定量金融
We show that the Markowitz portfolio is a scalar multiple of another portfolio which replaces the covariance with the second moment matrix, via simple application of the Sherman-Morrison identity. Moreover it is shown that when using…
This paper introduces MarketGAN, a factor-based generative framework for high-dimensional asset return generation under severe data scarcity. We embed an explicit asset-pricing factor structure as an economic inductive bias and generate…
We present a study of the short-maturity asymptotics for VIX and European option prices in local-stochastic volatility models with compound Poisson jumps. Both out-of-the-money (OTM) and at-the-money (ATM) asymptotics are considered. The…
In this work, we investigate the market-making problem on a trading session in which a continuous phase on a limit order book is followed by a closing auction. Whereas standard optimal market-making models typically rely on terminal…
We propose a structural framework for the geometry of financial order books in which liquidity, supply, and demand are treated as emergent observables rather than primitive economic variables. The market is modeled as an inflationary…
We attempt to mitigate the persistent tradeoff between risk and return in medium- to long-term portfolio management. This paper proposes a novel LLM-guided no-regret portfolio allocation framework that integrates online learning dynamics,…
With the reform of interest rate benchmarks, interbank offered rates (IBORs) like LIBOR have been replaced by risk-free rates (RFRs), such as the Secured Overnight Financing Rate (SOFR) in the U.S. and the Euro Short-Term Rate (\euro STR)…
Stock recommendation is critical in Fintech applications, which leverage price series and alternative information to estimate future stock performance. Traditional time-series forecasting training often fails to capture stock trends and…
Recovery rate prediction plays a pivotal role in bond investment strategies by enhancing risk assessment, optimizing portfolio allocation, improving pricing accuracy, and supporting effective credit risk management. However, accurate…
In decentralized finance, any individual can pool their assets into an automated market maker (AMM) -- herein we focus on the constant product market maker (CPMM) -- in exchange for a claim on a fraction of future pool assets and fees…
This paper addresses the question of how much to bid to maximize the profit when trading in two electricity markets: the hourly Day-Ahead Auction and the quarter-hourly Intraday Auction. For optimal coordinated bidding many price scenarios…
We introduce the resilience rate as a measure of financial resilience. It captures the expected rate at which a dynamic risk measure recovers, i.e., bounces back, when the risk-acceptance set is breached. We develop the corresponding…
This paper addresses the problem of robust option pricing within the framework of Vectorial Martingale Optimal Transport (VMOT). We investigate the geometry of VMOT solutions for $N$-period market models and demonstrate that, when the…
Market integrity monitoring is difficult because suspicious price/volume behavior can arise from many benign mechanisms, while modern detection systems often rely on opaque models that are hard to audit and communicate. We present AIMM-X,…
In an incomplete financial market with general continuous semimartingale dynamics; we model an investor with log-utility preferences who, in addition to an initial capital, receives units of a non-traded endowment process. Using duality…
The Sleeping Beauty problem is a problem of imperfect recall that has received considerable attention. One approach to solving the Sleeping Beauty problem is to allow Sleeping Beauty to make decisions based on her beliefs, and then…
We investigate whether large language models can discover and analyze U.S. tax-minimization strategies. This real-world domain challenges even seasoned human experts, and progress can reduce tax revenue lost from well-advised, wealthy…
While optimal taxation theory provides clear prescriptions for tax design, translating these insights into actual tax codes remains difficult. Existing work largely offers theoretical characterizations of optimal systems, while practical…
We study the expected utility maximization problem of a large investor who is allowed to make transactions on tradable assets in an incomplete financial market with endogenous permanent market impacts. The asset prices are assumed to follow…
We propose a projection method to estimate risk-neutral moments from option prices. We derive a finite-sample bound implying that the projection estimator attains (up to a constant) the smallest pricing error within the span of traded…