定量金融
The goal of this paper is to disentangle the roles of volume and of participation rate in the price response of the market to a sequence of transactions. To do so, we are inspired the methodology introduced in arXiv:1402.1288,…
Predicting volatility is important for asset predicting, option pricing and hedging strategies because it cannot be directly observed in the financial market. The Black-Scholes option pricing model is one of the most widely used models by…
A minimal stochastic dynamical model of the interbank network is introduced, with linear interactions mediated by an integral of recent variations. Defining stress as the variance over the banks' states, the interaction correction to the…
The issue related to the quantification of the tail risk of cryptocurrencies is considered in this paper. The statistical methods used in the study are those concerning recent developments in Extreme Value Theory (EVT) for weakly dependent…
In Mozambique there is no evidence of a bankruptcy prediction model developed in the national economic context, yet, back in 2016, the national banking sector suffered a financial shock that resulted in Mozambique Central Bank intervention…
Once there is a decision of rebalancing or updating a portfolio of funds, the process of changing the current portfolio to the target one, involves a set of transactions that are susceptible of being optimized. This is particularly relevant…
The Geometric Brownian Motion (GBM) is a standard model in quantitative finance, but the potential function of its stochastic differential equation (SDE) cannot include stable nonzero prices. This article generalises the GBM to an SDE with…
We present a novel process for generating synthetic datasets tailored to assess asset allocation methods and construct portfolios within the fixed income universe. Our approach begins by enhancing the CorrGAN model to generate synthetic…
We present our Agent-Based Market Microstructure Simulation (ABMMS), an Agent-Based Financial Market (ABFM) that captures much of the complexity present in the US National Market System for equities (NMS). Agent-Based models are a natural…
This is a supplement to the paper "Liquidity based modeling of asset price bubbles via random matching". The supplement is organized as follows. First, we prove Theorem 3.13 in [1] which provides the existence of the dynamical system D…
We investigate the information content of 3PROTV, a south Korean financial youtube channel. In our sample we found evidence for the hypothesis that the channel have information content on stock selection, but only on negative sentiment.…
The impact of non-deterministic outputs from Large Language Models (LLMs) is not well examined for financial text understanding tasks. Through a compelling case study on investing in the US equity market via news sentiment analysis, we…
This study delves into the intricate realm of risk evaluation within the domain of specific financial derivatives, notably options. Unlike other financial instruments, like bonds, options are susceptible to broader risks. A distinctive…
Financial decisions are the decisions that managers take with regard to the finances of a company. This article aims to examine and explain the effect of interest rates on economic and financial decisions such as investment, funding, and…
The use of machine learning to generate synthetic data has grown in popularity with the proliferation of text-to-image models and especially large language models. The core methodology these models use is to learn the distribution of the…
Our work presents two fundamental contributions. On the application side, we tackle the challenging problem of predicting day-ahead crypto-currency prices. On the methodological side, a new dynamical modeling approach is proposed. Our…
Conditional extreme value theory (EVT) methods promise enhanced forecasting of the extreme tail events that often dominate systemic risk. We present an improved two-tailed peaks-over-threshold (2T-POT) Hawkes model that is adapted for…
In recent years, it has become apparent that an isolated microprudential approach to capital adequacy requirements of individual institutions is insufficient. It can increase the homogeneity of the financial system and ultimately the cost…
Starting from a corpus of economic articles from The Wall Street Journal, we present a novel systematic way to analyse news content that evolves over time. We leverage on state-of-the-art natural language processing techniques (i.e. GPT3.5)…
Mean-variance analysis is widely used in portfolio management to identify the best portfolio that makes an optimal trade-off between expected return and volatility. Yet, this method has its limitations, notably its vulnerability to…