定量金融
In this review, we provide practical guidance on some of the main machine learning tools used in portfolio weight formation. This is not an exhaustive list, but a fraction of the ones used and have some statistical analysis behind it. All…
We examine the problem of optimal portfolio allocation within the framework of utility theory. We apply exponential utility to derive the optimal diversification strategy and logarithmic utility to determine the optimal leverage. We enhance…
Conditional risk measures and their associated risk contribution measures are commonly employed in finance and actuarial science for evaluating systemic risk and quantifying the effects of risk interactions. This paper introduces various…
Motivated by recent work on monotone additive statistics and questions regarding optimal risk sharing for return-based risk measures, we investigate the existence, structure, and applications of Meyer risk measures. Those are monetary risk…
Accurately measuring portfolio similarity is critical for a wide range of financial applications, including Exchange-traded Fund (ETF) recommendation, portfolio trading, and risk alignment. Existing similarity measures often rely on exact…
We leverage the capacity of large language models such as Generative Pre-trained Transformer (GPT) in constructing factor models for Chinese futures markets. We successfully obtain 40 factors to design single-factor and multi-factor…
This paper presents SIMPOL (Simplified Policy Iteration), a modular numerical framework for solving continuous-time heterogeneous agent models. The core economic problem, the optimization of consumption and savings under idiosyncratic…
We introduce the Historical and Dynamic Volatility Ratios (HVR/DVR) and show that equity and index volatilities are cointegrated at intraday and daily horizons. This allows us to construct a VECM to forecast portfolio volatility by…
An automated market maker (AMM) provides a method for creating a decentralized exchange on the blockchain. For this purpose, individual investors lend liquidity to the AMM pool in exchange for a stream of fees earned from its operations as…
Liquidity withdrawal is a critical indicator of market fragility. In this project, I test a framework for forecasting liquidity withdrawal at the individual-stock level, ranging from less liquid stocks to highly liquid large-cap tickers,…
This paper develops stochastic optimization problems for describing and analyzing behavioral investors with Markowitz Stochastic Dominance (MSD) preferences. Specifically, we establish dominance conditions in a discrete state-space to…
We assess the applicability of rough volatility models to Bitcoin realized volatility using the normalised p-variation framework of Cont and Das (2024). Applying this model-free estimator to high-frequency Bitcoin data from 2017 to 2024…
In this paper we pursue the question of a fully online trading algorithm (i.e. one that does not need offline training on previously gathered data). For this task we use Double Deep $Q$-learning in the episodic setting with Fast Learning…
The impact investment market has an estimated value of almost $1.6 trillion. Significant progress has been made in determining the financial returns of impact investing. Investors are still, however, in the early stages of determining…
The provision of renewable electricity is the foundation for a sustainable future. To achieve the goal of sustainable renewable energy, Battery Energy Storage Systems (BESS) could play a key role to counteract the intermittency of solar and…
This paper develops a rigorous functional-analytic framework for the MACD (Moving Average Convergence Divergence) indicator, a classical tool in technical analysis. We show that MACD, commonly defined as the difference between two moving…
We provide a comprehensive review of causal dependence through a max-linear structural equation model. Such models express each node variable as a max-linear function of its parental node variables in a directed acyclic graph and some…
This is the second part of our work on Multivariate Quadratic Hawkes (MQHawkes) Processes, devoted to the calibration of the model defined and studied analytically in Aubrun, C., Benzaquen, M., & Bouchaud, J. P., Quantitative Finance,…
This paper investigates an optimal consumption-investment problem featuring recursive utility via Tsallis relative entropy. We establish a fundamental connection between this optimization problem and a quadratic backward stochastic…
Financial markets pose fundamental challenges for asset return prediction due to their high dimensionality, non-stationarity, and persistent volatility. Despite advances in large language models and multi-agent systems, current quantitative…