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Method of Moments Estimation for Affine Stochastic Volatility Models
We develop moment estimators for the parameters of affine stochastic volatility models. We first address the challenge of calculating moments for the models by introducing a recursive equation for deriving closed-form expression ... Read More >
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High-Frequency Options Trading | With Portfolio Optimization
This paper explores the effectiveness of high-frequency options trading strategies enhanced by advanced portfolio optimization techniques, investigating their ability to consistently generate positive returns compared to traditi ... Read More >
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Infinite-mean models in risk management: Discussions and recent advances
In statistical analysis, many classic results require the assumption that models have finite mean or variance, including the most standard versions of the laws of large numbers and the central limit theorems. Such an assumption ... Read More >
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Enhancement of price trend trading strategies via image-induced importance weigh ...
We open up the "black-box" to identify the predictive general price patterns in price chart images via the deep learning image analysis techniques. Our identified price patterns lead to the construction of image-induced importan ... Read More >
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The mean-variance portfolio selection based on the average and current profitabi ...
We study the continuous-time pre-commitment mean-variance portfolio selection in a time-varying financial market. By introducing two indexes which respectively express the average profitability of the risky asset (AP) and the cu ... Read More >
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Predicting the distributions of stock returns around the globe in the era of big ...
This paper presents a method for accurately predicting the full distribution of stock returns, given a comprehensive set of 194 stock characteristics and market variables. Such distributions, learned from rich data using a machi ... Read More >
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Portfolio and reinsurance optimization under unknown market price of risk
We investigate the optimal investment-reinsurance problem for insurance company with partial information on the market price of the risk. Through the use of filtering techniques we convert the original optimization problem invol ... Read More >
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The Efficient Tail Hypothesis: An Extreme Value Perspective on Market Efficiency
In econometrics, the Efficient Market Hypothesis posits that asset prices reflect all available information in the market. Several empirical investigations show that market efficiency drops when it undergoes extreme events. Many ... Read More >
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Adaptive Multilevel Stochastic Approximation of the Value-at-Risk
Cr\'epey, Frikha, and Louzi (2023) introduced a multilevel stochastic approximation scheme to compute the value-at-risk of a financial loss that is only simulatable by Monte Carlo. The optimal complexity of the scheme is in $O({ ... Read More >
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Inefficiencies of Carbon Trading Markets
The European Union Emission Trading System is a prominent market-based mechanism to reduce emissions. While the theory is well understood, we are the first to study the whole cap-and-trade mechanism as a financial market. Analyz ... Read More >