定量金融
We study the loan contracts offered by decentralised loan protocols (DLPs) through the lens of financial derivatives. DLPs, which effectively are clearinghouses, facilitate transactions between option buyers (i.e. borrowers) and option…
The decisions traders make to buy or sell an asset depend on various analyses, with expertise required to identify patterns that can be exploited for profit. In this paper we identify novel features extracted from emergent and…
``Self-Organised Criticality'' (SOC) is the mechanism by which complex systems spontaneously settle close to a *critical point*, at the edge between stability and chaos, and characterized by fat-tailed fluctuations and long-memory…
Quantile aggregation with dependence uncertainty has a long history in probability theory with wide applications in finance, risk management, statistics, and operations research. Using a recent result on inf-convolution of quantile-based…
In Gatheral et al. 2018, first posted in 2014, volatility is characterized by fractional behavior with a Hurst exponent $H < 0.5$, challenging traditional views of volatility dynamics. Gatheral et al. demonstrated this using realized…
The price-bubble and crash process formation is theoretically investigated in a two-asset equilibrium model. Sufficient and necessary conditions are derived for the existence of average equilibrium price dynamics of different agent-based…
Price-mediated contagion occurs when a positive feedback loop develops following a drop in asset prices which forces banks and other financial institutions to sell their holdings. Prior studies of such events fix the level of market…
Perpetual futures are contracts without expiration date in which the anchoring of the futures price to the spot price is ensured by periodic funding payments from long to short. We derive explicit expressions for the no-arbitrage price of…
In recent years, bankruptcy forecasting has gained lot of attention from researchers as well as practitioners in the field of financial risk management. For bankruptcy prediction, various approaches proposed in the past and currently in…
This non-linear relationship in the joint time-frequency domain has been studied for the Indian National Stock Exchange (NSE) with the international Gold price and WTI Crude Price being converted from Dollar to Indian National Rupee based…
If individuals at the highest mortality risk are also least likely to lapse a life insurance policy, then lapse-supported premiums magnify adverse selection costs. As an example, we model 'Term to 100' contracts, and risk as revealed by…
This paper employs an intra-personal game-theoretic framework to investigate how decreasing impatience influences irreversible investment behaviors in a continuous-time setting. We consider a capacity expansion problem under weighted…
The main purpose of this work is the derivation of a functional partial differential equation (FPDE) for the calculations of equity-linked insurance policies, where the payment stream may depend on the whole past history of the financial…
Frazzini and Pedersen (2014) Betting Against Beta (BAB) factor is based on the idea that high beta assets trade at a premium and low beta assets trade at a discount due to investor funding constraints. However, as argued by Campbell and…
Credit scores are critical for allocating consumer debt in the United States, yet little evidence is available on their performance. We benchmark a widely used credit score against a machine learning model of consumer default and find…
The year 2024 witnessed a major development in the cryptocurrency industry with the long-awaited approval of spot Bitcoin exchange-traded funds (ETFs). This innovation provides investors with a new, regulated path to gain exposure to…
We establish deterministic necessary and sufficient conditions for the no-arbitrage notions NA ("no arbitrage"), NUPBR ("no unbounded profit with bounded risk") and NFLVR ("no free lunch with vanishing risk") in general diffusion market…
In this paper, we explore some stylized facts of the Bitcoin market using the BTC-USD exchange rate time series of historical intraday data from 2013 to 2020. Bitcoin presents some very peculiar idiosyncrasies, like the absence of…
The importance of predicting stock market prices cannot be overstated. It is a pivotal task for investors and financial institutions as it enables them to make informed investment decisions, manage risks, and ensure the stability of the…
The objective of this work is the investigation of complexity, asymmetry, stochasticity and non-linearity of the financial and economic systems by using the tools of statistical mechanics and information theory. More precisely, this thesis…