相关论文: The matrix rate of return

I demonstrate that with the market return determined by the equilibrium returns of the CAPM, expected returns of an asset are affected by the risks of all assets jointly. Another implication is that the range of feasible market returns will…

This paper presents a new approach for analysing structural properties of time series from complex systems. Starting from the concept of recurrences in phase space, the recurrence matrix of a time series is interpreted as the adjacency…

In finance, economics and many other fields, observations in a matrix form are often observed over time. For example, many economic indicators are obtained in different countries over time. Various financial characteristics of many…

In this note, we define a Gaussian probability distribution over matrices. We prove some useful properties of this distribution, namely, the fact that marginalization, conditioning, and affine transformations preserve the matrix Gaussian…

In this paper we propose a look at the capital risk problem inspired by deterministic, known from classical mechanics, problem of juggling. We propose capital equivalents to the Newton's laws of motion and on this basis we determine the…

A concept of martingale-fair index of return, consistent with Arbitrage Free Pricing Theory, is introduced. An explicit formula for the average rate of return of a group of investment/pension funds in a discrete time stochastic model is…

In this paper, we introduce a matrix-valued time series model for foreign exchange market. We then formulate trading matrices, foreign exchange options and return options (matrices), as well as on-line portfolio strategies. Moreover, we…

This text investigates relations between two well-known family of algorithms, matrix factorisations and recursive linear filters, by describing a probabilistic model in which approximate inference corresponds to a matrix factorisation…

For the challenging task of modeling multivariate time series, we propose a new class of models that use dependent Mat\'ern processes to capture the underlying structure of data, explain their interdependencies, and predict their unknown…

This work introduces a new framework for modeling financial markets through an interpretable probabilistic state machine. By clustering historical returns based on momentum and risk features across multiple time horizons, we identify…

Beta-sorted portfolios -- portfolios comprised of assets with similar covariation to selected risk factors -- are a popular tool in empirical finance to analyze models of (conditional) expected returns. Despite their widespread use, little…

This paper studies the links between the descriptions of macroeconomic variables and statistical moments of market trade, price, and return. The randomness of market trade values and volumes during the averaging interval {\Delta} results in…

We analyze correlations among stock returns via a series of widely adopted parameters which we refer to as explanatory variables. We subsequently exploit the results to propose a long only quantitative adaptive technique to construct a…

This paper gives yet another definition of game-theoretic probability in the context of continuous-time idealized financial markets. Without making any probabilistic assumptions (but assuming positive and continuous price paths), we obtain…

We introduce a non linear pricing model of individual stock returns that defines a stickiness parameter of the returns. The pricing model resembles the capital asset pricing model used in finance but has a non linear component inspired from…

We derive simple return models for several classes of bond portfolios. With only one or two risk factors our models are able to explain most of the return variations in portfolios of fixed rate government bonds, inflation linked government…

Estimating large covariance and precision matrices are fundamental in modern multivariate analysis. The problems arise from statistical analysis of large panel economics and finance data. The covariance matrix reveals marginal correlations…

Random-matrix theory is applied to transition-rate matrices in the Pauli master equation. We study the distribution and correlations of eigenvalues, which govern the dynamics of complex stochastic systems. Both the cases of identical and of…

This article considers to model large-dimensional matrix time series by introducing a regression term to the matrix factor model. This is an extension of classic matrix factor model to incorporate the information of known factors or useful…

In this paper we derive a representation of an arbitrary real matrix M as the difference of a real matrix A and the transpose of its inverse. This expression may prove useful for progressing beyond known results for which the appearance of…