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Endogenous Crashes as Phase Transitions
This paper explores the mechanisms behind extreme financial events, specifically market crashes, by employing the theoretical framework of phase transitions. We focus on endogenous crashes, driven by internal market dynamics, an ... Read More >
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Why Groups Matter: Necessity of Group Structures in Attributions
Explainable machine learning methods have been accompanied by substantial development. Despite their success, the existing approaches focus more on the general framework with no prior domain expertise. High-stakes financial sect ... Read More >
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Strong denoising of financial time-series
In this paper we introduce a method for significantly improving the signal to noise ratio in financial data. The approach relies on combining a target variable with different context variables and use auto-encoders (AEs) to lear ... Read More >
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Stochastic Calculus for Option Pricing with Convex Duality, Logistic Model, and ...
This thesis explores the historical progression and theoretical constructs of financial mathematics, with an in-depth exploration of Stochastic Calculus as showcased in the Binomial Asset Pricing Model and the Continuous-Time Mo ... Read More >
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Forecasting High Frequency Order Flow Imbalance
Market information events are generated intermittently and disseminated at high speeds in real-time. Market participants consume this high-frequency data to build limit order books, representing the current bids and offers for a ... Read More >
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Correlation emergence in two coupled simulated limit order books
We use random walks to simulate the fluid limit of two coupled diffusive limit order books to model correlation emergence. The model implements the arrival, cancellation and diffusion of orders coupled by a pairs trader profitin ... Read More >
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Risk sharing with Lambda value at risk under heterogeneous beliefs
In this paper, we study the risk sharing problem among multiple agents using Lambda value at risk as their preferences under heterogenous beliefs, where the beliefs are represented by several probability measures. We obtain semi ... Read More >
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Existence and uniqueness of quadratic and linear mean-variance equilibria in gen ...
We revisit the classical topic of quadratic and linear mean-variance equilibria with both financial and real assets. The novelty of our results is that they are the first allowing for equilibrium prices driven by general semimar ... Read More >
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Comparative analysis of stationarity for Bitcoin and the S&P500
This paper compares and contrasts stationarity between the conventional stock market and cryptocurrency. The dataset used for the analysis is the intraday price indices of the S&P500 from 1996 to 2023 and the intraday Bitcoin in ... Read More >
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Existence, uniqueness and positivity of solutions to the Guyon-Lekeufack path-de ...
We show the existence and uniqueness of a continuous solution to a path-dependent volatility model introduced by Guyon and Lekeufack (2023) to model the price of an equity index and its spot volatility. The considered model for ... Read More >