定量金融
Effective supply chain management under high-variance demand requires models that jointly address demand uncertainty and digital contracting adoption. Existing research often simplifies demand variability or treats adoption as an exogenous…
We consider state of the art applications of artificial intelligence (AI) in modelling human financial expectations and explore the potential of quantum logic to drive future advancements in this field. This analysis highlights the…
We consider the robust pricing and hedging of American options in a continuous time setting. We assume asset prices are continuous semimartingales, but we allow for general model uncertainty specification via adapted closed convex…
We expand on the recent development of n-dimensional automated market makers for stablecoins by showing a way to build concentrated liquidity positions with ticks in polar coordinates in Rust, including the featured ability to skew said…
In this work, we consider weighted signed network representations of financial markets derived from raw or denoised correlation matrices, and examine how negative edges can be exploited to reduce portfolio risk. We then propose a discrete…
This study examines active liquidity management by Indian open-ended equity mutual funds. We find that fund managers respond to inflows by increasing cash holdings, which are later used to purchase less-liquid stocks at favourable…
The growing adoption of large language models (LLMs) in finance exposes high-stakes decision-making to subtle, underexamined positional biases. The complexity and opacity of modern model architectures compound this risk. We present the…
The financial domain poses unique challenges for knowledge graph (KG) construction at scale due to the complexity and regulatory nature of financial documents. Despite the critical importance of structured financial knowledge, the field…
Predicting earnings surprises from financial documents, such as earnings conference calls, regulatory filings, and financial news, has become increasingly important in financial economics. However, these financial documents present…
The basic principle of any version of insurance is the paradigm that exchanging risk by sharing it in a pool is beneficial for the participants. In case of independent risks with a finite mean this is the case for risk averse decision…
We revisit the recently introduced concept of return risk measures (RRMs) and extend it by incorporating risk management via multiple so-called eligible assets. The resulting new class of risk measures, termed multi-asset return risk…
We study Pareto optimality in a decentralized peer-to-peer risk-sharing market where agents' preferences are represented by robust distortion risk measures that are not necessarily convex. We obtain a characterization of Pareto-optimal…
We formulate option market making as a constrained, risk-sensitive control problem that unifies execution, hedging, and arbitrage-free implied-volatility surfaces inside a single learning loop. A fully differentiable eSSVI layer enforces…
The integration of Central and Eastern European (CEE) countries into the European Economic Area serves as a valuable experiment for the regional economic development theory. The long-lasting convergence of these economies with more advanced…
Motivated by optimal re-balancing of a portfolio, we formalize an optimal transport problem in which the transported mass is scaled by a mass-change factor depending on the source and destination. This allows direct modeling of the creation…
Accurate prediction of financial market volatility is critical for risk management, derivatives pricing, and investment strategy. In this study, we propose a multitude of regime-switching methods to improve the prediction of S&P 500…
We examine how textual features in earnings press releases predict stock returns on earnings announcement days. Using over 138,000 press releases from 2005 to 2023, we compare traditional bag-of-words and BERT-based embeddings. We find that…
In this paper, we propose an analytical method to compute the collateral liquidation probability in decentralized finance (DeFi) stablecoin single-collateral lending. Our approach models the collateral exchange rate as a zero-drift…
PDSim is an R package that enables users to simulate commodity futures prices using the polynomial diffusion model introduced in Filipovic & Larsson (2016) through both a Shiny web application and R scripts. For user-supplied data, a…
As renewable energy integration increases supply variability, battery energy storage systems (BESS) present a viable solution for balancing supply and demand. This paper proposes a novel approach for optimizing battery BESS participation in…