定量金融
This paper systematically conducts an analysis of the composite index 1-min datasets over the 17-year period (2005-2021) for both the Shanghai and Shenzhen stock exchanges. To reveal the difference between the Chinese and the mature stock…
We call a given American option representable if there exists a European claim which dominates the American payoff at any time and such that the values of the two options coincide in the continuation region of the American option. This…
We consider the learning dynamics of a single reinforcement learning optimal execution trading agent when it interacts with an event driven agent-based financial market model. Trading takes place asynchronously through a matching engine in…
This paper presents an agent based model of an electronic market with two types of trading agents. One type follows a mean reverting strategy and the other, the speculative trader, tracks the maximum realised return over recent trades. The…
Assessing the predictive power of both data and models holds paramount significance in time-series machine learning applications. Yet, preparing time series data accurately and employing an appropriate measure for predictive power seems to…
Retirement prediction helps individuals and institutions make informed financial, lifestyle, and workforce decisions based on estimated retirement portfolios. This paper attempts to predict retirement using Monte Carlo simulations, allowing…
We consider two data-driven approaches to hedging, Reinforcement Learning and Deep Trajectory-based Stochastic Optimal Control, under a stepwise mean-variance objective. We compare their performance for a European call option in the…
The fundamental theorem behind financial markets is that stock prices are intrinsically complex and stochastic. One of the complexities is the volatility associated with stock prices. Volatility is a tendency for prices to change…
The ARIMA (Autoregressive Integrated Moving Average model) has extensive applications in the field of time series forecasting. However, the predictive performance of the ARIMA model is limited when dealing with data gaps or significant…
Firm disclosures about future prospects are crucial for corporate valuation and compliance with global regulations, such as the EU's MAR and the US's SEC Rule 10b-5 and RegFD. To comply with disclosure obligations, issuers must identify…
This study investigates the influence of monetary policy and monetary policy uncertainties on Bitcoin returns, utilizing monthly data of BTC, and MPU from July 2010 to August 2023, and employing the Markov Switching Means VAR (MSM-VAR)…
In this note, we illustrate the computation of the approximation of the supply curves using a one-step basis. We derive the expression for the L2 approximation and propose a procedure for the selection of nodes of the approximation. We…
In this paper, we explore the aftermath of the Silicon Valley Bank (SVB) collapse, with a particular focus on its impact on crypto markets. We conduct a multi-dimensional investigation, which includes a factual summary, analysis of user…
In recent years, high-frequency trading has emerged as a crucial strategy in stock trading. This study aims to develop an advanced high-frequency trading algorithm and compare the performance of three different mathematical models: the…
The realm of High-Frequency Trading (HFT) is characterized by rapid decision-making processes that capitalize on fleeting market inefficiencies. As the financial markets become increasingly competitive, there is a pressing need for…
We consider the problem of being a cross-chain wealth management platform with deposits, redemptions and investment assets across multiple networks. We discuss the need for blockchain bridges to facilitates fund flows across platforms. We…
In July 2023, Nasdaq announced a `Special Rebalance' of the Nasdaq-100 index to reduce the index weights of its large constituents. A rebalance as suggested currently by Nasdaq index methodology may have several undesirable effects. These…
This study enhances a Deep Q-Network (DQN) trading model by incorporating advanced techniques like Prioritized Experience Replay, Regularized Q-Learning, Noisy Networks, Dueling, and Double DQN. Extensive tests on assets like BTC/USD and…
Copulas are widely used in financial economics as well as in other areas of applied mathematics. Yet, there is much arbitrariness in their choice. The author proposes "a natural copula" concept, which minimizes Wasserstein distance between…
With the emergence of decentralized finance, new trading mechanisms called Automated Market Makers have appeared. The most popular Automated Market Makers are Constant Function Market Makers. They have been studied both theoretically and…