returns across portfolios. We establish relevant mathematical formulas and propose efficient algorithms, drawing upon powerful…
We propose a formula of time-series prediction by means of three states random field Ising model (RFIM). At the economic crisis due to disasters or international disputes, the stock price suddenly drops. The macroscopic phenomena should be…
This study first reconstructs three deep learning powered stock trading models and their associated strategies that are representative of distinct approaches to the problem and established upon different aspects of the many theories evolved…
We propose a two-level, learning-based portfolio method (RL-BHRP) that spreads risk across sectors and stocks, and adjusts exposures as market conditions change. Using U.S. Equities from 2012 to mid-2025, we design the model using 2012 to…