相关论文: Detecting informed activities in European-style op…
We propose a mathematical procedure for finding informed traders in ultra-high frequency trading. We wrote it as Vector ARMA and found condition of its stationarity. For the price exposure complied with ARMA(1,2) we proved that underlying…
An asymmetric information model is introduced for the situation in which there is a small agent who is more susceptible to the flow of information in the market than the general market participant, and who tries to implement strategies…
The modeling of time-varying graph signals as stationary time-vertex stochastic processes permits the inference of missing signal values by efficiently employing the correlation patterns of the process across different graph nodes and time…
In this paper new analytical and numerical approaches to valuating path-dependent options of European type have been developed. The model of stochastic volatility as a basic model has been chosen. For European options we could improve the…
This research presents a novel approach to predicting option movements by analyzing residual transactions, which are trades that deviate from standard hedging activities. Unlike traditional methods that primarily focus on open interest and…
We price European options in a class of models in which the volatility of the underlying risky asset depends on the short rate of interest. Our study results in an explicit pricing formula that depends on knowledge of a characteristic…
The objective of this paper is to introduce the theory of option pricing for markets with informed traders within the framework of dynamic asset pricing theory. We introduce new models for option pricing for informed traders in complete…
The standard approach for studying the periodic ARMA model with coefficients that vary over the seasons is to express it in a vector form. In this paper we introduce an alternative method which views the periodic formulation as a time…
Estimating hidden processes from non-linear noisy observations is particularly difficult when the parameters of these processes are not known. This paper adopts a machine learning approach to devise variational Bayesian inference for such…
For the pedestrian observer, financial markets look completely random with erratic and uncontrollable behavior. To a large extend, this is correct. At first approximation the difference between real price changes and the random walk model…
In the information-based approach to asset pricing the market filtration is modelled explicitly as a superposition of signals concerning relevant market factors and independent noise. The rate at which the signal is revealed to the market…
In financial markets, accurately measuring the risk of future fluctuations in asset prices is of paramount importance. Studies such as Carr and Madan have shown that the expected value of the quadratic variation of log prices can be…
We consider a general local-stochastic volatility model and an investor with exponential utility. For a European-style contingent claim, whose payoff may depend on either a traded or non-traded asset, we derive an explicit approximation for…
Predicting the price that has the least error and can provide the best and highest accuracy has been one of the most challenging issues and one of the most critical concerns among capital market activists and researchers. Therefore, a model…
Observing prices of European put and call options, we calibrate exponential L\'evy models nonparametrically. We discuss the efficient implementation of the spectral estimation procedures for L\'evy models of finite jump activity as well as…
The paper develops general, discrete, non-probabilistic market models and minmax price bounds leading to price intervals for European options. The approach provides the trajectory based analogue of martingale-like properties as well as a…
This research extends the conventional concepts of the bid--ask spread (BAS) and mid-price to include the total market order book bid--ask spread (TMOBBAS) and the global mid-price (GMP). Using high-frequency trading data, we investigate…
Proof that under simple assumptions, such as constraints of Put-Call Parity, the probability measure for the valuation of a European option has the mean derived from the forward price which can, but does not have to be the risk-neutral one,…
Every change of trend in the forex market presents a great opportunity as well as a risk for investors. Accurate forecasting of forex prices is a crucial element in any effective hedging or speculation strategy. However, the complex nature…
This paper develops a model for option market making in which the hedging activity of the market maker generates price impact on the underlying asset. The option order flow is modeled by Cox processes, with intensities depending on the…