定量金融
Climate mitigation decisions today affect future generations, raising questions of intergenerational equity. Integrated assessment models (IAMs) rely on discounting to evaluate long-term policy costs and benefits. Using the DICE model, we…
In this paper, we study the approximation of an unknown quasiconcave function based on limited partial information. Available information includes lower bounds on the values of the target function at a specified set of points, as well as…
A multi-factor extension of the Hobson and Rogers (HR) model, incorporating a quadratic variance function (QHR model), is proposed and analysed. The QHR model allows for greater flexibility in defining the moving average filter while…
Modeling limit order books (LOBs) dynamics is a fundamental problem in market microstructure research. In particular, generating high-dimensional volume snapshots with strong temporal and liquidity-dependent patterns remains a challenging…
We introduce a modular framework that extends the signature method to handle American option pricing under evolving volatility roughness. Building on the signature-pricing framework of Bayer et al. (2025), we add three practical…
Passive liquidity providers (LPs) in automated market makers (AMMs) face losses due to adverse selection (LVR), which static trading fees often fail to offset in practice. We study the key determinants of LP profitability in a dynamic…
A model is developed to assess the profitability of loans or mortgages with a specified repayment schedule. Financial institutions face two competing risks: default and prepayment, both influenced by the stochastic evolution of credit…
The hypothesis that there do not exist free lunches with vanishing risk (FLVRs) in the real market underpins the popular risk-neutral pricing and hedging methodology in quantitative finance. The paper documents the fact that this hypothesis…
In this paper, we mainly focus on the prediction of short-term average return directions in China's high-frequency futures market. As minor fluctuations with limited amplitude and short duration are typically regarded as random noise, only…
Accurate forecasting of commodity price spikes is vital for countries with limited economic buffers, where sudden increases can strain national budgets, disrupt import-reliant sectors, and undermine food and energy security. This paper…
We develop and evaluate a family of discrete-time logit-link (LLink) models (including fixed-effects and frailty extensions) to capture latent heterogeneity in repayment behaviour and quantify the effects of socio-temporal factors in…
This paper introduces an innovative framework for the periodic evaluation of defined-contribution pension funds. The performance of the pension fund is evaluated not only at retirement, but also within the interim periods. In contrast to…
We evaluate the performance of several optimizers on the task of forecasting S&P 500 Index returns with the MambaStock model. Among the most widely used algorithms, gradient-smoothing and adaptive-rate optimizers (for example, Adam and…
Generative modeling of high-frequency limit order book (LOB) dynamics is a critical yet unsolved challenge in quantitative finance, essential for robust market simulation and strategy backtesting. Existing approaches are often constrained…
Systematic Investment Plans (SIPs) are a primary vehicle for retail equity participation in India, yet the impact of their intra-month timing remains underexplored. This study offers a 22-year (2003--2024) comparative analysis of SIP…
As the increasing application of AI in finance, this paper will leverage AI algorithms to examine tail risk and develop a model to alter tail risk to promote the stability of US financial markets, and enhance the resilience of the US…
Scaling laws offer a powerful lens to understand complex transactional behaviors in decentralized systems. This study reveals distinctive statistical signatures in the transactional dynamics of ERC20 tokens on the Ethereum blockchain by…
Recently, reinforcement learning has achieved remarkable results in various domains, including robotics, games, natural language processing, and finance. In the financial domain, this approach has been applied to tasks such as portfolio…
Portfolio optimization has long been dominated by covariance-based strategies, such as the Markowitz Mean-Variance framework. However, these approaches often fail to ensure a balanced risk structure across assets, leading to concentration…
The efficiency of decentralized exchanges (DEXs) and the influence of token routing algorithms on market performance and stakeholder outcomes remain underexplored. This paper introduces the concept of Standardized Total Arbitrage Profit…