Pub Date : 2024-02-14DOI: 10.1080/14697688.2024.2308069
Christian Oliver Ewald, Kevin Kamm
We study the effect of stochastic feeding costs on animal-based commodities with particular focus on aquaculture. More specifically, we use soybean futures to infer on the stochastic behavior of sa...
{"title":"On the impact of feeding cost risk in aquaculture valuation and decision making","authors":"Christian Oliver Ewald, Kevin Kamm","doi":"10.1080/14697688.2024.2308069","DOIUrl":"https://doi.org/10.1080/14697688.2024.2308069","url":null,"abstract":"We study the effect of stochastic feeding costs on animal-based commodities with particular focus on aquaculture. More specifically, we use soybean futures to infer on the stochastic behavior of sa...","PeriodicalId":20747,"journal":{"name":"Quantitative Finance","volume":"25 1","pages":""},"PeriodicalIF":1.3,"publicationDate":"2024-02-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139753030","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 : 2024-02-13DOI: 10.1080/14697688.2023.2299466
Milena Vuletić, Felix Prenzel, Mihai Cucuringu
We investigate the use of Generative Adversarial Networks (GANs) for probabilistic forecasting of financial time series. To this end, we introduce a novel economics-driven loss function for the gen...
{"title":"Fin-GAN: forecasting and classifying financial time series via generative adversarial networks","authors":"Milena Vuletić, Felix Prenzel, Mihai Cucuringu","doi":"10.1080/14697688.2023.2299466","DOIUrl":"https://doi.org/10.1080/14697688.2023.2299466","url":null,"abstract":"We investigate the use of Generative Adversarial Networks (GANs) for probabilistic forecasting of financial time series. To this end, we introduce a novel economics-driven loss function for the gen...","PeriodicalId":20747,"journal":{"name":"Quantitative Finance","volume":"134 1","pages":""},"PeriodicalIF":1.3,"publicationDate":"2024-02-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139903168","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 : 2024-02-13DOI: 10.1080/14697688.2024.2307493
M. Burzoni, A. Doldi, E. Monzio Compagnoni
We consider the problem of optimally sharing a financial position among agents with potentially different reference risk measures. The problem is equivalent to computing the infimal convolution of ...
{"title":"Risk sharing with deep neural networks","authors":"M. Burzoni, A. Doldi, E. Monzio Compagnoni","doi":"10.1080/14697688.2024.2307493","DOIUrl":"https://doi.org/10.1080/14697688.2024.2307493","url":null,"abstract":"We consider the problem of optimally sharing a financial position among agents with potentially different reference risk measures. The problem is equivalent to computing the infimal convolution of ...","PeriodicalId":20747,"journal":{"name":"Quantitative Finance","volume":"256 1","pages":""},"PeriodicalIF":1.3,"publicationDate":"2024-02-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139903156","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 : 2024-02-13DOI: 10.1080/14697688.2023.2301419
Paweł Polak, Urban Ulrych
This paper introduces a non-Gaussian dynamic currency hedging strategy for globally diversified investors with ambiguity. It provides theoretical and empirical evidence that, under the stylized fac...
{"title":"Dynamic currency hedging with non-Gaussianity and ambiguity","authors":"Paweł Polak, Urban Ulrych","doi":"10.1080/14697688.2023.2301419","DOIUrl":"https://doi.org/10.1080/14697688.2023.2301419","url":null,"abstract":"This paper introduces a non-Gaussian dynamic currency hedging strategy for globally diversified investors with ambiguity. It provides theoretical and empirical evidence that, under the stylized fac...","PeriodicalId":20747,"journal":{"name":"Quantitative Finance","volume":"11 1","pages":""},"PeriodicalIF":1.3,"publicationDate":"2024-02-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139903324","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 : 2024-02-06DOI: 10.1080/14697688.2024.2302827
Victor Le Coz, Iacopo Mastromatteo, Damien Challet, Michael Benzaquen
Trading pressure from one asset can move the price of another, a phenomenon referred to as cross impact. Using tick-by-tick data spanning 5 years for 500 assets listed in the United States, we iden...
{"title":"When is cross impact relevant?","authors":"Victor Le Coz, Iacopo Mastromatteo, Damien Challet, Michael Benzaquen","doi":"10.1080/14697688.2024.2302827","DOIUrl":"https://doi.org/10.1080/14697688.2024.2302827","url":null,"abstract":"Trading pressure from one asset can move the price of another, a phenomenon referred to as cross impact. Using tick-by-tick data spanning 5 years for 500 assets listed in the United States, we iden...","PeriodicalId":20747,"journal":{"name":"Quantitative Finance","volume":"1 1","pages":""},"PeriodicalIF":1.3,"publicationDate":"2024-02-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139753203","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 : 2024-01-31DOI: 10.1080/14697688.2023.2291081
Mesias Alfeus, Christina S. Nikitopoulos, Ludger Overbeck
This paper analyses the attributes and the significance of the roughness of oil market volatility. We employ unspanned stochastic volatility models driven by rough Brownian motions that yield semi-...
{"title":"Implied roughness in the term structure of oil market volatility","authors":"Mesias Alfeus, Christina S. Nikitopoulos, Ludger Overbeck","doi":"10.1080/14697688.2023.2291081","DOIUrl":"https://doi.org/10.1080/14697688.2023.2291081","url":null,"abstract":"This paper analyses the attributes and the significance of the roughness of oil market volatility. We employ unspanned stochastic volatility models driven by rough Brownian motions that yield semi-...","PeriodicalId":20747,"journal":{"name":"Quantitative Finance","volume":"8 1","pages":""},"PeriodicalIF":1.3,"publicationDate":"2024-01-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139753235","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 : 2024-01-22DOI: 10.1080/14697688.2024.2302055
Jim Gatheral, Radoš Radoičić
Previously, in Gatheral and Radoičić (Rational approximation of the rough Heston solution. Int. J. Theor. Appl. Finance, 2019, 22(3), 1950010), we derived a rational approximation of the solution o...
此前，在 Gatheral 和 Radoičić (Rational approximation of the rough Heston solution.Int.J. Theor.Appl.Finance，2019，22（3），1950010）中，我们推导出了粗略赫斯顿解的有理近似。
{"title":"A generalization of the rational rough Heston approximation","authors":"Jim Gatheral, Radoš Radoičić","doi":"10.1080/14697688.2024.2302055","DOIUrl":"https://doi.org/10.1080/14697688.2024.2302055","url":null,"abstract":"Previously, in Gatheral and Radoičić (Rational approximation of the rough Heston solution. Int. J. Theor. Appl. Finance, 2019, 22(3), 1950010), we derived a rational approximation of the solution o...","PeriodicalId":20747,"journal":{"name":"Quantitative Finance","volume":"14 1","pages":""},"PeriodicalIF":1.3,"publicationDate":"2024-01-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139515590","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 : 2024-01-19DOI: 10.1080/14697688.2023.2300664
Zongxia Liang, Yang Liu, Ming Ma, Rahul Pothi Vinoth
We propose a general family of piecewise hyperbolic absolute risk aversion (PHARA) utilities, including many classic and non-standard utilities as examples. A typical application is the composition...
{"title":"A unified formula of the optimal portfolio for piecewise hyperbolic absolute risk aversion utilities","authors":"Zongxia Liang, Yang Liu, Ming Ma, Rahul Pothi Vinoth","doi":"10.1080/14697688.2023.2300664","DOIUrl":"https://doi.org/10.1080/14697688.2023.2300664","url":null,"abstract":"We propose a general family of piecewise hyperbolic absolute risk aversion (PHARA) utilities, including many classic and non-standard utilities as examples. A typical application is the composition...","PeriodicalId":20747,"journal":{"name":"Quantitative Finance","volume":"2 1","pages":""},"PeriodicalIF":1.3,"publicationDate":"2024-01-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139515944","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 : 2024-01-15DOI: 10.1080/14697688.2023.2297730
Xiaohu Wang, Jun Yu, Chen Zhang
This paper investigates the performance of different forecasting formulas with fractional Brownian motion based on discrete and finite samples. Existing literature presents two formulas for generat...
{"title":"On the optimal forecast with the fractional Brownian motion","authors":"Xiaohu Wang, Jun Yu, Chen Zhang","doi":"10.1080/14697688.2023.2297730","DOIUrl":"https://doi.org/10.1080/14697688.2023.2297730","url":null,"abstract":"This paper investigates the performance of different forecasting formulas with fractional Brownian motion based on discrete and finite samples. Existing literature presents two formulas for generat...","PeriodicalId":20747,"journal":{"name":"Quantitative Finance","volume":"72 1","pages":""},"PeriodicalIF":1.3,"publicationDate":"2024-01-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139498958","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 : 2024-01-10DOI: 10.1080/14697688.2023.2281529
Marlon Fritz, Thomas Gries, Lukas Wiechers
We propose an indicator for detecting anomalous stock market valuation in real time such that market participants receive timely signals so as to be able to take stabilizing action. Unlike existing...
{"title":"An early indicator for anomalous stock market performance","authors":"Marlon Fritz, Thomas Gries, Lukas Wiechers","doi":"10.1080/14697688.2023.2281529","DOIUrl":"https://doi.org/10.1080/14697688.2023.2281529","url":null,"abstract":"We propose an indicator for detecting anomalous stock market valuation in real time such that market participants receive timely signals so as to be able to take stabilizing action. Unlike existing...","PeriodicalId":20747,"journal":{"name":"Quantitative Finance","volume":"52 1","pages":""},"PeriodicalIF":1.3,"publicationDate":"2024-01-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139411865","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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