Pub Date : 2024-07-25DOI: 10.1080/14697688.2024.2376743
Zhe Fei, Weixuan Xia
Stochastic clocks represent a class of time change methods for incorporating trading activity into continuous-time financial models, with the ability to deal with typical asymmetrical and tail risk...
{"title":"Regulating stochastic clocks§","authors":"Zhe Fei, Weixuan Xia","doi":"10.1080/14697688.2024.2376743","DOIUrl":"https://doi.org/10.1080/14697688.2024.2376743","url":null,"abstract":"Stochastic clocks represent a class of time change methods for incorporating trading activity into continuous-time financial models, with the ability to deal with typical asymmetrical and tail risk...","PeriodicalId":20747,"journal":{"name":"Quantitative Finance","volume":null,"pages":null},"PeriodicalIF":1.3,"publicationDate":"2024-07-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141940716","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2024-07-18DOI: 10.1080/14697688.2024.2370311
Ruting Wang, Valerio Potì, W. Härdle
{"title":"Assessing network risk with FRM: links with pricing kernel volatility and application to cryptocurrencies","authors":"Ruting Wang, Valerio Potì, W. Härdle","doi":"10.1080/14697688.2024.2370311","DOIUrl":"https://doi.org/10.1080/14697688.2024.2370311","url":null,"abstract":"","PeriodicalId":20747,"journal":{"name":"Quantitative Finance","volume":null,"pages":null},"PeriodicalIF":1.5,"publicationDate":"2024-07-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141826450","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2024-07-16DOI: 10.1080/14697688.2024.2364800
Leif Andersen, Dominique Bang
{"title":"Spike and hike modeling for interest rate derivatives: with an application to SOFR caplets","authors":"Leif Andersen, Dominique Bang","doi":"10.1080/14697688.2024.2364800","DOIUrl":"https://doi.org/10.1080/14697688.2024.2364800","url":null,"abstract":"","PeriodicalId":20747,"journal":{"name":"Quantitative Finance","volume":null,"pages":null},"PeriodicalIF":1.5,"publicationDate":"2024-07-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141644247","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2024-07-16DOI: 10.1080/14697688.2024.2372053
Christian Bongiorno, Damien Challet
The Average Oracle, a simple and very fast covariance filtering method, is shown to yield superior Sharpe ratios than the current state-of-the-art (and complex) methods, Dynamic Conditional Covaria...
{"title":"Covariance matrix filtering and portfolio optimisation: the average oracle vs non-linear shrinkage and all the variants of DCC-NLS","authors":"Christian Bongiorno, Damien Challet","doi":"10.1080/14697688.2024.2372053","DOIUrl":"https://doi.org/10.1080/14697688.2024.2372053","url":null,"abstract":"The Average Oracle, a simple and very fast covariance filtering method, is shown to yield superior Sharpe ratios than the current state-of-the-art (and complex) methods, Dynamic Conditional Covaria...","PeriodicalId":20747,"journal":{"name":"Quantitative Finance","volume":null,"pages":null},"PeriodicalIF":1.3,"publicationDate":"2024-07-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141940719","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2024-07-15DOI: 10.1080/14697688.2024.2367680
Mohammed Salek, Damien Challet, Ioane Muni Toke
Equity auctions display several distinctive characteristics in contrast to continuous trading. As the auction time approaches, the rate of events accelerates causing a substantial liquidity buildup...
{"title":"Equity auction dynamics: latent liquidity models with activity acceleration","authors":"Mohammed Salek, Damien Challet, Ioane Muni Toke","doi":"10.1080/14697688.2024.2367680","DOIUrl":"https://doi.org/10.1080/14697688.2024.2367680","url":null,"abstract":"Equity auctions display several distinctive characteristics in contrast to continuous trading. As the auction time approaches, the rate of events accelerates causing a substantial liquidity buildup...","PeriodicalId":20747,"journal":{"name":"Quantitative Finance","volume":null,"pages":null},"PeriodicalIF":1.3,"publicationDate":"2024-07-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141719787","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2024-07-12DOI: 10.1080/14697688.2024.2364804
V. Lucic, A. Sepp
Currently, the most liquidly traded options on the crypto underlying are the so-called inverse options. An inverse option contract is quoted and traded in the units of the underlying cryptocurrency...
{"title":"Valuation and hedging of cryptocurrency inverse options","authors":"V. Lucic, A. Sepp","doi":"10.1080/14697688.2024.2364804","DOIUrl":"https://doi.org/10.1080/14697688.2024.2364804","url":null,"abstract":"Currently, the most liquidly traded options on the crypto underlying are the so-called inverse options. An inverse option contract is quoted and traded in the units of the underlying cryptocurrency...","PeriodicalId":20747,"journal":{"name":"Quantitative Finance","volume":null,"pages":null},"PeriodicalIF":1.3,"publicationDate":"2024-07-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141608674","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2024-07-08DOI: 10.1080/14697688.2024.2371479
Masayuki Ando, Masaaki Fukasawa
A constant weight asset allocation is a popular investment strategy and is optimal under a suitable continuous model. We study the tracking error for the target continuous rebalancing strategy by a...
{"title":"When to efficiently rebalance a portfolio","authors":"Masayuki Ando, Masaaki Fukasawa","doi":"10.1080/14697688.2024.2371479","DOIUrl":"https://doi.org/10.1080/14697688.2024.2371479","url":null,"abstract":"A constant weight asset allocation is a popular investment strategy and is optimal under a suitable continuous model. We study the tracking error for the target continuous rebalancing strategy by a...","PeriodicalId":20747,"journal":{"name":"Quantitative Finance","volume":null,"pages":null},"PeriodicalIF":1.3,"publicationDate":"2024-07-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141940718","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2024-07-04DOI: 10.1080/14697688.2024.2366963
Tong Pu, Yifei Zhang, Yiying Zhang
Systemic risk is the risk that a company- or industry-level risk could trigger a huge collapse of another or even the whole institution. Various systemic risk measures have been proposed in the lit...
{"title":"On joint marginal expected shortfall and associated contribution risk measures","authors":"Tong Pu, Yifei Zhang, Yiying Zhang","doi":"10.1080/14697688.2024.2366963","DOIUrl":"https://doi.org/10.1080/14697688.2024.2366963","url":null,"abstract":"Systemic risk is the risk that a company- or industry-level risk could trigger a huge collapse of another or even the whole institution. Various systemic risk measures have been proposed in the lit...","PeriodicalId":20747,"journal":{"name":"Quantitative Finance","volume":null,"pages":null},"PeriodicalIF":1.3,"publicationDate":"2024-07-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141566898","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2024-07-02DOI: 10.1080/14697688.2024.2368081
Federico Maglione
The Merton (On the pricing of corporate debt: The risk structure of interest rates. J. Finance, 1974, 29, 449–470) model is often considered the simplest structural model of default. Its famous mod...
默顿（论公司债务的定价：The risk structure of interest rates.J. Finance, 1974, 29, 449-470）模型通常被认为是最简单的违约结构模型。其著名的模型...
{"title":"Introducing and testing the Carr model of default","authors":"Federico Maglione","doi":"10.1080/14697688.2024.2368081","DOIUrl":"https://doi.org/10.1080/14697688.2024.2368081","url":null,"abstract":"The Merton (On the pricing of corporate debt: The risk structure of interest rates. J. Finance, 1974, 29, 449–470) model is often considered the simplest structural model of default. Its famous mod...","PeriodicalId":20747,"journal":{"name":"Quantitative Finance","volume":null,"pages":null},"PeriodicalIF":1.3,"publicationDate":"2024-07-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141566900","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2024-07-02DOI: 10.1080/14697688.2024.2358954
Gilles Boevi Koumou
Using an innovative representation of the weight bound constrained Markowitz's (Portfolio selection. J. Finance, 1952, 7, 77–91) mean-variance model, developed using the support vector data descrip...
{"title":"Weight bound constraints in mean-variance models: a robust control theory foundation via machine learning","authors":"Gilles Boevi Koumou","doi":"10.1080/14697688.2024.2358954","DOIUrl":"https://doi.org/10.1080/14697688.2024.2358954","url":null,"abstract":"Using an innovative representation of the weight bound constrained Markowitz's (Portfolio selection. J. Finance, 1952, 7, 77–91) mean-variance model, developed using the support vector data descrip...","PeriodicalId":20747,"journal":{"name":"Quantitative Finance","volume":null,"pages":null},"PeriodicalIF":1.3,"publicationDate":"2024-07-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141608518","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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