定量金融

Deep hedging trains neural networks to manage derivative risk under market frictions, but produces hedge ratios with no measure of model confidence -- a significant barrier to deployment. We introduce uncertainty quantification to the deep…

Islamic equity screening relies on multiple binary rulebooks that often classify the same firm differently. This paper develops a Continuous Shariah Compliance Index (CSCI) on $[0,1]$ that embeds the published business-activity and…

Energy markets exhibit complex causal relationships between weather patterns, generation technologies, and price formation, with regime changes occurring continuously rather than at discrete break points. Current approaches model…

We investigate whether the tails of firm-level idiosyncratic return distributions are driven by common shocks. We use quantile factor analysis to extract such common idiosyncratic quantile factors with asymmetric pricing effects and we find…

This paper examines how shocks to currency volatilities predict exchange rates. Using option-implied volatilities, we construct a dynamic, directed network of volatility connections. Currencies that transmit more volatility shocks, which…

In quantum mechanics and finance, numeraire invariance - the unobservability of absolute phase or price scale - fits with a projective and curved state space. This projective geometry has a measurable signature. For spin-one and higher spin…

We find an approximate Nash equilibrium in a game between decentralized exchanges (DEXs) that compete for order flow by setting dynamic trading fees. We characterize the equilibrium via a coupled system of partial differential equations and…

Transitioning a strategy from backtest to live trading is a common failure point for quantitative systems due to parameter overfitting, selection bias, and sensitivity to regime changes. This paper presents the AlgoXpert Alpha Research…

We introduce $\textbf{Slippage-at-Risk (SaR)}$, a quantitative framework for measuring liquidity risk in perpetual futures exchanges. Unlike backward-looking metrics such as Value-at-Risk computed on historical returns or realized deficit…

We extend the theory of concentration inequalities to simple random tensors with heavy-tailed coefficients. Specifically, we consider the class of sub-Weibull distributions $\mathcal{S}_\alpha$ for $\alpha \in [1, 2]$. We establish…

Diversification is usually viewed as a reliable way to reduce risk, yet it can dramatically fail for heavy-tailed losses with infinite mean: pooling independent losses of this type may increase tail risk at every threshold. We study this…

We develop a continuous-time stochastic model for optimal cybersecurity investment under the threat of cyberattacks. The arrival of attacks is modeled using a Hawkes process, capturing the empirically relevant feature of clustering in…

We study risk sharing among agents with preferences modeled by heterogeneous distortion risk measures, who are not necessarily risk averse. Pareto optimality for agents using risk measures is often studied through the lens of…

We study continuous-time portfolio choice with nonlinear payoffs under smooth ambiguity and Bayesian learning. We develop a general framework for dynamic, non-concave asset allocation that accommodates nonlinear payoffs, broad utility…

The role of collateral in derivative pricing has evolved beyond credit risk mitigation, particularly following the global financial crisis, when funding costs and basis spreads became central to valuation practices. This development…

We study an OTC FX market-making problem, built on the Avellaneda-Stoikov tradition, in which a dealer streams size-dependent quotes on a discrete ladder and manages inventory risk over a finite horizon under Poisson arrivals of trade…

For a covariance matrix coming from a factor model of returns, we investigate the relationship between the long-only global minimum variance portfolio and the asset exposures to the factors. In the case of a 1-factor model, we provide a…

Volatility Skew and Smile of Interest Rate products (Swaption and Caplet) are represented by SABR (Stochastic Alpha Beta Rho model). So, the Interest Rate derivatives model for pricing the callable exotic swaps should be comparable to the…

We develop a stochastic macro-financial model in continuous time by integrating two specifications of the Keen economic framework with a financial market driven by a jump-diffusion process. The economic block of the model combines monetary…

Credit risk scoring must support high-stakes lending decisions where data distributions change over time, probability estimates must be reliable, and group-level fairness is required. While modern machine learning models improve default…