相关论文: Model-free Analysis of Dynamic Trading Strategies
Recently, the proliferation of omni-channel platforms has attracted interest in customer journeys, particularly regarding their role in developing marketing strategies. However, few efforts have been taken to quantitatively study or…
Mandatory emission trading schemes are being established around the world. Participants of such market schemes are always exposed to risks. This leads to the creation of an accompanying market for emission-linked derivatives. To evaluate…
Optimal trading is a recent field of research which was initiated by Almgren, Chriss, Bertsimas and Lo in the late 90's. Its main application is slicing large trading orders, in the interest of minimizing trading costs and potential…
We present an arbitrage free theoretical framework for modeling bid and ask prices of dividend paying securities in a discrete time setup using theory of dynamic acceptability indices. In the first part of the paper we develop the theory of…
New fast estimation methods stemming from control theory lead to a fresh look at time series, which bears some resemblance to "technical analysis". The results are applied to a typical object of financial engineering, namely the forecast of…
Predicting human mobility patterns has many practical applications in urban planning, traffic engineering, infectious disease epidemiology, emergency management and location-based services. Developing a universal model capable of accurately…
$\alpha$-stable distributions are utilised as models for heavy-tailed noise in many areas of statistics, finance and signal processing engineering. However, in general, neither univariate nor multivariate $\alpha$-stable models admit closed…
Derivative traders are usually required to scan through hundreds, even thousands of possible trades on a daily basis. Up to now, not a single solution is available to aid in their job. Hence, this work aims to develop a trading…
Dynamic hedging of an European option under a general local volatility model with small linear transaction costs is studied. A continuous control version of Leland's strategy that asymptotically replicates the payoff is constructed. An…
In this work, we study economic model predictive control (MPC) in situations where the optimal operating behavior is periodic. In such a setting, the performance of a standard economic MPC scheme without terminal conditions can generally be…
We study model-free policy learning for discrete-time mean-field control (MFC) problems with finite state space and compact action space. In contrast to the extensive literature on value-based methods for MFC, policy-based approaches remain…
This study introduces a training-free conditional diffusion model for learning unknown stochastic differential equations (SDEs) using data. The proposed approach addresses key challenges in computational efficiency and accuracy for modeling…
Recently, diffusion models have gained popularity and attention in trajectory optimization due to their capability of modeling multi-modal probability distributions. However, addressing nonlinear equality constraints, i.e, dynamic…
Current trajectory prediction models are primarily trained in an open-loop manner, which often leads to covariate shift and compounding errors when deployed in real-world, closed-loop settings. Furthermore, relying on static datasets or…
This paper develops a comprehensive theoretical framework that imports concepts from stochastic thermodynamics to model price impact and characterize the feasibility of round-trip arbitrage in financial markets. A trading cycle is treated…
This work concerns the estimation of recursive route choice models in the situation that the trip observations are incomplete, i.e., there are unconnected links (or nodes) in the observations. A direct approach to handle this issue would be…
We propose a parsimonious class of arbitrage-free, yields-only dynamic term structure models (DTSMs) with unspanned latent risks. To enable sequential estimation and forecasting, we develop a Sequential Monte Carlo framework that combines…
In this work, we introduce a Monte Carlo method for the dynamic hedging of general European-type contingent claims in a multidimensional Brownian arbitrage-free market. Based on bounded variation martingale approximations for…
Motivated by the challenge of analyzing the dynamics of weekly sea border crossings in the Mediterranean (2015-2025) and the English Channel (2018-2025), we develop a Bayesian dynamic framework for modeling heteroskedastic count time…
In order to increase the number of situations in which an intelligent vehicle can operate without human intervention, lateral control is required to accurately guide it in a reference trajectory regardless of the shape of the road or the…