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":null,"pages":null},"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}
Pub Date : 2024-04-23DOI: 10.1080/14697688.2024.2336154
Lingfei Li, Pingping Zeng, Gongqiu Zhang
{"title":"Speed and duration of drawdown under general Markov models","authors":"Lingfei Li, Pingping Zeng, Gongqiu Zhang","doi":"10.1080/14697688.2024.2336154","DOIUrl":"https://doi.org/10.1080/14697688.2024.2336154","url":null,"abstract":"","PeriodicalId":20747,"journal":{"name":"Quantitative Finance","volume":null,"pages":null},"PeriodicalIF":1.3,"publicationDate":"2024-04-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140666797","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}
{"title":"Optimal operation of a hydropower plant in a stochastic environment","authors":"Isabel Figuerola-Ferretti, Eduardo Schwartz, Ignacio Segarra","doi":"10.1080/14697688.2024.2332384","DOIUrl":"https://doi.org/10.1080/14697688.2024.2332384","url":null,"abstract":"","PeriodicalId":20747,"journal":{"name":"Quantitative Finance","volume":null,"pages":null},"PeriodicalIF":1.3,"publicationDate":"2024-04-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140675627","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 : 2024-04-12DOI: 10.1080/14697688.2024.2332375
Fabio Baschetti, Giacomo Bormetti, Pietro Rossi
We propose a neural network-based approach to calibrating stochastic volatility models, which combines the pioneering grid approach by Horvath et al. [Deep learning volatility: A deep neural networ...
{"title":"Deep calibration with random grids","authors":"Fabio Baschetti, Giacomo Bormetti, Pietro Rossi","doi":"10.1080/14697688.2024.2332375","DOIUrl":"https://doi.org/10.1080/14697688.2024.2332375","url":null,"abstract":"We propose a neural network-based approach to calibrating stochastic volatility models, which combines the pioneering grid approach by Horvath et al. [Deep learning volatility: A deep neural networ...","PeriodicalId":20747,"journal":{"name":"Quantitative Finance","volume":null,"pages":null},"PeriodicalIF":1.3,"publicationDate":"2024-04-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140595867","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 : 2024-04-12DOI: 10.1080/14697688.2024.2330612
Jufang Liang, Dan Yang, Qian Han
We show that tail risk aversion, proxied by the skewness risk premium implied from the SSE 50 ETF options market, explains a significant proportion of the unusually deep backwardation of index futu...
{"title":"Tail risk aversion and backwardation of index futures","authors":"Jufang Liang, Dan Yang, Qian Han","doi":"10.1080/14697688.2024.2330612","DOIUrl":"https://doi.org/10.1080/14697688.2024.2330612","url":null,"abstract":"We show that tail risk aversion, proxied by the skewness risk premium implied from the SSE 50 ETF options market, explains a significant proportion of the unusually deep backwardation of index futu...","PeriodicalId":20747,"journal":{"name":"Quantitative Finance","volume":null,"pages":null},"PeriodicalIF":1.3,"publicationDate":"2024-04-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140595655","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 : 2024-04-12DOI: 10.1080/14697688.2024.2335241
Kim Ristolainen
This research explores the factors contributing to information sensitivity in debt markets, focusing on the potential influences of uncertainty, economic performance, and journalist-dependent langu...
本研究探讨了导致债务市场信息敏感性的因素，重点关注不确定性、经济表现和记者依赖语言的潜在影响。
{"title":"Narrative triggers of information sensitivity","authors":"Kim Ristolainen","doi":"10.1080/14697688.2024.2335241","DOIUrl":"https://doi.org/10.1080/14697688.2024.2335241","url":null,"abstract":"This research explores the factors contributing to information sensitivity in debt markets, focusing on the potential influences of uncertainty, economic performance, and journalist-dependent langu...","PeriodicalId":20747,"journal":{"name":"Quantitative Finance","volume":null,"pages":null},"PeriodicalIF":1.3,"publicationDate":"2024-04-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140595766","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 : 2024-04-08DOI: 10.1080/14697688.2024.2329194
José-Manuel Pe na, Fernando Suárez, Omar Larré, Domingo Ramírez, Arturo Cifuentes
We propose a new approach to portfolio optimization that utilizes a unique combination of synthetic data generation and a CVaR-constraint. We formulate the portfolio optimization problem as an asse...
{"title":"A modified CTGAN-plus-features-based method for optimal asset allocation","authors":"José-Manuel Pe na, Fernando Suárez, Omar Larré, Domingo Ramírez, Arturo Cifuentes","doi":"10.1080/14697688.2024.2329194","DOIUrl":"https://doi.org/10.1080/14697688.2024.2329194","url":null,"abstract":"We propose a new approach to portfolio optimization that utilizes a unique combination of synthetic data generation and a CVaR-constraint. We formulate the portfolio optimization problem as an asse...","PeriodicalId":20747,"journal":{"name":"Quantitative Finance","volume":null,"pages":null},"PeriodicalIF":1.3,"publicationDate":"2024-04-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140595658","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 : 2024-03-26DOI: 10.1080/14697688.2024.2327065
Gustavo Libório Rocha Lima, Regis Augusto Ely, Daniel Oliveira Cajueiro
This work aims to investigate the behavior of financial agents in a complex setting where they interact and learn about the environment. Using the bottom-up approach of agent-based models, we simul...
{"title":"Interactions between monetary and macroprudential policies","authors":"Gustavo Libório Rocha Lima, Regis Augusto Ely, Daniel Oliveira Cajueiro","doi":"10.1080/14697688.2024.2327065","DOIUrl":"https://doi.org/10.1080/14697688.2024.2327065","url":null,"abstract":"This work aims to investigate the behavior of financial agents in a complex setting where they interact and learn about the environment. Using the bottom-up approach of agent-based models, we simul...","PeriodicalId":20747,"journal":{"name":"Quantitative Finance","volume":null,"pages":null},"PeriodicalIF":1.3,"publicationDate":"2024-03-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140301869","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 : 2024-03-22DOI: 10.1080/14697688.2024.2325158
Luca Capriotti, Mike Giles
Following the seminal ‘Smoking Adjoint’ paper by Giles and Glasserman [Smoking adjoints: Fast monte carlo greeks. Risk, 2006, 19, 88–92], the development of Adjoint Algorithmic Differentiation (AAD...
继 Giles 和 Glasserman 的开创性论文 "吸烟邻接"[Smoking adjoints: Fast monte carlo greeks. Risk, 2006, 19, 88-92] 之后，邻接算法微分（AAD...
{"title":"15 years of Adjoint Algorithmic Differentiation (AAD) in finance","authors":"Luca Capriotti, Mike Giles","doi":"10.1080/14697688.2024.2325158","DOIUrl":"https://doi.org/10.1080/14697688.2024.2325158","url":null,"abstract":"Following the seminal ‘Smoking Adjoint’ paper by Giles and Glasserman [Smoking adjoints: Fast monte carlo greeks. Risk, 2006, 19, 88–92], the development of Adjoint Algorithmic Differentiation (AAD...","PeriodicalId":20747,"journal":{"name":"Quantitative Finance","volume":null,"pages":null},"PeriodicalIF":1.3,"publicationDate":"2024-03-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140199213","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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