定量金融
This paper presents a method for predicting stock returns using principal component analysis (PCA) and the hidden Markov model (HMM) and tests the results of trading stocks based on this approach. Principal component analysis is applied to…
In retrospect, the experimental findings on competitive market behavior called for a revival of the old, classical, view of competition as a collective higgling and bargaining process (as opposed to price-taking behaviors) founded on…
We study the correlation structure of firm growth rates. We show that most firms are correlated because of their exposure to a common factor but that firms linked through the supply chain exhibit a stronger correlation on average than firms…
The Consumer Financial Protection Bureau defines the notion of payoff amount as the amount that has to be payed at a particular time in order to completely pay off the debt, in case the lender intends to pay off the loan early, way before…
Triangle fees are a novel fee structure for AMMs, in which marginal fees are decreasing in a trade's size. That decline is proportional to the movement in the AMM's implied price, i.e. for every basis point the trade moves the ratio of…
We focus on the problem of market making in high-frequency trading. Market making is a critical function in financial markets that involves providing liquidity by buying and selling assets. However, the increasing complexity of financial…
This work is about optimal order execution, where a large order is split into several small orders to maximize the implementation shortfall. Based on the diversity of cryptocurrency exchanges, we attempt to extract cross-exchange signals by…
The Value-at-Risk (VaR) and the Expected Shortfall (ES) are the two most popular risk measures in banking and insurance regulation. To bridge between the two regulatory risk measures, the Probability Equivalent Level of VaR-ES (PELVE) was…
Central clearing counterparty houses (CCPs) play a fundamental role in mitigating the counterparty risk for exchange traded options. CCPs cover for possible losses during the liquidation of a defaulting member's portfolio by collecting…
The multifractal spectra of daily foreign exchange rates for US dollar (USD), the British Pound (GBP), the Euro (Euro) and the Japanese Yen (Yen) with respect to the Indian Rupee are analysed for the period 6th January 1999 to 24th July…
A diversified risk-adjusted time-series momentum (TSMOM) portfolio can deliver substantial abnormal returns and offer some degree of tail risk protection during extreme market events. The performance of existing TSMOM strategies, however,…
Stock selection is important for investors to construct profitable portfolios. Graph neural networks (GNNs) are increasingly attracting researchers for stock prediction due to their strong ability of relation modelling and generalisation.…
We refer to recent inference methodology and formulate a framework for solving the distributionally robust optimization problem, where the true probability measure is inside a Wasserstein ball around the empirical measure and the radius of…
Equity-linked securities with a guaranteed return become very popular in financial markets ether as investment instruments or life insurance policies. The contract pays off a guaranteed amount plus a payment linked to the performance of a…
We provide an elementary proof of the dual representation of Expected Shortfall on the space of integrable random variables over a general probability space. Unlike the results in the extant literature, our proof only exploits basic…
The aim of this short note is to present a solution to the discrete time exponential utility maximization problem in a case where the underlying asset has a multivariate normal distribution. In addition to the usual setting considered in…
The value of an American option is the maximized value of the discounted cash flows from the option. At each time step, one needs to compare the immediate exercise value with the continuation value and decide to exercise as soon as the…
Considering that both the entropy-based market information and the Hurst exponent are useful tools for determining whether the efficient market hypothesis holds for a given asset, we study the link between the two approaches. We thus…
This study aims to compare multiple deep learning-based forecasters for the task of predicting volatility using multivariate data. The paper evaluates a range of models, starting from simpler and shallower ones and progressing to deeper and…
In this article, we introduce an algorithm called Backward Hedging, designed for hedging European and American options while considering transaction costs. The optimal strategy is determined by minimizing an appropriate loss function, which…