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Anatomy of Machines for Markowitz: Decision-Focused Learning for Mean-Variance P ...
Markowitz laid the foundation of portfolio theory through the mean-variance optimization (MVO) framework. However, the effectiveness of MVO is contingent on the precise estimation of expected returns, variances, and covariances ... Read More >
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A market resilient data-driven approach to option pricing
In this paper, we present a data-driven ensemble approach for option price prediction whose derivation is based on the no-arbitrage theory of option pricing. Using the theoretical treatment, we derive a common representation spa ... Read More >
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A deep primal-dual BSDE method for optimal stopping problems
We present a new deep primal-dual backward stochastic differential equation framework based on stopping time iteration to solve optimal stopping problems. A novel loss function is proposed to learn the conditional expectation, w ... Read More >
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Robust financial calibration: a Bayesian approach for neural SDEs
The paper presents a Bayesian framework for the calibration of financial models using neural stochastic differential equations (neural SDEs). The method is based on the specification of a prior distribution on the neural network ... Read More >
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Automate Strategy Finding with LLM in Quant investment
Despite significant progress in deep learning for financial trading, existing models often face instability and high uncertainty, hindering their practical application. Leveraging advancements in Large Language Models (LLMs) and ... Read More >
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Information Asymmetry Index: The View of Market Analysts
The purpose of the research was to build an index of informational asymmetry with market and firm proxies that reflect the analysts' perception of the level of informational asymmetry of companies. The proposed method consists o ... Read More >
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Pareto-Optimal Peer-to-Peer Risk Sharing with Robust Distortion Risk Measures
We study Pareto optimality in a decentralized peer-to-peer risk-sharing market where agents' preferences are represented by robust distortion risk measures that are not necessarily convex. We obtain a characterization of Pareto- ... Read More >
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Optimal position-building strategies in Competition
This paper develops a mathematical framework for building a position in a stock over a fixed period of time while in competition with one or more other traders doing the same thing. We develop a game-theoretic framework that tak ... Read More >
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Fundamental properties of linear factor models
We study conditional linear factor models in the context of asset pricing panels. Our analysis focuses on conditional means and covariances to characterize the cross-sectional and inter-temporal properties of returns and factors ... Read More >
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Evolving Dynamics: Bibliometric Insights into the Economics of the EU ETS Market
This study aims to map the scientific production on the European Union Emissions Trading System (EU ETS) market from 2004 to 2024. By analyzing research articles collected from the Scopus database, this bibliometric review provi ... Read More >