定量金融
Financial networks based on Pearson correlations have been intensively studied. However, previous studies may have led to misleading and catastrophic results because of several critical shortcomings of the Pearson correlation. The local…
Rapid growth of digital transactions has led to a surge in fraudulent activities, challenging traditional detection methods in the financial sector. To tackle this problem, we introduce a specialised federated learning framework that…
This paper explores the interplay between transfer policies, R\&D, corruption, and economic development using a general equilibrium model with heterogeneous agents and a government. The government collects taxes, redistributes fiscal…
We study a dynamic asset pricing problem in which a representative agent is ambiguous about the aggregate endowment growth rate and trades a risky stock, human capital, and a risk-free asset to maximize her preference value of consumption…
Estimating market impact and transaction costs of large trades (metaorders) is a very important topic in finance. However, using models of price and trade based on public market data provide average price trajectories which are…
We study the truncation error of the COS method and give simple, verifiable conditions that guarantee convergence. In one dimension, COS is admissible when the density belongs to both L1 and L2 and has a finite weighted L2 moment of order…
This paper develops a three-dimensional decomposition of volatility memory into orthogonal components of level, shape, and tempo. The framework unifies regime-switching, fractional-integration, and business-time approaches within a single…
We study a systematic approach to a popular Statistical Arbitrage technique: Pairs Trading. Instead of relying on two highly correlated assets, we replace the second asset with a replication of the first using risk factor representations.…
The aim of this paper is the analysis and selection of stock trading systems that combine different models with data of different nature, such as financial and microeconomic information. Specifically, based on previous work by the authors…
Crypto enthusiasts claim that buying and holding crypto assets yields high returns, often citing Bitcoin's past performance to promote other tokens and fuel fear of missing out. However, understanding the real risk-return trade-off and what…
When quoting across multiple contracts, the sequence of execution can be a key driver of implementation shortfall relative to the target spread~\cite{bergault2022multi}. We model the short-horizon execution risk from such quoting as…
We derive the arbitrage gains or, equivalently, Loss Versus Rebalancing (LVR) for arbitrage between \textit{two imperfectly liquid} markets, extending prior work that assumes the existence of an infinitely liquid reference market. Our…
We study the construction of arbitrage-free option price surfaces from noisy bid-ask quotes across strike and maturity. Our starting point is a Chebyshev representation of the call price surface on a warped log-moneyness/maturity rectangle,…
This study models the monopoly pricing of weather index insurance as a Bowley-type sequential game involving a profit-maximizing insurer (leader) and a farmer (follower). The farmer chooses an insurance payoff to minimize a convex…
Large Language Models (LLMs) excel at understanding context and qualitative nuances but struggle with the rigorous and transparent reasoning required in high-stakes quantitative domains such as financial trading. We propose a model-first…
We study how the 2024 U.S. presidential election, viewed as a major political risk event, affected cryptocurrency markets by distinguishing human-driven peer-to-peer stablecoin transactions from automated algorithmic activity. Using…
Turnpike theorems state that if an investor's utility is asymptotically equivalent to a power utility, then the optimal investment strategy converges to the CRRA strategy as the investment horizon tends to infinity. This paper aims to…
This paper investigates a time-inconsistent portfolio selection problem in the incomplete mar ket model, integrating expected utility maximization with risk control. The objective functional balances the expected utility and variance on log…
We study how much the in-sample performance of trading strategies based on linear predictive models is reduced out-of-sample due to overfitting. More specifically, we compute the in- and out-of-sample means and variances of the…
Multivariate Distributions are needed to capture the correlation structure of complex systems. In previous works, we developed a Random Matrix Model for such correlated multivariate joint probability density functions that accounts for the…