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Dynamical analysis of financial stocks network: improving forecasting using netw ...
Applying a network analysis to stock return correlations, we study the dynamical properties of the network and how they correlate with the market return, finding meaningful variables that partially capture the complex dynamical ... Read More >
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A case study on different one-factor Cheyette models for short maturity caplet c ...
In [1], we calibrated a one-factor Cheyette SLV model with a local volatility that is linear in the benchmark forward rate and an uncorrelated CIR stochastic variance to 3M caplets of various maturities. While caplet smiles for ... Read More >
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Hedging in Jump Diffusion Model with Transaction Costs
We consider the jump-diffusion risky asset model and study its conditional prediction laws. Next, we explain the conditional least square hedging strategy and calculate its closed form for the jump-diffusion model, considering t ... Read More >
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High-Frequency Trading Liquidity Analysis | Application of Machine Learning Clas ...
This research presents a comprehensive framework for analyzing liquidity in financial markets, particularly in the context of high-frequency trading. By leveraging advanced machine learning classification techniques, including L ... Read More >
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Contemporaneous and lagged spillovers across crude oil, carbon emission allowanc ...
In this paper, we examine the dynamic spillovers among the crude oil, carbon emission allowance, climate change, and agricultural markets. Adopting a novel $R^2$ decomposed connectedness approach, our empirical analysis reveals ... Read More >
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Periodic Trading Activities in Financial Markets: Mean-field Liquidation Game wi ...
Motivated by recent empirical findings on the periodic phenomenon of aggregated market volumes in equity markets, we aim to understand the causes and consequences of periodic trading activities through a game-theoretic perspecti ... Read More >
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A new measure of risk using Fourier analysis
We use Fourier analysis to access risk in financial products. With it we analyze price changes of e.g. stocks. Via Fourier analysis we scrutinize quantitatively whether the frequency of change is higher than a change in (conserv ... Read More >
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Enhancing Startup Success Predictions in Venture Capital: A GraphRAG Augmented M ...
In the Venture Capital(VC) industry, predicting the success of startups is challenging due to limited financial data and the need for subjective revenue forecasts. Previous methods based on time series analysis or deep learning ... Read More >
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Optimal stopping and divestment timing under scenario ambiguity and learning
Aiming to analyze the impact of environmental transition on the value of assets and on asset stranding, we study optimal stopping and divestment timing decisions for an economic agent whose future revenues depend on the realizat ... Read More >
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Using Fermat-Torricelli points in assessing investment risks
The use of Fermat-Torricelli points can be an effective mathematical tool for analyzing numerical series that have a large variance, a pronounced nonlinear trend, or do not have a normal distribution of a random variable. Linear ... Read More >