定量金融
In 2001, Rama Cont introduced a now-widely used set of 'stylized facts' to synthesize empirical studies of financial price changes (returns), resulting in 11 statistical properties common to a large set of assets and markets. These…
The available liquidity at any time in financial markets falls largely short of the typical size of the orders that institutional investors would trade. In order to reduce the impact on prices due to the execution of large orders, traders…
Risk and utility functionals are fundamental building blocks in economics and finance. In this paper we investigate under which conditions a risk or utility functional is sensitive to the accumulation of losses in the sense that any…
While research of reinforcement learning applied to financial markets predominantly concentrates on finding optimal behaviours, it is worth to realize that the reinforcement learning returns $G_t$ and state value functions themselves are of…
A novel high-frequency market-making approach in discrete time is proposed that admits closed-form solutions. By taking advantage of demand functions that are linear in the quoted bid and ask spreads with random coefficients, we model the…
In this paper, we introduce a suite of models for price-aware automated market making platforms willing to optimize their quotes. These models incorporate advanced price dynamics, including stochastic volatility, jumps, and microstructural…
This paper revisits mean-risk portfolio selection in a one-period financial market, where risk is quantified by a star-shaped risk measure $\rho$. We make three contributions. First, we introduce the new axiom of sensitivity to large…
This paper compares mathematical models for automated market makers including logarithmic market scoring rule (LMSR), liquidity sensitive LMSR (LS-LMSR), constant product/mean/sum, and others. It is shown that though LMSR may not be a good…
We study the data-generating processes for factors expressed in return differences, which the literature on time-series asset pricing seems to have overlooked. For the factors' data-generating processes or long-short zero-cost portfolios, a…
Understanding the micro-dynamics of asset prices in modern electronic order books is crucial for investors and regulators. In this paper, we use an order by order Eurostoxx database spanning over 3 years to analyze the joint dynamics of…
We use the statistical properties of Shannon entropy estimator and Kullback-Leibler divergence to study the predictability of ultra-high frequency financial data. We develop a statistical test for the predictability of a sequence based on…
The optimal allocation of assets has been widely discussed with the theoretical analysis of risk measures, and pessimism is one of the most attractive approaches beyond the conventional optimal portfolio model. The $\alpha$-risk plays a…
We derive the Black-Scholes-Merton dual equation, which has exactly the same form as the Black-Scholes-Merton equation. The novel and general equation works for options with a payoff of homogeneous of degree one, including European,…
The least squares Monte Carlo (LSM) algorithm proposed by Longstaff and Schwartz (2001) is widely used for pricing Bermudan options. The LSM estimator contains undesirable look-ahead bias, and the conventional technique of avoiding it…
Empirical evidence shows stock returns are often heavy-tailed rather than normally distributed. The $\kappa$-generalised distribution, originated in the context of statistical physics by Kaniadakis, is characterised by the…
We introduce and make publicly available the NIFTY Financial News Headlines dataset, designed to facilitate and advance research in financial market forecasting using large language models (LLMs). This dataset comprises two distinct…
This paper concerns a local volatility model in which volatility takes two possible values, and the specific value depends on whether the underlying price is above or below a given threshold value. The model is known, and a number of…
We propose a new approach to portfolio optimization that utilizes a unique combination of synthetic data generation and a CVaR-constraint. We formulate the portfolio optimization problem as an asset allocation problem in which each asset…
This study explores the time-varying structure of market efficiency in the prewar and wartime Japanese stock market using a new market capitalization-weighted stock price index, the equity performance index. We examine whether the adaptive…
Recent developments in condition-based maintenance (CBM) have helped make it a promising approach to maintenance cost avoidance in engineering systems. By performing maintenance based on conditions of the component with regards to failure…