定量金融

The global balance index is used in the network literature to quantify how balanced a signed network is. In this paper we show that the global balance index of financial correlation networks can be used as a systemic risk measure. We define…

We consider a family of conditional nonlinear expectations defined on the space of bounded random variables and indexed by the class of all the sub-sigma-algebras of a given underlying sigma-algebra. We show that if this family satisfies a…

We apply empirical Bayes (EB) to mine data on 136,000 long-short strategies constructed from accounting ratios, past returns, and ticker symbols. This ``high-throughput asset pricing'' matches the out-of-sample performance of top journals…

This paper studies a finite-horizon portfolio selection problem with non-concave terminal utility and proportional transaction costs, in which the commonly used concavification principle for terminal value is no longer applicable. We…

Drawdown risk, an important metric in financial risk management, poses significant computational challenges due to its highly path-dependent nature. This paper proposes a unified framework for computing five important drawdown quantities…

Accelerating climate-tech innovation in the formative stage of the technology life cycle is crucial to meeting climate policy goals. During this period, competing technologies are often undergoing major technical improvements within a…

The high-order complexity of human behaviour is likely the root cause of extreme difficulty in financial market projections. We consider that behavioural simulation can unveil systemic dynamics to support analysis. Simulating diverse human…

Standard benchmarks fixate on how well large language model (LLM) agents perform in finance, yet say little about whether they are safe to deploy. We argue that accuracy metrics and return-based scores provide an illusion of reliability,…

The strong relative arbitrage problem in Stochastic Portfolio Theory seeks an investment strategy that almost surely outperforms a benchmark portfolio at the end of a given time horizon. The highest relative return in relative arbitrage…

We consider a stochastic volatility model where the dynamics of the volatility are given by a possibly infinite linear combination of the elements of the time extended signature of a Brownian motion. First, we show that the model is…

This paper sets out a framework for the valuation of insurance liabilities that is intended to be economically realistic, elementary, reasonably practically applicable, and as a special case to provide a basis for the valuation in…

The National Basketball Association (NBA) imposes a player salary cap. It is therefore useful to develop tools to measure the relative realized return of a player's salary given their on court performance. Very few such studies exist,…

In this paper, we discuss a simple yet robust PDE method for evaluating path-dependent Asian-style options using the non-oscillatory forward-in-time second-order MPDATA finite-difference scheme. The valuation methodology involves casting…

We empirically analyze the reversion of financial market trends with time horizons ranging from minutes to decades. The analysis covers equities, interest rates, currencies and commodities and combines 14 years of futures tick data, 30…

This paper studies the dividend and capital injection problem under a diffusion risk model with general discount functions. A proportional cost is imposed when injecting capitals. For exponential discounting as time-consistent benchmark, we…

We introduce a fast and flexible Machine Learning (ML) framework for pricing derivative products whose valuation depends on volatility surfaces. By parameterizing volatility surfaces with the 5-parameter stochastic volatility inspired (SVI)…

Option pricing theory, such as the Black and Scholes (1973) model, provides an explicit solution to construct a strategy that perfectly hedges an option in a continuous-time setting. In practice, however, trading occurs in discrete time and…

In high-frequency trading (HFT), leveraging limit order books (LOB) to model stock price movements is crucial for achieving profitable outcomes. However, this task is challenging due to the high-dimensional and volatile nature of the…

This paper analyses the investment returns of three stock sectors, Manuf, Hitec, and Other, in the U.S. stock market, based on the Fama-French three-factor model, the Carhart four-factor model, and the Fama-French five-factor model, in…

The rapid development of sophisticated machine learning methods, together with the increased availability of financial data, has the potential to transform financial research, but also poses a challenge in terms of validation and…