Finance and Stochastics最新文献

英文中文

Speculative trading, prospect theory and transaction costs 投机交易、前景理论与交易成本

IF 1.7 2区经济学 Q3 BUSINESS, FINANCE

Finance and Stochastics

Pub Date : 2022-12-15 DOI: 10.1007/s00780-022-00494-7

Alex S. L. Tse, Harry Zheng

A speculative agent with prospect theory preference chooses the optimal time to purchase and then to sell an indivisible risky asset to maximise the expected utility of the round-trip profit net of transaction costs. The optimisation problem is formulated as a sequential optimal stopping problem, and we provide a complete characterisation of the solution. Depending on the preference and market parameters, the optimal strategy can be “buy and hold”, “buy low, sell high”, “buy high, sell higher” or “no trading”. Behavioural preference and market friction interact in a subtle way which yields surprising implications on the agent’s trading patterns. For example, increasing the market entry fee does not necessarily curb speculative trading, but instead may induce a higher reference point under which the agent becomes more risk-seeking and in turn is more likely to trade.

具有前景理论偏好的投机代理人选择购买和出售不可分割风险资产的最佳时间，以使交易成本的往返净利润的预期效用最大化。优化问题被表述为一个顺序最优停止问题，我们提供了解决方案的完整特征。根据偏好和市场参数的不同，最优策略可以是“买入并持有”、“低买高卖”、“高买高卖”或“不交易”。行为偏好和市场摩擦以一种微妙的方式相互作用，对代理人的交易模式产生了令人惊讶的影响。例如，增加市场准入费并不一定会抑制投机交易，反而可能导致更高的参考点，在这个参考点下，代理人变得更愿意寻求风险，从而更有可能进行交易。

引用次数: 0

Optimal execution with stochastic delay 具有随机延迟的最优执行

IF 1.7 2区经济学 Q3 BUSINESS, FINANCE

Finance and Stochastics

Pub Date : 2022-12-01 DOI: 10.1007/s00780-022-00491-w

Álvaro Cartea, Leandro Sánchez-Betancourt

We show how traders use marketable limit orders (MLOs) to liquidate a position over a trading window when there is latency in the marketplace. MLOs are liquidity-taking orders that specify a price limit and are for immediate execution only; however, if the price limit of the MLO precludes it from being filled, the exchange cancels the order. We frame our model as an impulse control problem with stochastic latency where the trader controls the times and the price limits of the MLOs sent to the exchange. We show that impatient liquidity takers submit MLOs that may walk the book (capped by the limit price) to increase the probability of filling the trades. On the other hand, patient liquidity takers use speculative MLOs that are only filled if there has been an advantageous move in prices over the latency period. Patient traders who are fast do not use their speed to hit the quotes they observe, or to finish the execution programme early; they use speed to complete the execution programme with as many speculative MLOs as possible. We use foreign exchange data to implement the random-latency-optimal strategy and to compare it with four benchmarks. For patient traders, the random-latency-optimal strategy outperforms the benchmarks by an amount that is greater than the transaction costs paid by liquidity takers in foreign exchange markets. Around news announcements, the value of the outperformance is between two and ten times the value of the transaction costs. The superiority of the strategy is due to both the speculative MLOs that are filled and the price protection of the MLOs.

我们展示了当市场存在延迟时，交易者如何使用可交易限价单(MLOs)在交易窗口上平仓。mlo是指定价格限制并仅供立即执行的流动性接受订单;但是，如果MLO的价格限制使其无法填写，则交易所取消订单。我们将模型构建为具有随机延迟的脉冲控制问题，其中交易者控制发送到交易所的MLOs的时间和价格限制。我们表明，不耐烦的流动性接受者提交的MLOs可能会走账(由限价限制)，以增加填充交易的概率。另一方面，耐心的流动性接受者使用投机性MLOs，这些MLOs只有在价格在潜伏期内有有利变动时才会被填充。耐心的快速交易者不会利用他们的速度来达到他们观察到的报价，或者提前完成执行程序;他们利用速度来完成执行程序，并尽可能多地进行投机。我们使用外汇数据来实现随机延迟最优策略，并将其与四个基准进行比较。对于耐心的交易者来说，随机延迟最优策略比基准策略的表现要好得多，比外汇市场上流动性接受者支付的交易成本还要高。在新闻发布期间，业绩优胜的价值是交易成本价值的2到10倍。该策略的优势在于其所填充的投机性MLOs和MLOs的价格保护。

{"title":"Optimal execution with stochastic delay","authors":"Álvaro Cartea, Leandro Sánchez-Betancourt","doi":"10.1007/s00780-022-00491-w","DOIUrl":"https://doi.org/10.1007/s00780-022-00491-w","url":null,"abstract":"<p>We show how traders use marketable limit orders (MLOs) to liquidate a position over a trading window when there is latency in the marketplace. MLOs are liquidity-taking orders that specify a price limit and are for immediate execution only; however, if the price limit of the MLO precludes it from being filled, the exchange cancels the order. We frame our model as an impulse control problem with stochastic latency where the trader controls the times and the price limits of the MLOs sent to the exchange. We show that impatient liquidity takers submit MLOs that may walk the book (capped by the limit price) to increase the probability of filling the trades. On the other hand, patient liquidity takers use speculative MLOs that are only filled if there has been an advantageous move in prices over the latency period. Patient traders who are fast do not use their speed to hit the quotes they observe, or to finish the execution programme early; they use speed to complete the execution programme with as many speculative MLOs as possible. We use foreign exchange data to implement the random-latency-optimal strategy and to compare it with four benchmarks. For patient traders, the random-latency-optimal strategy outperforms the benchmarks by an amount that is greater than the transaction costs paid by liquidity takers in foreign exchange markets. Around news announcements, the value of the outperformance is between two and ten times the value of the transaction costs. The superiority of the strategy is due to both the speculative MLOs that are filled and the price protection of the MLOs.</p>","PeriodicalId":50447,"journal":{"name":"Finance and Stochastics","volume":"90 3","pages":""},"PeriodicalIF":1.7,"publicationDate":"2022-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138508724","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Hedging portfolio for a market model of degenerate diffusions 简并扩散市场模型下的对冲投资组合

IF 1.7 2区经济学 Q3 BUSINESS, FINANCE

Finance and Stochastics

Pub Date : 2022-11-30 DOI: 10.1080/17442508.2022.2150082

M. Çağlar, I. Demirel, A. Üstünel

We consider a semimartingale market model when the underlying diffusion has a singular volatility matrix and compute the hedging portfolio for a given payoff function. Recently, the representation problem for such degenerate diffusions as a stochastic integral with respect to a martingale has been completely settled. This representation and Malliavin calculus established further for the functionals of a degenerate diffusion process constitute the basis of the present work. Using the Clark–Hausmann–Bismut–Ocone type representation formula derived for these functionals, we prove a version of this formula under an equivalent martingale measure. This allows us to derive the hedging portfolio as a solution of a system of linear equations. The uniqueness of the solution is achieved by a projection idea that lies at the core of the martingale representation at the first place. We demonstrate the hedging strategy as explicitly as possible with some examples of the payoff function such as those used in exotic options, whose value at maturity depends on the prices over the entire time horizon.

我们考虑一个半鞅市场模型，当基础扩散具有一个奇异波动矩阵时，计算给定收益函数下的套期保值组合。最近，这类退化扩散作为一个关于鞅的随机积分的表示问题已经完全解决了。这种表示和进一步建立的退化扩散过程泛函的Malliavin演算构成了本工作的基础。利用这些泛函的Clark-Hausmann-Bismut-Ocone型表示公式，在等价鞅测度下证明了该公式的一个版本。这允许我们将套期保值组合导出为线性方程组的解。解决方案的唯一性是通过投影思想实现的，投影思想首先是鞅表示的核心。我们通过支付函数的一些例子尽可能明确地展示对冲策略，例如在奇异期权中使用的那些，其到期时的价值取决于整个时间范围内的价格。

引用次数: 0

Asymptotic behaviour of solutions to stochastic three-dimensional globally modified Navier–Stokes equations 随机三维全局修正Navier-Stokes方程解的渐近行为

IF 1.7 2区经济学 Q3 BUSINESS, FINANCE

Finance and Stochastics

Pub Date : 2022-11-27 DOI: 10.1080/17442508.2022.2147005

C. T. Anh, N. Thanh, Phan Thi Hong Tuyet

We consider 3D stochastic globally modified Navier–Stokes equations in bounded domains with homogeneous Dirichlet boundary conditions and infinite dimensional Wiener process. We study stability properties of stationary solutions. We also show that one can stabilize an unstable stationary solution by using a multiplicative Itô noise of sufficient intensity or a linear internal feedback controller with support large enough.

研究了具有齐次Dirichlet边界条件和无限维Wiener过程的有界区域上三维随机全局修正Navier-Stokes方程。我们研究了固定解的稳定性。我们还表明，可以通过使用足够强度的乘性Itô噪声或支持足够大的线性内反馈控制器来稳定不稳定的平稳解。

引用次数: 1

Complete moment convergence for maximum of randomly weighted sums of martingale difference sequences 鞅差分序列随机加权和最大值的完全矩收敛性

IF 1.7 2区经济学 Q3 BUSINESS, FINANCE

Finance and Stochastics

Pub Date : 2022-11-17 DOI: 10.1080/17442508.2022.2147006

Zong-feng Qi, Jinyu Zhou, Jigao Yan

In this paper, complete moment convergence for maximum of randomly weighted sums and complete convergence for randomly indexed sums of martingale difference sequences (MDS) are investigated under some proper and sufficient conditions. A Marcinkiewicz–Zygmund type strong law of large numbers (MZSLLN) for MDS is obtained. In addition, relationships among weights, weight functions and boundary functions are revealed in a sense. The results obtained in the paper generalize some corresponding ones for independent and some dependent random variables. As an application, strong consistency for estimators in a nonparametric regression model is established.

在适当的充分条件下，研究了鞅差分序列随机加权和的极大值完全矩收敛性和随机索引和的完全矩收敛性。得到了MDS的Marcinkiewicz-Zygmund型强大数定律(MZSLLN)。此外，从某种意义上揭示了权重、权重函数和边界函数之间的关系。本文的结果推广了一些独立和相关随机变量的相应结果。作为应用，建立了非参数回归模型中估计量的强相合性。

引用次数: 1

Generalized weighted number operators on functionals of discrete-time normal martingales 离散时间正规鞅泛函上的广义加权数算子

IF 1.7 2区经济学 Q3 BUSINESS, FINANCE

Finance and Stochastics

Pub Date : 2022-11-17 DOI: 10.1080/17442508.2022.2150083

Jing Zhang, Caishi Wang, Lixia Zhang, Lu-Gang Zhang

Let M be a discrete-time normal martingale that has the chaotic representation property. Then, from the space of square integrable functionals of M, one can construct generalized functionals of M. In this paper, by using a type of weights, we introduce a class of continuous linear operators acting on generalized functionals of M, which we call generalized weighted number (GWN) operators. We prove that GWN operators can be represented in terms of generalized annihilation and creation operators (acting on generalized functionals of M). We also examine commutation relations between a GWN operator and a generalized annihilation (or creation) operator, and obtain several formulas expressing such commutation relations.

设M是一个具有混沌表示性质的离散时间正规鞅。然后，从M的平方可积泛函空间中构造M的广义泛函。本文利用一类权值，引入了作用于M的广义泛函的一类连续线性算子，我们称之为广义加权数算子。我们证明了GWN算子可以用广义湮灭和创造算子(作用于M的广义泛函)来表示。我们还研究了GWN算子与广义湮灭(或创造)算子之间的交换关系，并得到了表达这种交换关系的几个公式。

引用次数: 0

Optimal dividend and risk control strategies for an insurer with two groups of reinsurers 两组再保险公司的最优股利及风险控制策略

IF 1.7 2区经济学 Q3 BUSINESS, FINANCE

Finance and Stochastics

Pub Date : 2022-09-26 DOI: 10.1080/17442508.2022.2124114

Dingjun Yao, Rui Xu, Gong Cheng, K. Fan

ABSTRACT This paper assumes that an insurer can control the dividend, reinsurance and refinancing strategies dynamically, and needs to bear proportional and fixed transaction costs. Different from previous literature, we assume that the insurer can buy reinsurance from two groups of reinsurers, i.e. the first group consists of m reinsurers and the second group consists of n reinsurers. The two groups of reinsurers have different risk attitudes and use the variance premium principle and the exponential premium principle in pricing, respectively. By using the optimal control methods, we obtain the optimal joint strategies for maximizing the insurance company's value. The results prove that dividends should be paid according to the impulse strategy; refinancing should be considered if and only if the transaction costs are not too high and the surplus is null; the insurer should diversify risks to all reinsurers in the market simultaneously when the surplus is not too large. The proportion of risk ceded to each reinsurer depends on its quoted price. Finally, numerical examples and economic interpretations are provided to make illustrations.

摘要本文假设保险公司可以动态控制股利、再保险和再融资策略，并且需要承担比例固定的交易成本。与以往文献不同的是，我们假设保险人可以从两组再保险人中购买再保险，即第一组由m名再保险人组成，第二组由n名再保险人组成。两组再保险人的风险态度不同，分别采用方差保费原则和指数保费原则进行定价。利用最优控制方法，得到了保险公司价值最大化的最优联合策略。结果表明，应按冲激策略进行股利支付;当且仅当交易成本不太高且盈余为零时，应考虑再融资;在盈余不太大的情况下，保险人应将风险分散分配给市场上的所有再保险公司。每个再保险公司承担的风险比例取决于其报价。最后，通过数值算例和经济解释进行说明。

{"title":"Optimal dividend and risk control strategies for an insurer with two groups of reinsurers","authors":"Dingjun Yao, Rui Xu, Gong Cheng, K. Fan","doi":"10.1080/17442508.2022.2124114","DOIUrl":"https://doi.org/10.1080/17442508.2022.2124114","url":null,"abstract":"ABSTRACT This paper assumes that an insurer can control the dividend, reinsurance and refinancing strategies dynamically, and needs to bear proportional and fixed transaction costs. Different from previous literature, we assume that the insurer can buy reinsurance from two groups of reinsurers, i.e. the first group consists of m reinsurers and the second group consists of n reinsurers. The two groups of reinsurers have different risk attitudes and use the variance premium principle and the exponential premium principle in pricing, respectively. By using the optimal control methods, we obtain the optimal joint strategies for maximizing the insurance company's value. The results prove that dividends should be paid according to the impulse strategy; refinancing should be considered if and only if the transaction costs are not too high and the surplus is null; the insurer should diversify risks to all reinsurers in the market simultaneously when the surplus is not too large. The proportion of risk ceded to each reinsurer depends on its quoted price. Finally, numerical examples and economic interpretations are provided to make illustrations.","PeriodicalId":50447,"journal":{"name":"Finance and Stochastics","volume":"10 1","pages":"785 - 818"},"PeriodicalIF":1.7,"publicationDate":"2022-09-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"74960221","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Small-time expansion for the density of a planar (quadratic) Langevin diffusion 平面(二次)朗之万扩散密度的小时间展开

IF 1.7 2区经济学 Q3 BUSINESS, FINANCE

Finance and Stochastics

Pub Date : 2022-09-22 DOI: 10.1080/17442508.2022.2113789

J. Franchi

ABSTRACT The unscaled small-time asymptotics of the density is approached by means of the Brownian bridge, regarding planar analogues of the Langevin diffusion, which are strictly hypoelliptic. While the non-quadratic case remains open, in the quadratic case a new precision is derived.

摘要利用布朗桥，讨论了平面类似朗之万扩散的无标度小时渐近性，这类扩散是严格的半椭圆型。虽然非二次型情况仍然开放，但在二次型情况下导出了一个新的精度。

引用次数: 0

A concept of copula robustness and its applications in quantitative risk management copula稳健性的概念及其在定量风险管理中的应用

IF 1.7 2区经济学 Q3 BUSINESS, FINANCE

Finance and Stochastics

Pub Date : 2022-09-13 DOI: 10.1007/s00780-022-00485-8

Henryk Zähle

引用次数: 1

On ruin probabilities with investments in a risky asset with a regime-switching price 关于投资于具有制度转换价格的风险资产的破产概率

IF 1.7 2区经济学 Q3 BUSINESS, FINANCE

Finance and Stochastics

Pub Date : 2022-09-05 DOI: 10.1007/s00780-022-00483-w

Y. Kabanov, S. Pergamenshchikov

引用次数: 3

首页上一页

下一页尾页

类型

全部化学•材料生命科学医学物理工程技术环境•农林材料科学地球科学法学管理学化学环境科学与生态学计算机科学教育学经济学农林科学人文科学生物学数学物理与天体物理心理学综合性期刊其他工业工程理学历史学农学文学信息工程

数据库

全部 ACS Publications Elsevier ieeexplore Springer The Royal Society of Chemistry Wiley

期刊

Finance and Stochastics

全部 Acc. Chem. Res. ACS Applied Bio Materials ACS Appl. Electron. Mater. ACS Appl. Energy Mater. ACS Appl. Mater. Interfaces ACS Appl. Nano Mater. ACS Appl. Polym. Mater. ACS BIOMATER-SCI ENG ACS Catal. ACS Cent. Sci. ACS Chem. Biol. ACS Chemical Health & Safety ACS Chem. Neurosci. ACS Comb. Sci. ACS Earth Space Chem. ACS Energy Lett. ACS Infect. Dis. ACS Macro Lett. ACS Mater. Lett. ACS Med. Chem. Lett. ACS Nano ACS Omega ACS Photonics ACS Sens. ACS Sustainable Chem. Eng. ACS Synth. Biol. Anal. Chem. BIOCHEMISTRY-US Bioconjugate Chem. BIOMACROMOLECULES Chem. Res. Toxicol. Chem. Rev. Chem. Mater. CRYST GROWTH DES ENERG FUEL Environ. Sci. Technol. Environ. Sci. Technol. Lett. Eur. J. Inorg. Chem. IND ENG CHEM RES Inorg. Chem. J. Agric. Food. Chem. J. Chem. Eng. Data J. Chem. Educ. J. Chem. Inf. Model. J. Chem. Theory Comput. J. Med. Chem. J. Nat. Prod. J PROTEOME RES J. Am. Chem. Soc. LANGMUIR MACROMOLECULES Mol. Pharmaceutics Nano Lett. Org. Lett. ORG PROCESS RES DEV ORGANOMETALLICS J. Org. Chem. J. Phys. Chem. J. Phys. Chem. A J. Phys. Chem. B J. Phys. Chem. C J. Phys. Chem. Lett. Analyst Anal. Methods Biomater. Sci. Catal. Sci. Technol. Chem. Commun. Chem. Soc. Rev. CHEM EDUC RES PRACT CRYSTENGCOMM Dalton Trans. Energy Environ. Sci. ENVIRON SCI-NANO ENVIRON SCI-PROC IMP ENVIRON SCI-WAT RES Faraday Discuss. Food Funct. Green Chem. Inorg. Chem. Front. Integr. Biol. J. Anal. At. Spectrom. J. Mater. Chem. A J. Mater. Chem. B J. Mater. Chem. C Lab Chip Mater. Chem. Front. Mater. Horiz. MEDCHEMCOMM Metallomics Mol. Biosyst. Mol. Syst. Des. Eng. Nanoscale Nanoscale Horiz. Nat. Prod. Rep. New J. Chem. Org. Biomol. Chem. Org. Chem. Front. PHOTOCH PHOTOBIO SCI PCCP Polym. Chem.

﹀