Pub Date : 2024-06-09DOI: 10.1080/14697688.2024.2357727
Michele Azzone, Lorenzo Torricelli
{"title":"On the implied volatility skew outside the at-the-money point","authors":"Michele Azzone, Lorenzo Torricelli","doi":"10.1080/14697688.2024.2357727","DOIUrl":"https://doi.org/10.1080/14697688.2024.2357727","url":null,"abstract":"","PeriodicalId":20747,"journal":{"name":"Quantitative Finance","volume":null,"pages":null},"PeriodicalIF":1.3,"publicationDate":"2024-06-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141366875","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 : 2024-06-06DOI: 10.1080/14697688.2024.2356239
Zhiwen Dai, Lingfei Li
We develop a novel deep learning method for the enhanced index tracking problem, which aims to outperform an index while effectively controlling the tracking error. We generate a dynamic trading policy from a neural network that accepts a set of features as inputs. We design four blocks in the neural network architecture to handle different types of features, including regimes of the index and stocks, their short-term characteristics, and the current allocation. Outputs from the blocks are integrated into the final output that changes the portfolio allocation. We test our model on several indexes in empirical studies based on real market data. Out-of-sample results reveal the importance of different features and demonstrate the ability of our method in obtaining excess returns while effectively controlling the tracking error, downside risk, and transaction costs.
{"title":"Deep learning for enhanced index tracking","authors":"Zhiwen Dai, Lingfei Li","doi":"10.1080/14697688.2024.2356239","DOIUrl":"https://doi.org/10.1080/14697688.2024.2356239","url":null,"abstract":"We develop a novel deep learning method for the enhanced index tracking problem, which aims to outperform an index while effectively controlling the tracking error. We generate a dynamic trading policy from a neural network that accepts a set of features as inputs. We design four blocks in the neural network architecture to handle different types of features, including regimes of the index and stocks, their short-term characteristics, and the current allocation. Outputs from the blocks are integrated into the final output that changes the portfolio allocation. We test our model on several indexes in empirical studies based on real market data. Out-of-sample results reveal the importance of different features and demonstrate the ability of our method in obtaining excess returns while effectively controlling the tracking error, downside risk, and transaction costs.","PeriodicalId":20747,"journal":{"name":"Quantitative Finance","volume":null,"pages":null},"PeriodicalIF":1.3,"publicationDate":"2024-06-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141380269","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 : 2024-06-05DOI: 10.1080/14697688.2024.2357729
Longjie Xu, Yufeng Shi
{"title":"Optimal trading and competition with information in the price impact model","authors":"Longjie Xu, Yufeng Shi","doi":"10.1080/14697688.2024.2357729","DOIUrl":"https://doi.org/10.1080/14697688.2024.2357729","url":null,"abstract":"","PeriodicalId":20747,"journal":{"name":"Quantitative Finance","volume":null,"pages":null},"PeriodicalIF":1.3,"publicationDate":"2024-06-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141383044","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":null,"pages":null},"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":null,"pages":null},"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":null,"pages":null},"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":null,"pages":null},"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":null,"pages":null},"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}
Pub Date : 2024-05-19DOI: 10.1080/14697688.2024.2339374
Xiaohang Ren, Ya Xiao, Feng He, Giray Gozgor
{"title":"The contagion of extreme risks between fossil and green energy markets: evidence from China","authors":"Xiaohang Ren, Ya Xiao, Feng He, Giray Gozgor","doi":"10.1080/14697688.2024.2339374","DOIUrl":"https://doi.org/10.1080/14697688.2024.2339374","url":null,"abstract":"","PeriodicalId":20747,"journal":{"name":"Quantitative Finance","volume":null,"pages":null},"PeriodicalIF":1.3,"publicationDate":"2024-05-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141124677","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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