定量金融
This study explores the behavioral dynamics of illiquid stock prices in a listed stock market. Illiquidity, characterized by wide bid and ask spreads affects price formation by decoupling prices from standard risk and return relationships…
Precise short-term price prediction in the highly volatile cryptocurrency market is critical for informed trading strategies. Although Temporal Fusion Transformers (TFTs) have shown potential, their direct use often struggles in the face of…
Through a novel approach, this paper shows that substantial change in stock market behavior has a statistically and economically significant impact on equity risk premium predictability both on in-sample and out-of-sample cases. In line…
Via an axiomatic approach, we characterize the family of n-th order Gini deviation, defined as the expected range over n independent draws from a distribution, to quantify joint dispersion across multiple observations. This family extends…
This dissertation develops and justifies a novel method for deriving approximate formulas to estimate two parameters in stochastic volatility diffusion models with exponentially-affine characteristic functions and single- or two-factor…
This study provides the first comprehensive assessment of consistency and reproducibility in Large Language Model (LLM) outputs in finance and accounting research. We evaluate how consistently LLMs produce outputs given identical inputs…
Unequal access to costly datasets essential for empirical research has long hindered researchers from disadvantaged institutions, limiting their ability to contribute to their fields and advance their careers. Recent breakthroughs in Large…
This paper is devoted to obtain closed form solutions for the semiclassical (or WKB) approximation of the heat kernel propagator of the diffusion equation defined by the constant elasticity variance (CEV) option pricing model. One of the…
This paper extends the application of ESG score assessment methodologies from large corporations to individual farmers' production, within the context of climate change. Our proposal involves the integration of crucial agricultural…
We consider extended mean-field control problems with multi-dimensional singular controls. A key challenge when analysing singular controls are jump costs. When controls are one-dimensional, jump costs are most naturally computed by linear…
This paper aims to test the relationship between investor sentiment and the profitability of stocks listed on two emergent financial markets, the Moroccan and Tunisian ones. Two indirect measures of investor sentiment are used, SENT and…
This short note aims to point out mistakes in one of the implications for Theorem 2.8 in Bayraktar and Yu [Mathematical Finance, 28 (2018), pp. 800-838], which weakens the statement of this theorem.
We revisit the problem of portfolio selection, where an investor maximizes utility subject to a risk constraint. Our framework is very general and accommodates a wide range of utility and risk functionals, including non-concave utilities…
Recent regulation on intraday electricity markets has led to the development of shared order books with the intention to foster competition and increase market liquidity. In this paper, we address the question of the efficiency of such…
In this article, we study optimal investment and consumption in an incomplete stochastic factor model for a power utility investor on the infinite horizon. When the state space of the stochastic factor is finite, we give a complete…
Pre-taxation analysis plays a crucial role in ensuring the fairness of public revenue collection. It can also serve as a tool to reduce the risk of tax avoidance, one of the UK government's concerns. Our report utilises pre-tax income…
Against the backdrop of rapid technological advancement and the deepening digital economy, this study examines the causal impact of digital transformation on corporate financial asset allocation in China. Using data from A-share listed…
The basis of arbitrage methods depends on the circulation of information within the framework of the financial market. Following the work of Modigliani and Miller, it has become a vital part of discussions related to the study of financial…
We introduce the Pontryagin-Guided Direct Policy Optimization (PG-DPO) framework for high-dimensional continuous-time portfolio choice. Our approach combines Pontryagin's Maximum Principle (PMP) with backpropagation through time (BPTT) to…
Understanding how information flows through the financial networks is important, especially during times of market turbulence. Unlike traditional assumptions where information travels along the shortest paths, real-world diffusion processes…