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":null,"pages":null},"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":null,"pages":null},"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":null,"pages":null},"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}
Pub Date : 2024-01-09DOI: 10.1080/14697688.2023.2294799
Soohan Kim, Seok-Bae Yun, Hyeong-Ohk Bae, Muhyun Lee, Youngjoon Hong
Predicting volatility is important for asset predicting, option pricing and hedging strategies because it cannot be directly observed in the financial market. The dynamics of the volatility surface...
{"title":"Physics-informed convolutional transformer for predicting volatility surface","authors":"Soohan Kim, Seok-Bae Yun, Hyeong-Ohk Bae, Muhyun Lee, Youngjoon Hong","doi":"10.1080/14697688.2023.2294799","DOIUrl":"https://doi.org/10.1080/14697688.2023.2294799","url":null,"abstract":"Predicting volatility is important for asset predicting, option pricing and hedging strategies because it cannot be directly observed in the financial market. The dynamics of the volatility surface...","PeriodicalId":20747,"journal":{"name":"Quantitative Finance","volume":null,"pages":null},"PeriodicalIF":1.3,"publicationDate":"2024-01-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139411830","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 : 2024-01-04DOI: 10.1080/14697688.2023.2278502
Matteo Pelagatti, Giacomo Sbrana
The paper introduces a semiparametric estimator of the correlations among elliptically distributed random variables invariant to any form of heteroscedasticity, robust to outliers, and asymptotical...
{"title":"Estimating correlations among elliptically distributed random variables under any form of heteroskedasticity","authors":"Matteo Pelagatti, Giacomo Sbrana","doi":"10.1080/14697688.2023.2278502","DOIUrl":"https://doi.org/10.1080/14697688.2023.2278502","url":null,"abstract":"The paper introduces a semiparametric estimator of the correlations among elliptically distributed random variables invariant to any form of heteroscedasticity, robust to outliers, and asymptotical...","PeriodicalId":20747,"journal":{"name":"Quantitative Finance","volume":null,"pages":null},"PeriodicalIF":1.3,"publicationDate":"2024-01-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139374094","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 : 2024-01-04DOI: 10.1080/14697688.2023.2286351
Álvaro Arroyo, Álvaro Cartea, Fernando Moreno-Pino, Stefan Zohren
One of the key decisions in execution strategies is the choice between a passive (liquidity providing) or an aggressive (liquidity taking) order to execute a trade in a limit order book (LOB). Esse...
{"title":"Deep attentive survival analysis in limit order books: estimating fill probabilities with convolutional-transformers","authors":"Álvaro Arroyo, Álvaro Cartea, Fernando Moreno-Pino, Stefan Zohren","doi":"10.1080/14697688.2023.2286351","DOIUrl":"https://doi.org/10.1080/14697688.2023.2286351","url":null,"abstract":"One of the key decisions in execution strategies is the choice between a passive (liquidity providing) or an aggressive (liquidity taking) order to execute a trade in a limit order book (LOB). Esse...","PeriodicalId":20747,"journal":{"name":"Quantitative Finance","volume":null,"pages":null},"PeriodicalIF":1.3,"publicationDate":"2024-01-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139373991","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 : 2023-12-19DOI: 10.1080/14697688.2023.2287134
Sini Guo, Jia-Wen Gu, Wai-Ki Ching, Benmeng Lyu
Online portfolio selection is attracting increasing attention in both artificial intelligence and finance communities due to its efficiency and practicability in deriving optimal investment strateg...
在线投资组合选择因其在推导最佳投资策略方面的高效性和实用性而日益受到人工智能和金融界的关注。
{"title":"Adaptive online mean-variance portfolio selection with transaction costs","authors":"Sini Guo, Jia-Wen Gu, Wai-Ki Ching, Benmeng Lyu","doi":"10.1080/14697688.2023.2287134","DOIUrl":"https://doi.org/10.1080/14697688.2023.2287134","url":null,"abstract":"Online portfolio selection is attracting increasing attention in both artificial intelligence and finance communities due to its efficiency and practicability in deriving optimal investment strateg...","PeriodicalId":20747,"journal":{"name":"Quantitative Finance","volume":null,"pages":null},"PeriodicalIF":1.3,"publicationDate":"2023-12-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138821087","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 : 2023-12-19DOI: 10.1080/14697688.2023.2282657
Tao Chen, Mike Ludkovski, Moritz Voß
We investigate optimal order execution problems in discrete time with instantaneous price impact and stochastic resilience. First, in the setting of linear transient price impact we derive a closed...
{"title":"On parametric optimal execution and machine learning surrogates","authors":"Tao Chen, Mike Ludkovski, Moritz Voß","doi":"10.1080/14697688.2023.2282657","DOIUrl":"https://doi.org/10.1080/14697688.2023.2282657","url":null,"abstract":"We investigate optimal order execution problems in discrete time with instantaneous price impact and stochastic resilience. First, in the setting of linear transient price impact we derive a closed...","PeriodicalId":20747,"journal":{"name":"Quantitative Finance","volume":null,"pages":null},"PeriodicalIF":1.3,"publicationDate":"2023-12-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139028442","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 : 2023-12-19DOI: 10.1080/14697688.2023.2288871
Andreas Celary, Zehra Eksi-Altay, Paul Krühner
We consider an HJM model setting for Markov-chain modulated forward rates. The underlying Markov chain is assumed to induce regime switches on the forward curve dynamics. Our primary focus is on th...
{"title":"Regime-switching affine term structures","authors":"Andreas Celary, Zehra Eksi-Altay, Paul Krühner","doi":"10.1080/14697688.2023.2288871","DOIUrl":"https://doi.org/10.1080/14697688.2023.2288871","url":null,"abstract":"We consider an HJM model setting for Markov-chain modulated forward rates. The underlying Markov chain is assumed to induce regime switches on the forward curve dynamics. Our primary focus is on th...","PeriodicalId":20747,"journal":{"name":"Quantitative Finance","volume":null,"pages":null},"PeriodicalIF":1.3,"publicationDate":"2023-12-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139028674","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 : 2023-12-03DOI: 10.1080/14697688.2023.2273414
O. Bonesini, G. Callegaro, A. Jacquier
We develop a product functional quantization of rough volatility. Since the optimal quantizers can be computed offline, this new technique, built on the insightful works by [Luschgy, H. and Pagès, ...
{"title":"Functional quantization of rough volatility and applications to volatility derivatives","authors":"O. Bonesini, G. Callegaro, A. Jacquier","doi":"10.1080/14697688.2023.2273414","DOIUrl":"https://doi.org/10.1080/14697688.2023.2273414","url":null,"abstract":"We develop a product functional quantization of rough volatility. Since the optimal quantizers can be computed offline, this new technique, built on the insightful works by [Luschgy, H. and Pagès, ...","PeriodicalId":20747,"journal":{"name":"Quantitative Finance","volume":null,"pages":null},"PeriodicalIF":1.3,"publicationDate":"2023-12-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138531654","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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