定量金融
This paper introduces a novel algorithm for generating realistic metaorders from public trade data, addressing a longstanding challenge in price impact research that has traditionally relied on proprietary datasets. Our method effectively…
This paper analyzes the 1/3 Financial Rule, a method of allocating income equally among debt repayment, savings, and living expenses. Through mathematical modeling, game theory, behavioral finance, and technological analysis, we examine the…
We estimate the loss of value that companies might suffer from nature overexploitation. We find that global equities shed 26.8% in a scenario of unabated nature decline, while the worst-performing firms lose ~75% of their value. Our risk…
We introduce ajdmom, a Python package designed for automatically deriving moment formulae for the well-established affine jump diffusion processes with state-independent jump intensities. ajdmom can produce explicit closed-form expressions…
The financial domain presents a complex environment for stock market prediction, characterized by volatile patterns and the influence of multifaceted data sources. Traditional models have leveraged either Convolutional Neural Networks (CNN)…
We establish a profound connection between coherent risk measures, a prominent object in quantitative finance, and uniform integrability, a fundamental concept in probability theory. Instead of working with absolute values of random…
We propose a macroscopic market making model \`a la Avellaneda-Stoikov, using continuous processes for orders instead of discrete point processes. The model intends to bridge the gap between market making and optimal execution problems,…
Public announcement dates are used in the green bond literature to measure equity market reactions to upcoming green bond issues. We find a sizeable number of green bond announcements were pre-dated by anonymous information leakages on the…
This study introduces a dynamic investment framework to enhance portfolio management in volatile markets, offering clear advantages over traditional static strategies. Evaluates four conventional approaches : equal weighted, minimum…
This paper explores the applications of the 20/60/20 rule-a heuristic method that segments data into top-performing, average-performing, and underperforming groups-in mathematical finance. We review the statistical foundations of this rule…
The Behrens-Feichtinger model provides a deterministic picture for the co-evolution of sales of two firms, producing the same goods and competing in a common market. The model involves an active investment strategy such that the temporary…
This study pioneers the application of the Gai-Kapadia framework, originally developed for interbank contagion, to global equity markets. It offers a novel approach to assess systemic risk and default cascades. Using a 20-asset network (13…
Using a panel data local projections model and controlling for firm characteristics, procurement bid attributes, and macroeconomic conditions, the study estimates the dynamic effects of procurement awards on new lending, a more precise…
Financial sentiment has become a crucial yet complex concept in finance, increasingly used in market forecasting and investment strategies. Despite its growing importance, there remains a need to define and understand what financial…
Macroscopic properties of equity markets affect the performance of active equity strategies but many are not adequately captured by conventional models of financial mathematics and econometrics. Using the CRSP Database of the US equity…
It was demonstrated previously that the stochastic volatility emerges as the gauge field necessary for restoring the local symmetry under changes of the prices of the stocks inside the Black-Scholes (BS) equation. When this occurs, then a…
We develop a novel deep learning approach for pricing European options in diffusion models, that can efficiently handle high-dimensional problems resulting from Markovian approximations of rough volatility models. The option pricing partial…
Volume-Weighted Average Price (VWAP) is arguably the most prevalent benchmark for trade execution as it provides an unbiased standard for comparing performance across market participants. However, achieving VWAP is inherently challenging…
We study partial information Nash equilibrium between a broker and an informed trader. In this setting, the informed trader, who possesses knowledge of a trading signal, trades multiple assets with the broker in a dealer market.…
This paper studies an asset pricing model in a partially observable market with a large number of heterogeneous agents using the mean field game theory. In this model, we assume that investors can only observe stock prices and must infer…