定量金融
The project managers who deal with risk management are often faced with the difficult task of determining the relative importance of the various sources of risk that affect the project. This prioritisation is crucial to direct management…
This project is a collaboration between industry and academia to delve into Finance Social Networks, specifically the Board of Directors of public companies. Knowing the connections between Directors and Executives in different companies…
In the realm of globalized financial markets, commercial banks are confronted with an escalating magnitude of credit risk, thereby imposing heightened requisites upon the security of bank assets and financial stability. This study harnesses…
We introduce the notions of Collective Arbitrage and of Collective Super-replication in a discrete-time setting where agents are investing in their markets and are allowed to cooperate through exchanges. We accordingly establish versions of…
In this paper, we discuss the worst-case of distortion riskmetrics for general distributions when only partial information (mean and variance) is known. This result is applicable to general class of distortion risk measures and variability…
Automated market makers with concentrated liquidity capabilities are programmable at the tick level. The maximization of earned fees, plus depreciated reserves, is a convex optimization problem whose vector solution gives the best provision…
In this article, we delve into the applications and extensions of the queue-reactive model for the simulation of limit order books. Our approach emphasizes the importance of order sizes, in conjunction with their type and arrival rate, by…
This paper studies an optimal investment-reinsurance problem for an insurer (she) under the Cram\'er--Lundberg model with monotone mean--variance (MMV) criterion. At any time, the insurer can purchase reinsurance (or acquire new business)…
We consider the market microstructure of automated market makers (AMMs) from the perspective of liquidity providers (LPs). Our central contribution is a ``Black-Scholes formula for AMMs''. We identify the main adverse selection cost…
For a long investment time horizon, it is preferable to rebalance the portfolio weights at intermediate times. This necessitates a multi-period market model in which portfolio optimization is usually done through dynamic programming.…
Copula is a powerful tool to model multivariate data. We propose the modelling of intraday financial returns of multiple assets through copula. The problem originates due to the asynchronous nature of intraday financial data. We propose a…
Historical daily data for eleven years of the fifty constituent stocks of the NIFTY index traded on the National Stock Exchange have been analyzed to check for the stylized facts in the Indian market. It is observed that while some stylized…
For high dimensional data, some of the standard statistical techniques do not work well. So modification or further development of statistical methods are necessary. In this paper, we explore these modifications. We start with the important…
We presented Bayesian portfolio selection strategy, via the $k$ factor asset pricing model. If the market is information efficient, the proposed strategy will mimic the market; otherwise, the strategy will outperform the market. The…
Binomial trees are widely used in the financial sector for valuing securities with early exercise characteristics, such as American stock options. However, while effective in many scenarios, pricing options with CRR binomial trees are…
This paper employs Topological Data Analysis (TDA) to detect extreme events (EEs) in the stock market at a continental level. Previous approaches, which analyzed stock indices separately, could not detect EEs for multiple time series in one…
In quantitative investment, constructing characteristic-sorted portfolios is a crucial strategy for asset allocation. Traditional methods transform raw stock data of varying frequencies into predictive characteristic factors for asset…
As financial institutions and professionals increasingly incorporate Large Language Models (LLMs) into their workflows, substantial barriers, including proprietary data and specialized knowledge, persist between the finance sector and the…
Portfolio optimization methods have evolved significantly since Markowitz introduced the mean-variance framework in 1952. While the theoretical appeal of this approach is undeniable, its practical implementation poses important challenges,…
We propose the star-shaped acceptability indexes as generalizations of both the approaches of Cherny and Madan (2009) and Rosazza Gianin and Sgarra (2013) in the same vein as star-shaped risk measures generalize both the classes of coherent…