定量金融
An automated market maker (AMM) is a state machine that manages pools of assets, allowing parties to buy and sell those assets according to a fixed mathematical formula. AMMs are typically implemented as smart contracts on blockchains, and…
In the stock market, a successful investment requires a good balance between profits and risks. Based on the learning to rank paradigm, stock recommendation has been widely studied in quantitative finance to recommend stocks with higher…
Hong Kong's anti-ELAB movement had a significant impact on the stock market the stock price of listed companies. Using the number of protestors as the measurement of daily protesting intensity from 2019/6/6 to 2020/1/17, this paper…
This work discusses the benefits of constrained portfolio turnover strategies for small to medium-sized portfolios. We propose a dynamic multi-period model that aims to minimize transaction costs and maximize terminal wealth levels whilst…
This article gives a probabilistic overview of the widely used method of default probability estimation proposed by K. Pluto and D. Tasche. There are listed detailed assumptions and derivation of the inequality where the probability of…
Stablecoins have turned out to be the "killer" use case of the growing digital asset space. However, risk management frameworks, including regulatory ones, have been largely absent. In this paper, we address the critical question of…
Motivated by the equations of cross valuation adjustments (XVAs) in the realistic case where capital is deemed fungible as a source of funding for variation margin, we introduce a simulation/regression scheme for a class of anticipated…
The main result of this paper characterizes the continuity from below of monotone functionals on the space $C_b$ of bounded continuous functions on an arbitrary Polish space as lower semicontinuity in the mixed topology. In this particular…
We study a discrete-time consumption-based capital asset pricing model under expectations-based reference-dependent preferences. More precisely, we consider an endowment economy populated by a representative agent who derives utility from…
In this paper, we discuss portfolio selection strategies for Enhanced Indexation (EI), which are based on stochastic dominance relations. The goal is to select portfolios that stochastically dominate a given benchmark but that, at the same…
Previous work suggests that the charter value hypothesis is theoretically grounded and empirically supported, but not universally. Accordingly, this paper aims to perform an analysis of the relations between charter value, risk taking, and…
We consider a pair of traders in a market where the information available to the second trader is a strict subset of the information available to the first trader. The traders make prices based on the information available concerning a…
Telecom industry is significantly evolving all over the globe than ever. Mobile users number is increasing remarkably. Telecom operators are investing to get more users connected and to improve user experience, however, they are facing…
Forecasting speculative stock prices is essential for effective investment risk management that drives the need for the development of innovative algorithms. However, the speculative nature, volatility, and complex sequential dependencies…
We propose an innovative data-driven option pricing methodology that relies exclusively on the dataset of historical underlying asset prices. While the dataset is rooted in the objective world, option prices are commonly expressed as…
Large language models (LLMs) are deep learning algorithms being used to perform natural language processing tasks in various fields, from social sciences to finance and biomedical sciences. Developing and training a new LLM can be very…
This research explores a relatively unexplored area of predicting cryptocurrency staking rewards, offering potential insights to researchers and investors. We investigate two predictive methodologies: a) a straightforward sliding-window…
This document presents a stock market analysis conducted on a dataset consisting of 750 instances and 16 attributes donated in 2014-10-23. The analysis includes an exploratory data analysis (EDA) section, feature engineering, data…
Exposure simulations are fundamental to many xVA calculations and are a nested expectation problem where repeated portfolio valuations create a significant computational expense. Sensitivity calculations which require shocked and unshocked…
This paper presents an in-depth analysis of stylized facts in the context of futures on German bonds. The study examines four futures contracts on German bonds: Schatz, Bobl, Bund and Buxl, using tick-by-tick limit order book datasets. It…