定量金融

In life insurance, life tables are used to estimate the survival distribution of individuals from a given population. However, these tables only provide survival probabilities at integer ages but no information about the distribution of…

We study optimal auction design for Maximum Extractable Value (MEV) auction markets on Ethereum. Using a dataset of 2.2 million transactions across three major orderflow providers, we establish three empirical regularities: extracted values…

Auto-deleveraging (ADL) mechanisms are a critical yet understudied component of risk management on cryptocurrency futures exchanges. When available margin and other loss-absorbing resources are insufficient to cover losses following large…

We study cubic cardinality-constrained portfolio optimization, a higher-order extension of the standard Markowitz formulation where three-way sector co-movement terms augment the quadratic risk-return objective. Classical heuristics like…

We study the problem of asset liquidation in financial systems. During financial crises, asset liquidation is often inevitable but can lead to substantial losses if a significant amount of illiquid assets are sold simultaneously at…

Forecasting crude oil prices remains challenging because market-relevant information is embedded in large volumes of unstructured news and is not fully captured by traditional polarity-based sentiment measures. This paper examines whether…

In this paper, a new approach for solving the problems of pricing and hedging derivatives is introduced in a general frictionless market setting. The method is applicable even in cases where an equivalent local martingale measure fails to…

We develop a unified framework for modeling multiple term structures arising in financial, insurance, and energy markets, adopting an extended Heath-Jarrow-Morton (HJM) approach under the real-world probability. We study market viability…

Given a reference risk measure, the risk budgeting is the portfolio where each asset contributes a predetermined amount to the total risk. We propose a novel approach, alternative to the ones proposed in the literature, for the calculation…

This work evaluates the impact of contagious cyber-events, over a finite horizon, on firms' financial health and on a cyber insurance portfolio. Our approach builds on key empirical findings from economics and cybersecurity. In economics,…

Private credit assets under management grew from \$158 billion in 2010 to nearly \$2 trillion globally by mid-2024, fundamentally reshaping corporate credit markets. This paper provides a systematic survey of the academic literature on…

Trend-following strategies underpin many systematic trading approaches yet struggle under nonstationary and nonlinear market regimes. We propose an LSTM-based framework to forecast next-day trend differences ($\Delta_t$) for the top 30 S\&P…

We address the attribution problem for apparent slow collective dynamics: is the observed persistence intrinsic, or inherited from a persistent driver? For the leading eigenvalue fraction $\psi_1=\lambda_{\max}/N$ of S\&P 500 60-day rolling…

Whenever dealing with horizons of different times scales, risk evaluation of losses may incur in both interest rate uncertainty and horizon risk as introduced in [11]. With the goal to capture both effects, we work with cash subadditive…

We introduce a performance-driven framework for constructing strictly causal forward-oriented observables in strongly non-stationary time series. The method combines a robustly normalized composite of heterogeneous indicators with a…

We investigate the performance of the Kelly rule in a setting in which the dynamics of the return is represented by a time change process. We find that in this general semi-martingale setting the Kelly rule does not maximize the average…

In this work we propose a framework to construct Market-Implied Sustainability (MIS) scores for individual firms by exploiting fund-level sustainability classifications and granular portfolio holdings. The central idea is that the relative…

This technical report presents a stochastic model for pricing weather derivatives and devising hedging strategies tailored to Indian markets. We model temperature dynamics using a modified Ornstein-Uhlenbeck process with jumps to account…

The classical Markowitz mean-variance model uses variance as a risk measure and calculates frontier portfolios in closed form by using standard optimization techniques. For general mean-risk models such closed form optimal portfolios are…

In this paper, we establish the stochastic ordering of the Gini indexes for multivariate elliptical risks which generalized the corresponding results for multivariate normal risks. It is shown that several conditions on dispersion matrices…