Pub Date : 2024-06-19DOI: 10.1080/14697688.2024.2358963
Yutong Lu, Gesine Reinert, Mihai Cucuringu
The time proximity of high-frequency trades can contain a salient signal. In this paper, we propose a method to classify every trade, based on its proximity with other trades in the market within a...
{"title":"Trade co-occurrence, trade flow decomposition and conditional order imbalance in equity markets","authors":"Yutong Lu, Gesine Reinert, Mihai Cucuringu","doi":"10.1080/14697688.2024.2358963","DOIUrl":"https://doi.org/10.1080/14697688.2024.2358963","url":null,"abstract":"The time proximity of high-frequency trades can contain a salient signal. In this paper, we propose a method to classify every trade, based on its proximity with other trades in the market within a...","PeriodicalId":20747,"journal":{"name":"Quantitative Finance","volume":"16 1","pages":""},"PeriodicalIF":1.3,"publicationDate":"2024-06-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141552981","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 : 2024-06-18DOI: 10.1080/14697688.2024.2363863
Ruey-Ching Hwang, Yi-Chi Chen
Predicting the corporate default probability accurately is the core of credit risk management. There has been a relatively small amount of the literature on predicting a firm’s forward default risk...
准确预测企业违约概率是信用风险管理的核心。关于预测企业远期违约风险的文献相对较少...
{"title":"Predicting forward default probabilities of firms: a discrete-time forward hazard model with firm-specific frailty","authors":"Ruey-Ching Hwang, Yi-Chi Chen","doi":"10.1080/14697688.2024.2363863","DOIUrl":"https://doi.org/10.1080/14697688.2024.2363863","url":null,"abstract":"Predicting the corporate default probability accurately is the core of credit risk management. There has been a relatively small amount of the literature on predicting a firm’s forward default risk...","PeriodicalId":20747,"journal":{"name":"Quantitative Finance","volume":"24 1","pages":""},"PeriodicalIF":1.3,"publicationDate":"2024-06-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141552984","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 : 2024-06-13DOI: 10.1080/14697688.2024.2356234
Antoine Jacquier, Mugad Oumgari
The contributions of this paper are twofold: we define and investigate the properties of a short rate model driven by a general Gaussian Volterra process and, after defining precisely a notion of c...
{"title":"Interest rate convexity in a Gaussian framework","authors":"Antoine Jacquier, Mugad Oumgari","doi":"10.1080/14697688.2024.2356234","DOIUrl":"https://doi.org/10.1080/14697688.2024.2356234","url":null,"abstract":"The contributions of this paper are twofold: we define and investigate the properties of a short rate model driven by a general Gaussian Volterra process and, after defining precisely a notion of c...","PeriodicalId":20747,"journal":{"name":"Quantitative Finance","volume":"25 1","pages":""},"PeriodicalIF":1.3,"publicationDate":"2024-06-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141552982","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 : 2024-06-11DOI: 10.1080/14697688.2024.2357733
Chendi Ni, Yuying Li, Peter Forsyth
Motivated by the current global high inflation scenario, we aim to discover a dynamic multi-period allocation strategy to optimally outperform a passive benchmark while adhering to a bounded levera...
{"title":"Neural network approach to portfolio optimization with leverage constraints: a case study on high inflation investment","authors":"Chendi Ni, Yuying Li, Peter Forsyth","doi":"10.1080/14697688.2024.2357733","DOIUrl":"https://doi.org/10.1080/14697688.2024.2357733","url":null,"abstract":"Motivated by the current global high inflation scenario, we aim to discover a dynamic multi-period allocation strategy to optimally outperform a passive benchmark while adhering to a bounded levera...","PeriodicalId":20747,"journal":{"name":"Quantitative Finance","volume":"12 1","pages":""},"PeriodicalIF":1.3,"publicationDate":"2024-06-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141552983","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 : 2024-05-29DOI: 10.1080/14697688.2024.2349019
Dingjun Yao, Jinxia Zhu
We investigate the optimal reinsurance problem considering a more realistic two-layer design involving excess-of-loss reinsurance and multiple reinsurers. Unlike the commonly assumed single-layer d...
{"title":"Optimal reinsurance under a new design: two layers and multiple reinsurers","authors":"Dingjun Yao, Jinxia Zhu","doi":"10.1080/14697688.2024.2349019","DOIUrl":"https://doi.org/10.1080/14697688.2024.2349019","url":null,"abstract":"We investigate the optimal reinsurance problem considering a more realistic two-layer design involving excess-of-loss reinsurance and multiple reinsurers. Unlike the commonly assumed single-layer d...","PeriodicalId":20747,"journal":{"name":"Quantitative Finance","volume":"23 1","pages":""},"PeriodicalIF":1.3,"publicationDate":"2024-05-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141512347","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 : 2024-05-29DOI: 10.1080/14697688.2024.2342897
Robert A. Jarrow, Simon S. Kwok
This paper posits that when an asset exhibits a bubble, its price process can be unbounded from above in finite time with positive probability if a quadratic variation (QV) risk premium is large en...
{"title":"A study on asset price bubble dynamics: explosive trend or quadratic variation?","authors":"Robert A. Jarrow, Simon S. Kwok","doi":"10.1080/14697688.2024.2342897","DOIUrl":"https://doi.org/10.1080/14697688.2024.2342897","url":null,"abstract":"This paper posits that when an asset exhibits a bubble, its price process can be unbounded from above in finite time with positive probability if a quadratic variation (QV) risk premium is large en...","PeriodicalId":20747,"journal":{"name":"Quantitative Finance","volume":"22 1","pages":""},"PeriodicalIF":1.3,"publicationDate":"2024-05-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141512433","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 : 2024-05-29DOI: 10.1080/14697688.2024.2351457
Fengpei Li, Vitalii Ihnatiuk, Yu Chen, Jiahe Lin, Ryan J. Kinnear, Anderson Schneider, Yuriy Nevmyvaka, Henry Lam
Market impact is an important problem faced by large institutional investors and active market participants. In this paper, we rigorously investigate whether price trajectory data from the metaorde...
{"title":"Do price trajectory data increase the efficiency of market impact estimation?","authors":"Fengpei Li, Vitalii Ihnatiuk, Yu Chen, Jiahe Lin, Ryan J. Kinnear, Anderson Schneider, Yuriy Nevmyvaka, Henry Lam","doi":"10.1080/14697688.2024.2351457","DOIUrl":"https://doi.org/10.1080/14697688.2024.2351457","url":null,"abstract":"Market impact is an important problem faced by large institutional investors and active market participants. In this paper, we rigorously investigate whether price trajectory data from the metaorde...","PeriodicalId":20747,"journal":{"name":"Quantitative Finance","volume":"186 1","pages":""},"PeriodicalIF":1.3,"publicationDate":"2024-05-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141512346","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 : 2024-05-29DOI: 10.1080/14697688.2024.2353874
Shican Liu
Risk aversion rate plays a significant role in mean-variance portfolio selection. Most existing literature assumes it to be constant or wealth dependent, which is unrealistic. In this study, I cont...
{"title":"Mean-variance portfolio with wealth and volatility dependent risk aversion","authors":"Shican Liu","doi":"10.1080/14697688.2024.2353874","DOIUrl":"https://doi.org/10.1080/14697688.2024.2353874","url":null,"abstract":"Risk aversion rate plays a significant role in mean-variance portfolio selection. Most existing literature assumes it to be constant or wealth dependent, which is unrealistic. In this study, I cont...","PeriodicalId":20747,"journal":{"name":"Quantitative Finance","volume":"204 1","pages":""},"PeriodicalIF":1.3,"publicationDate":"2024-05-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141512434","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 : 2024-05-29DOI: 10.1080/14697688.2024.2352542
An Chen, Thai Nguyen
We present and solve an optimal asset allocation problem under a weighted limited expected loss (WLEL) constraint. This formulation encompasses the risk management problem with a limited expected l...
{"title":"Risk management under weighted limited expected loss","authors":"An Chen, Thai Nguyen","doi":"10.1080/14697688.2024.2352542","DOIUrl":"https://doi.org/10.1080/14697688.2024.2352542","url":null,"abstract":"We present and solve an optimal asset allocation problem under a weighted limited expected loss (WLEL) constraint. This formulation encompasses the risk management problem with a limited expected l...","PeriodicalId":20747,"journal":{"name":"Quantitative Finance","volume":"29 1","pages":""},"PeriodicalIF":1.3,"publicationDate":"2024-05-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141512432","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}
Financial order flow exhibits a remarkable level of persistence, wherein buy (sell) trades are often followed by subsequent buy (sell) trades over extended periods. This persistence can be attribut...
{"title":"Online learning of order flow and market impact with Bayesian change-point detection methods","authors":"Ioanna-Yvonni Tsaknaki, Fabrizio Lillo, Piero Mazzarisi","doi":"10.1080/14697688.2024.2337300","DOIUrl":"https://doi.org/10.1080/14697688.2024.2337300","url":null,"abstract":"Financial order flow exhibits a remarkable level of persistence, wherein buy (sell) trades are often followed by subsequent buy (sell) trades over extended periods. This persistence can be attribut...","PeriodicalId":20747,"journal":{"name":"Quantitative Finance","volume":"13 1","pages":""},"PeriodicalIF":1.3,"publicationDate":"2024-05-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141512435","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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