Are target date funds dinosaurs? Failure to adapt can lead to extinction....
Investors in Target Date Funds are automatically switched from high risk to low risk assets as their retirements approach. Such funds have become very popular, but our analysis brings into question the...
View ArticleA note on the Nelson Cao inequality constraints in the GJR-GARCH model: Is...
The majority of stylized facts of financial time series and several Value-at-Risk measures are modeled via univariate or multivariate GARCH processes. It is not rare that advanced GARCH models fail to...
View ArticleDuality in Regret Measures and Risk Measures. (arXiv:1705.00340v1 [q-fin.MF])
Optimization models based on coherent regret measures and coherent risk measures are of essential importance in financial management and reliability engineering. This paper studies the dual...
View ArticleStratonovich representation of semimartingale rank processes....
Suppose that $X_1, \ldots , X_n$ are continuous semimartingales that are reversible and have nondegenerate crossings. Then the corresponding rank processes can be represented by generalized...
View ArticlePeriodic strategies in optimal execution with multiplicative price impact....
In this work we study the optimal execution problem with multiplicative price impact in algorithm trading, when an agent holds an initial position of shares of a financial asset. The...
View ArticleLean derivation of the CRR pricing formula. (arXiv:1705.00212v1 [q-fin.MF])
We provide a lean non-technical exposition on the pricing of path-dependent and European-style derivatives in the Cox-Ross-Rubinstein (CRR) pricing model. The main tool for cleaning up the reasoning is...
View ArticleMulti-Period Trading via Convex Optimization. (arXiv:1705.00109v1 [q-fin.PM])
We consider a basic model of multi-period trading, which can be used to evaluate the performance of a trading strategy. We describe a framework for single-period optimization, where the trades in each...
View ArticlePricing Variance Swaps on Time-Changed Markov Processes. (arXiv:1705.01069v1...
We prove that the variance swap rate equals the price of a co-terminal European-style contract when the underlying is an exponential Markov process, time-changed by an arbitrary continuous stochastic...
View ArticleA Novel Approach to Forecasting Financial Volatility with Gaussian Process...
In this paper we use Gaussian Process (GP) regression to propose a novel approach for predicting volatility of financial returns by forecasting the envelopes of the time series. We provide a direct...
View ArticleTowards the Exact Simulation Using Hyperbolic Brownian Motion....
In the present paper, an expansion of the transition density of Hyperbolic Brownian motion with drift is given, which is potentially useful for pricing and hedging of options under stochastic...
View ArticleParticle systems with singular interaction through hitting times: application...
We propose an interacting particle system to model the evolution of a system of banks with mutual exposures. In this model, a bank defaults when its normalized asset value hits a lower threshold, and...
View ArticlePortfolio Choice with Small Temporary and Transient Price Impact....
We study portfolio selection in a model with both temporary and transient price impact introduced by Garleanu and Pedersen [24]. In the large-liquidity limit where both frictions are small, we derive...
View ArticleThe Payoff Region of a Strategic Game and Its Extreme Points....
The range of a payoff function in an $n$-player finite strategic game is investigated using a novel approach, the notion of extreme points of a non-convex set. A basic structural characteristic of a...
View ArticleAlgorithmic trading in a microstructural limit order book model....
We propose a microstructural modeling framework for studying optimal market making policies in a FIFO (first in first out) limit order book (LOB). In this context, the limit orders, market orders, and...
View ArticleBayesian Portfolio Selection. (arXiv:1705.01407v1 [q-fin.MF])
We present a Bayesian portfolio selection strategy, which uses the Capital Asset Pricing Model (CAPM). We propose a strategy which will mimic the market if the market is information efficient. However,...
View ArticleThe q-dependent detrended cross-correlation analysis of stock market....
The properties of q-dependent cross-correlation matrices of stock market have been analyzed by using the random matrix theory and complex network. The correlation structure of the fluctuations at...
View ArticleAn Alternative Estimation of Market Volatility based on Fuzzy Transform....
Realization of uncertainty of prices is captured by volatility, that is the tendency of prices to vary along a period of time. This is generally measured as standard deviation of daily returns. In this...
View ArticleStochastic modelling of non-stationary financial assets. (arXiv:1705.01145v1...
We model non-stationary volume-price distributions with a log-normal distribution and collect the time series of its two parameters. The time series of the two parameters are shown to be stationary and...
View ArticleA Time Series Analysis-Based Forecasting Framework for the Indian Healthcare...
Designing efficient and robust algorithms for accurate prediction of stock market prices is one of the most exciting challenges in the field of time series analysis and forecasting. With the...
View ArticleMachine Learning for Better Models for Predicting Bond Prices....
Bond prices are a reflection of extremely complex market interactions and policies, making prediction of future prices difficult. This task becomes even more challenging due to the dearth of relevant...
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