相关论文: Optimal closing of a pair trade with a model conta…
In this paper we introduce the well-balanced L\'{e}vy driven Ornstein-Uhlenbeck process as a moving average process of the form $X_t=\int \exp(-\lambda |t-u|)dL_u$. In contrast to L\'{e}vy driven Ornstein-Uhlenbeck processes the…
A speculative agent with Prospect Theory preference chooses the optimal time to purchase and then to sell an indivisible risky asset to maximize the expected utility of the round-trip profit net of transaction costs. The optimization…
Physics, chemistry, biology or finance are just some examples out of the many fields where complex Ornstein-Uhlenbeck (OU) processes have various applications in statistical modelling. They play role e.g. in the description of the motion of…
We describe a Matlab routine that allows us to estimate the jumps in financial asset prices using the Threshold (or Truncation) method of Mancini (2009). The routine is designed for application to five-minute log-returns. The underlying…
Currency carry trade is the investment strategy that involves selling low interest rate currencies in order to purchase higher interest rate currencies, thus profiting from the interest rate differentials. This is a well known financial…
This paper discusses the num\'eraire-based utility maximization problem in markets with proportional transaction costs. In particular, the investor is required to liquidate all her position in stock at the terminal time. We first observe…
We consider a stochastic volatility model with jumps where the underlying asset price is driven by the process sum of a 2-dimensional Brownian motion and a 2-dimensional compensated Poisson process. The market is incomplete, resulting in…
We revisit optimal execution of an active portfolio in the presence of slippage (aka linear, proportional, or absolute-value) costs. Market efficiency implies a close balance between active alphas and trading costs, so even small changes to…
The currency carry trade is the investment strategy that involves selling low interest rate currencies in order to purchase higher interest rate currencies, thus profiting from the interest rate differentials. This is a well known financial…
Mathematical models for financial asset prices which include, for example, stochastic volatility or jumps are incomplete in that derivative securities are generally not replicable by trading in the underlying. In earlier work (2004) the…
Motivated by the connection between the Kyle equilibrium with static private signal and the Brownian bridge, we study a much broader class of bridges that allow one to consider more general equilibrium models, for example ones including…
The aim of this short note is to establish a limit theorem for the optimal trading strategies in the setup of the utility maximization problem with proportional transaction costs. This limit theorem resolves the open question from [4]. The…
A limit order book provides information on available limit order prices and their volumes. Based on these quantities, we give an empirical result on the relationship between the bid-ask liquidity balance and trade sign and we show that…
We derive an explicit representation for the transition law of a $p$-tempered $\alpha$-stable process of Ornstein-Uhlenbeck-type and use it to develop a methodology for simulation. Our results apply in both the univariate and multivariate…
We present a method for obtaining approximate solutions to the problem of optimal execution, based on a signature method. The framework is general, only requiring that the price process is a geometric rough path and the price impact…
This paper addresses the trade-off between internalisation and externalisation in the management of stochastic trade flows. We consider agents who must absorb flows and manage risk by deciding whether to warehouse it or hedge in the market,…
In this article, we provide a flexible framework for optimal trading in an asset listed on different venues. We take into account the dependencies between the imbalance and spread of the venues, and allow for partial execution of limit…
The classical linear Black--Scholes model for pricing derivative securities is a popular model in financial industry. It relies on several restrictive assumptions such as completeness, and frictionless of the market as well as the…
We consider the multivariate point process determined by the crossing times of the components of a multivariate jump process through a multivariate boundary, assuming to reset each component to an initial value after its boundary crossing.…
Mounting empirical evidence suggests that the observed extreme prices within a trading period can provide valuable information about the volatility of the process within that period. In this paper we define a class of stochastic volatility…