定量金融

We propose a fourth--order compact finite--difference (HOC--FD) scheme for the transformed Bates partial integro--differential equation (PIDE). The method employs an implicit--explicit (IMEX) Crank--Nicolson framework for local terms and…

This paper investigates whether short-term market overreactions can be systematically predicted and monetized as momentum signals using high-frequency emotional information and modern machine learning methods. Focusing on Apple Inc. (AAPL),…

Pricing multi-asset options via the Black-Scholes PDE is limited by the curse of dimensionality: classical full-grid solvers scale exponentially in the number of underlyings and are effectively restricted to three assets. Practitioners…

We develop a tractable framework for valuing Asian options when trading the underlying generates market impact and execution costs. Starting from a discrete-time, quote-level model, we construct a reference midpoint suitable for Asian…

Portfolio optimization is increasingly argued to require causally identified return predictors to avoid signal inversion and optimization failure. This paper re-examines this claim by studying when predictive signals yield viable efficient…

We investigate the asymptotic behaviour of the implied volatility in the Bachelier setting, extending the large-strike results established for the Black-Scholes framework. Exploiting the theory of regular variation, we derive explicit…

We consider Merton's problem with proportional transaction costs. It is well known that the optimal investment strategy is characterized by two trading boundaries, the buy boundary and the sell boundary, between which lies the no-trading…

In traditional quantitative trading practice, navigating the complicated and dynamic financial market presents a persistent challenge. Fully capturing various market variables, including long-term information, as well as essential signals…

This paper initiates a series of studies on a COS-tensor framework, as an efficient alternative to MC for large and liquid portfolios characterized by a modest number of dominant risk factors but a large number of trades. The framework is…

We develop a financial market model in which a large population of firms chooses dynamic emission strategies under climate transition risk, interacting with both environmentally concerned and neutral investors. Firms face a trade-off…

We study the Merton portfolio management problem within a complete market, non constant time discount rate and general utility framework. The non constant discount rate introduces time inconsistency which can be solved by introducing sub…

Recent advances in continuous-time optimal stopping have been driven by entropy-regularized formulations of randomized stopping problems, with most existing approaches relying on partial differential equation methods. In this paper, we…

Traditional models of market efficiency assume that equity prices incorporate information based on content alone, often neglecting the structural influence of reporting timing and cadence. This study introduces the Autonomous Disclosure…

This study identifies and quantifies a significant informational friction embedded in the SEC Form 144 disclosure regime, characterized as predictive decoupling. Drawing on a theoretical foundation of welfare economics, the article argues…

This study establishes the causal effects of market sentiment on firm profitability, moving beyond traditional correlational analyses. It leverages a causal forest machine learning methodology to control for numerous confounding variables,…

We establish a general matched filter principle for order flow normalization: optimal normalization must match the scaling behaviour of the signal-generating process. For capacity-constrained institutional investors, market capitalization…

This paper introduces a short rate model in continuous time that adds one or more memory (delay) components to the Merton model (Merton 1970, 1973) or the Vasi\v{c}ek model (Vasi\v{c}ek 1977) for the short rate. The distribution of the…

In this paper, we analyse the impacts of exogenous and endogenous factors on wealth distribution in the Bitcoin token economy, where wealth distribution refers to the distribution of BTC between economic participants or groups of economic…

Portfolio Management is the process of overseeing a group of investments, referred to as a portfolio, with the objective of achieving predetermined investment goals. Portfolio optimization is a key component that involves allocating the…

We explore local risk-minimization, a quadratic hedging method for incomplete markets, in exponential additive models. The objectives are to derive explicit mathematical expressions and to conduct numerical experiments. While local…