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Content
April 2023, Volume 23, Issue 4
- 705-719 Persistence of jump-induced tail risk and limits to arbitrage
by K. Victor Chow & Kose John & Jingrui Li & Ben Sopranzetti
March 2023, Volume 23, Issue 3
- 367-388 From zero-intelligence to queue-reactive: limit-order-book modeling for high-frequency volatility estimation and optimal execution
by Tommaso Mariotti & Fabrizio Lillo & Giacomo Toscano - 389-391 A First Course in Random Matrix Theory for Physicists, Engineers and Data Scientists
by Louis-Pierre Arguin - 393-427 Assessing the accuracy of exponentially weighted moving average models for Value-at-Risk and Expected Shortfall of crypto portfolios
by Carol Alexander & Michael Dakos - 429-452 Integrating prediction in mean-variance portfolio optimization
by Andrew Butler & Roy H. Kwon - 453-469 Kurtosis-based risk parity: methodology and portfolio effects
by M. D. Braga & C. R. Nava & M. G. Zoia - 471-495 Optimal asset allocation for commodity sovereign wealth funds
by Alfonso A. Irarrazabal & Lin Ma & Juan Carlos Parra-Alvarez - 497-519 A multivariate 4/2 stochastic covariance model: properties and applications to portfolio decisions
by Yuyang Cheng & Marcos Escobar-Anel - 521-537 An eigenvalue distribution derived ‘Stability Measure’ for evaluating Minimum Variance portfolios
by William Smyth & Daniel Broby
February 2023, Volume 23, Issue 2
- 187-205 Analysis and modeling of client order flow in limit order markets
by Rama Cont & Mihai Cucuringu & Vacslav Glukhov & Felix Prenzel - 207-208 Firefighting: The Financial Crisis and Its Lessons
by Jean-Philippe Bouchaud - 209-227 Numerical smoothing with hierarchical adaptive sparse grids and quasi-Monte Carlo methods for efficient option pricing
by Christian Bayer & Chiheb Ben Hammouda & Raúl Tempone - 229-249 SABR equipped with AI wings
by Hideharu Funahashi - 251-278 Closed-form option pricing for exponential Lévy models: a residue approach
by Jean-Philippe Aguilar & Justin Lars Kirkby - 279-295 Asymmetric short-rate model without lower bound
by Frédéric Vrins & Linqi Wang - 297-308 Pricing commodity index options
by Alberto Pedro Manzano-Herrero & Emanuele Nastasi & Andrea Pallavicini & Carlos Vázquez - 309-334 A semi-parametric conditional autoregressive joint value-at-risk and expected shortfall modeling framework incorporating realized measures
by Chao Wang & Richard Gerlach & Qian Chen - 335-349 Incorporating financial news for forecasting Bitcoin prices based on long short-term memory networks
by Johannes Jakubik & Abdolreza Nazemi & Andreas Geyer-Schulz & Frank J. Fabozzi - 351-365 Optimal multi-period transaction-cost-aware long-only portfolios and time consistency in efficiency
by Chi Seng Pun & Zi Ye
January 2023, Volume 23, Issue 1
- 1-17 Estimating time-varying risk aversion from option prices and realized returns
by Maria Kosolapova & Michael Hanke & Alex Weissensteiner - 19-20 Book review
by Gordon Lee - 21-34 A two-step framework for arbitrage-free prediction of the implied volatility surface
by Wenyong Zhang & Lingfei Li & Gongqiu Zhang - 35-51 Improving the asymmetric stochastic volatility model with ex-post volatility: the identification of the asymmetry
by Zehua Zhang & Ran Zhao - 53-70 Markovian approximations of stochastic Volterra equations with the fractional kernel
by Christian Bayer & Simon Breneis - 71-93 The EWMA Heston model
by Léo Parent - 95-109 Optimal reinsurance-investment with loss aversion under rough Heston model
by Jingtang Ma & Zhengyang Lu & Dengsheng Chen - 111-122 Empirical deep hedging
by Oskari Mikkilä & Juho Kanniainen - 123-148 Horizon effect on optimal retirement decision
by Junkee Jeon & Minsuk Kwak & Kyunghyun Park - 149-168 Predicting credit ratings and transition probabilities: a simple cumulative link model with firm-specific frailty
by Ruey-Ching Hwang & Chih-Kang Chu & Yi-Chi Chen - 169-185 A default contagion model for pricing defaultable bonds from an information based perspective
by Hidetoshi Nakagawa & Hideyuki Takada
December 2022, Volume 22, Issue 12
- 2139-2150 Do fundamentals shape the price response? A critical assessment of linear impact models
by Michele Vodret & Iacopo Mastromatteo & Bence Tóth & Michael Benzaquen - 2151-2154 Reinforcement Learning and Stochastic Optimization: A Unified Framework for Sequential Decisions
by Igor Halperin - 2155-2170 The Black–Scholes equation in the presence of arbitrage
by Simone Farinelli & Hideyuki Takada - 2171-2204 AI-driven liquidity provision in OTC financial markets
by Álvaro Cartea & Patrick Chang & Mateusz Mroczka & Roel Oomen - 2205-2217 No arbitrage global parametrization for the eSSVI volatility surface
by A. Mingone - 2219-2236 Is the effectiveness of government bonds as a diversifier of equity risk weakened after the Covid-19 crisis?†
by Yuji Sakurai & Tetsuo Kurosaki - 2237-2255 A tale of two sentiment scales: disentangling short-run and long-run components in multivariate sentiment dynamics
by Danilo Vassallo & Giacomo Bormetti & Fabrizio Lillo - 2257-2274 A data-driven explainable case-based reasoning approach for financial risk detection
by Wei Li & Florentina Paraschiv & Georgios Sermpinis - 2275-2295 Supervised portfolios
by Guillaume Chevalier & Guillaume Coqueret & Thomas Raffinot
November 2022, Volume 22, Issue 11
- 1955-1969 When do systematic strategies decay?
by Antoine Falck & Adam Rej & David Thesmar - 1971-1972 Mathematical Modeling and Computation in Finance: With Exercises and Python and Matlab Computer Codes
by Alessandro Gnoatto & Blanka Horvath - 1973-1987 Learning a functional control for high-frequency finance
by L. Leal & M. Lauriere & C.-A. Lehalle - 1989-2003 A deep learning approach to estimating fill probabilities in a limit order book
by Costis Maglaras & Ciamac C. Moallemi & Muye Wang - 2005-2019 Cooperation between independent market makers
by Bingyan Han - 2021-2045 A novel state-transition forest: pricing corporate securities with intertemporal exercise policies and corresponding capital structure changes
by Liang-Chih Liu & Tian-Shyr Dai & Hao-Han Chang & Lei Zhou - 2047-2061 Forecasting interval-valued crude oil prices using asymmetric interval models
by Quanying Lu & Yuying Sun & Yongmiao Hong & Shouyang Wang - 2063-2078 Higher moments in the fundamental specification of electricity forward prices
by Angelica Gianfreda & Giacomo Scandolo & Derek W. Bunn - 2079-2091 Bitcoin: jumps, convenience yields, and option prices
by Jimmy E. Hilliard & Julie T. D. Ngo - 2093-2107 High-dimensional realized covariance estimation: a parametric approach
by G. Buccheri & G. Mboussa Anga - 2109-2123 Valuing real options with endogenous payoff
by Kyoung Jin Choi & Minsuk Kwak - 2125-2137 Peer effects in professional analysts’ choice of their portfolio of companies
by Victor Fang & Lutz Honvehlmann & Thomas Lux
October 2022, Volume 22, Issue 10
- 1785-1795 The inelastic market hypothesis: a microstructural interpretation
by Jean-Philippe Bouchaud - 1797-1800 A note on spurious model selection
by Weiguan Wang & Johannes Ruf - 1801-1802 Portfolio Theory and Arbitrage: A Course in Mathematical Finance
by Paolo Guasoni - 1803-1803 In memoriam Marco Avellaneda
by Michael Dempster & Jim Gatheral - 1805-1838 Empirical analysis of rough and classical stochastic volatility models to the SPX and VIX markets
by Sigurd Emil Rømer - 1839-1852 The optimal payoff for a Yaari investor
by K. Boudt & K. Dragun & S. Vanduffel - 1853-1870 Optimal characteristic portfolios
by Richard J. McGee & Jose Olmo - 1871-1891 Risk contributions of lambda quantiles
by A. Ince & I. Peri & S. Pesenti - 1893-1903 The effects of errors in means, variances, and correlations on the mean-variance framework
by Munki Chung & Yongjae Lee & Jang Ho Kim & Woo Chang Kim & Frank J. Fabozzi - 1905-1926 Group sparse enhanced indexation model with adaptive beta value
by Fengmin Xu & Jieao Ma & Haibing Lu - 1927-1954 Model-based approach for scenario design: stress test severity and banks' resiliency
by Paolo Nicola Barbieri & Giuseppe Lusignani & Lorenzo Prosperi & Lea Zicchino
September 2022, Volume 22, Issue 9
- 1579-1592 Sparse index tracking using sequential Monte Carlo
by Tanmay Satpathy & Rushabh Shah - 1593-1594 Market Microstructure in Practice
by Nataliya Bershova - 1595-1626 Optimal asset allocation for outperforming a stochastic benchmark target
by Chendi Ni & Yuying Li & Peter Forsyth & Ray Carroll - 1627-1648 Pairs trading under delayed cointegration
by Tingjin Yan & Mei Choi Chiu & Hoi Ying Wong - 1649-1663 Modeling price clustering in high-frequency prices
by Vladimír Holý & Petra Tomanová - 1665-1691 Dynamic quantile function models
by Wilson Ye Chen & Gareth W. Peters & Richard H. Gerlach & Scott A. Sisson - 1693-1716 Path-wise Monte Carlo simulation for Greeks of worst-of-all autocallables under multi-variate Black-Scholes model
by Xiaobo Hu & Jungong Xue & Xiandi Yu - 1717-1729 Moments of integrated exponential Lévy processes and applications to Asian options pricing
by Riccardo Brignone - 1731-1745 Vulnerability-CoVaR: investigating the crypto-market
by Martin Waltz & Abhay Kumar Singh & Ostap Okhrin - 1747-1757 Proof of non-convergence of the short-maturity expansion for the SABR model
by Alan L. Lewis & Dan Pirjol - 1759-1784 Optimal long-term Tier 1 employee pension management with an application to Chinese urban areas
by Bingbing Ji & Zhiping Chen & Giorgio Consigli & Zhe Yan
August 2022, Volume 22, Issue 8
- 1405-1425 On detecting spoofing strategies in high-frequency trading
by Xuan Tao & Andrew Day & Lan Ling & Samuel Drapeau - 1427-1428 The Book of Alternative Data: A Guide for Investors, Traders and Risk Managers
by Matthew Dixon - 1429-1443 Deep differentiable reinforcement learning and optimal trading
by Thibault Jaisson - 1445-1464 The reinforcement learning Kelly strategy
by R. Jiang & D. Saunders & C. Weng - 1465-1480 Robust deep hedging
by Eva Lütkebohmert & Thorsten Schmidt & Julian Sester - 1481-1494 An unsupervised deep learning approach to solving partial integro-differential equations
by Weilong Fu & Ali Hirsa - 1495-1512 Forecasting with fractional Brownian motion: a financial perspective
by Matthieu Garcin - 1513-1534 A generalized heterogeneous autoregressive model using market information
by Rodrigo Hizmeri & Marwan Izzeldin & Ingmar Nolte & Vasileios Pappas - 1535-1544 Bayesian estimation of electricity price risk with a multi-factor mixture of densities
by Li Kang & Stephen Walker & Paul Damien & Derek Bunn - 1545-1559 Forecasting crude oil prices: do technical indicators need economic constraints?
by Danyan Wen & Mengxi He & Li Liu & Yaojie Zhang - 1561-1578 The volatility risk premium in the oil market
by Ilia Bouchouev & Brett Johnson
July 2022, Volume 22, Issue 7
- 1-1 Correction
by The Editors - 1217-1227 An adaptive dynamical model of default contagion
by Damian Smug & Julian Ashwin & Peter Ashwin & Didier Sornette - 1229-1230 Behavioral Finance and Your Portfolio: A Navigation Guide for Building Wealth
by Ernawati & Nugraha & Maya Sari - 1231-1246 An adaptive model for security prices driven by latent values: parameter estimation and option pricing effects
by Jimmy E Hilliard & Jitka Hilliard & Yinan Ni - 1247-1263 Portfolios of value and momentum: disappointment aversion and non-normalities
by Simon Lalancette & Jean-Guy Simonato - 1265-1276 Drawdown beta and portfolio optimization
by Rui Ding & Stan Uryasev - 1277-1294 GARCH-UGH: a bias-reduced approach for dynamic extreme Value-at-Risk estimation in financial time series
by H. Kaibuchi & Y. Kawasaki & G. Stupfler - 1295-1319 Transaction cost analytics for corporate bonds
by Xin Guo & Charles-Albert Lehalle & Renyuan Xu - 1321-1341 Funding shortages, expectations, and forward rate risk premium
by Robert Jarrow & Sujan Lamichhane - 1343-1354 Time-dependent relations between gaps and returns in a Bitcoin order book
by Roberto Mota-Navarro & Paulino Monroy-Castillero & Francois Leyvraz - 1355-1369 Some analytical results on bivariate stable distributions with an application in operational risk
by L. Tafakori & M. Bee & A.R. Soltani - 1371-1390 On model robustness of the regime switching approach for pegged foreign exchange markets
by Yunbo Zhang & Samuel Drapeau - 1391-1404 Stationary increments reverting to a Tempered Fractional Lévy Process (TFLP)
by Dilip B. Madan & King Wang
June 2022, Volume 22, Issue 6
- 1017-1036 How to build a cross-impact model from first principles: theoretical requirements and empirical results
by Mehdi Tomas & Iacopo Mastromatteo & Michael Benzaquen - 1037-1049 Optimal solution of the liquidation problem under execution and price impact risks
by Francesca Mariani & Lorella Fatone - 1051-1069 A reinforcement learning approach to optimal execution
by Ciamac C. Moallemi & Muye Wang - 1071-1090 QuantNet: transferring learning across trading strategies
by Adriano Koshiyama & Stefano B. Blumberg & Nick Firoozye & Philip Treleaven & Sebastian Flennerhag - 1091-1111 What is the value of the cross-sectional approach to deep reinforcement learning?
by Amine Mohamed Aboussalah & Ziyun Xu & Chi-Guhn Lee - 1113-1132 Are missing values important for earnings forecasts? A machine learning perspective
by Ajim Uddin & Xinyuan Tao & Chia-Ching Chou & Dantong Yu - 1133-1152 Stock market prediction based on adaptive training algorithm in machine learning
by Hongjoong Kim & Sookyung Jun & Kyoung-Sook Moon - 1153-1167 Size and power in tests of return predictability
by Stephen F. LeRoy & Rish Singhania - 1169-1192 Effective Markovian projection: application to CMS spread options and mid-curve swaptions
by M. Felpel & J. Kienitz & T. A. McWalter - 1193-1216 International portfolio choice under multi-factor stochastic volatility
by Marcos Escobar-Anel & Sebastian Ferrando & Christoph Gschnaidtner & Alexey Rubtsov
May 2022, Volume 22, Issue 5
- 799-811 Static replication of European standard dispersion options
by Sébastien Bossu & Peter Carr & Andrew Papanicolaou - 813-815 Continuous-Time Asset Pricing Theory
by Philip Protter - 817-834 A new representation of the risk-neutral distribution and its applications
by Zhenyu Cui & Yuewu Xu - 835-860 Pricing electricity day-ahead cap futures with multifactor skew-t densities
by Takuji Matsumoto & Derek Bunn & Yuji Yamada - 861-869 A simple robust asset pricing model under statistical ambiguity
by Luis García-Feijóo & Ariel M. Viale - 871-887 Smooth ambiguity preferences and asset prices with a jump-diffusion process
by Masataka Suzuki - 889-905 On the investment strategies in occupational pension plans
by F. Bosserhoff & A. Chen & N. Sørensen & M. Stadje - 907-921 On an irreversible investment problem with two-factor uncertainty
by F. Dammann & G. Ferrari - 923-942 Proper fund size: a perspective from both investors and fund managers
by Linlin Zhang & Jiajun Jiang & Yunbi An - 943-971 ‘Too central to fail’ firms in bi-layered financial networks: linkages in the US corporate bond and stock markets
by Abinash Mishra & Pranjal Srivastava & Anindya S. Chakrabarti - 973-995 Brexit news propagation in financial systems: multidimensional visibility networks for market volatility dynamics
by Maria Elena De Giuli & Andrea Flori & Daniela Lazzari & Alessandro Spelta - 997-1016 Unraveling S&P500 stock volatility and networks – an encoding-and-decoding approach
by Xiaodong Wang & Fushing Hsieh
April 2022, Volume 22, Issue 4
- 611-629 Stationary Heston model: calibration and pricing of exotics using product recursive quantization
by Vincent Lemaire & Thibaut Montes & Gilles Pagès - 631-631 In Memoriam Mardi Dungey
by Michael Dempster & Jim Gatheral - 633-634 Errata: Instantaneous Portfolio theory
by Dilip B. Madan & Sofie Reyners & Wim Schoutens - 635-637 Applied Econometrics
by Ali G. Yucel - 639-656 JDOI variance reduction method and the pricing of American-style options
by Johan Auster & Ludovic Mathys & Fabio Maeder - 657-673 Variance reduction for risk measures with importance sampling in nested simulation
by Yue Xing & Tony Sit & Hoi Ying Wong - 675-689 Gram–Charlier methods, regime-switching and stochastic volatility in exponential Lévy models
by Søren Asmussen & Mogens Bladt - 691-705 A generalized Esscher transform for option valuation with regime switching risk
by R. J. Elliott & T. K. Siu - 707-723 Cheapest-to-deliver collateral: a common factor approach
by F. L. Wolf & L. A. Grzelak & G. Deelstra - 725-742 Pricing renewable identification numbers under uncertainty
by Mohamad Afkhami & Hamed Ghoddusi - 743-760 Characterizing financial crises using high-frequency data
by Mardi Dungey & Jet Holloway & Abdullah Yalaman & Wenying Yao - 761-776 Life insurance surrender and liquidity risks
by Hsiaoyin Chang & Hato Schmeiser - 777-797 Rating frailty, Bayesian updates, and portfolio credit risk analysis
by Shang Bu & Nan Guo & Lingfei Li
March 2022, Volume 22, Issue 3
- 407-407 In memoriam Peter Carr
by Michael Dempster & Jim Gatheral - 409-421 Conditions for bubbles to arise under heterogeneous beliefs
by Seunghyun Lee & Hyungbin Park - 423-425 Synthetic Data for Deep Learning
by Blanka Horvath - 427-446 The SINC way: a fast and accurate approach to Fourier pricing
by Fabio Baschetti & Giacomo Bormetti & Silvia Romagnoli & Pietro Rossi - 447-462 A fast algorithm for simulation of rough volatility models
by Jingtang Ma & Haofei Wu - 463-480 Short-dated smile under rough volatility: asymptotics and numerics
by Peter K. Friz & Paul Gassiat & Paolo Pigato - 481-500 Robust control in a rough environment
by Bingyan Han & Hoi Ying Wong - 501-518 Additive normal tempered stable processes for equity derivatives and power-law scaling
by Michele Azzone & Roberto Baviera - 519-539 Performance measurement for option portfolios in a stochastic volatility framework
by Rainer Baule & Oliver Entrop & Sebastian Wessels - 541-561 Tempered stable processes with time-varying exponential tails
by Young Shin Kim & Kum-Hwan Roh & Raphael Douady - 563-583 State-dependent Hawkes processes and their application to limit order book modelling
by Maxime Morariu-Patrichi & Mikko S. Pakkanen - 585-596 Optimal trade execution for Gaussian signals with power-law resilience
by Martin Forde & Leandro Sánchez-Betancourt & Benjamin Smith - 597-610 Market making with inventory control and order book information
by E. Donatoni & S. Paterlini & F. Bazzana
February 2022, Volume 22, Issue 2
- 197-211 Bond market completeness under stochastic strings with distribution-valued strategies
by Alberto Bueno-Guerrero & Manuel Moreno & Javier F. Navas - 213-240 Classification of flash crashes using the Hawkes(p,q) framework
by Alexander Wehrli & Didier Sornette - 241-253 Short-term volatility forecasting with kernel support vector regression and Markov switching multifractal model
by Khaldoun Khashanah & Chenjie Shao - 255-271 Forecasting market index volatility using Ross-recovered distributions
by Marie-Hélène Gagnon & Gabriel J. Power & Dominique Toupin - 273-287 Forecasting exchange rates using asymmetric losses: A Bayesian approach
by Georgios Tsiotas - 289-302 Myopic robust index tracking with Bregman divergence
by S. Penev & P. V. Shevchenko & W. Wu - 303-319 Estimation risk and the implicit value of index-tracking
by Brian Clark & Chanaka Edirisinghe & Majeed Simaan - 321-331 Constructing long-short stock portfolio with a new listwise learn-to-rank algorithm
by Xin Zhang & Lan Wu & Zhixue Chen - 333-347 Portfolio optimization with a prescribed terminal wealth distribution
by Ivan Guo & Nicolas Langrené & Grégoire Loeper & Wei Ning - 349-366 Sparse index clones via the sorted ℓ1-Norm
by Philipp J. Kremer & Damian Brzyski & Małgorzata Bogdan & Sandra Paterlini - 367-384 Evolutionary patterns of onshore and offshore Renminbi exchange rates with convexity–concavity indicators
by Qun Zhang & Didier Sornette & Liyan Han - 385-406 The impact of CoCo bonds on systemic risk considering liquidity risk
by Ping Li & Yanhong Guo & Hui Meng
January 2022, Volume 22, Issue 1
- 1-21 Cumulative market impact of consecutive orders over one and two days: how long does the market remember past trades?
by Paul Besson & Matthieu Lasnier - 23-24 Blockchain and Distributed Ledgers: Mathematics, Technology, and Economics
by Artur Sepp - 28-30 Introduction to the Proceedings of the 15th International Conference on Stochastic Programming 2019 (ICSP 2019): discrete stochastic optimization in finance
by Giorgio Consigli & Miloš Kopa & Alois Pichler - 31-45 Quantification of risk in classical models of finance
by Alois Pichler & Ruben Schlotter - 47-73 Equal risk pricing and hedging of financial derivatives with convex risk measures
by Saeed Marzban & Erick Delage & Jonathan Yu-Meng Li - 75-94 Kelly investing with downside risk control in a regime-switching market
by Leonard MacLean & Yonggan Zhao - 95-112 The value and cost of more stages in stochastic programing: a statistical analysis on a set of portfolio choice problems
by John R. Birge & Jörgen Blomvall & Jonas Ekblom - 113-127 Distributionally robust portfolio optimization with linearized STARR performance measure
by Ran Ji & Miguel A. Lejeune & Zhengyang Fan - 129-145 Lifetime consumption and investment with housing, deferred annuities and home equity release
by Chul Jang & Iqbal Owadally & Andrew Clare & Muhammad Kashif - 149-169 Liquidity fluctuations and the latent dynamics of price impact
by Luca Philippe Mertens & Alberto Ciacci & Fabrizio Lillo & Giulia Livieri - 171-195 Price impact on term structure
by Damiano Brigo & Federico Graceffa & Eyal Neuman
December 2021, Volume 21, Issue 12
- 1993-2004 Portfolio insurers and constant weight traders: who will survive?
by Emilio Barucci & Pietro Dindo & Francesca Grassetti - 2005-2006 An Introduction to Machine Learning in Quantitative Finance
by Gonçalo dos Reis & Calum Strange - 2007-2024 An investigation of cryptocurrency data: the market that never sleeps
by D. Vidal-Tomás - 2025-2054 A numerical approach to pricing exchange options under stochastic volatility and jump-diffusion dynamics
by Len Patrick Dominic M. Garces & Gerald H. L. Cheang - 2055-2068 Dynamic patterns of daily lead-lag networks in stock markets
by Yongli Li & Chao Liu & Tianchen Wang & Baiqing Sun - 2069-2087 Antinoise in U.S. equity markets
by Enoch Cheng & Clemens C. Struck - 2089-2101 Revisiting the Samuelson hypothesis on energy futures
by W.-H. Liu - 2103-2118 The interest rate factor in commodity markets
by Haicheng Shu - 2119-2135 Time-frequency forecast of the equity premium
by Gonçalo Faria & Fabio Verona
November 2021, Volume 21, Issue 11
- 1791-1805 Macroeconomic uncertainty and expected shortfall (and value at risk): a new dynamic semiparametric model
by Zhiyuan Pan & Yudong Wang & Li Liu - 1807-1808 The Rise and Fall of Business Firms: A Stochastic Framework on Innovation, Creative
by Rosario N. Mantegna - 1809-1824 CMS spread options
by Patrick S. Hagan & Andrew S. Lesniewski & G. E. Skoufis & Diana E. Woodward - 1825-1853 Investing with cryptocurrencies – evaluating their potential for portfolio allocation strategies
by Alla Petukhina & Simon Trimborn & Wolfgang Karl Härdle & Hermann Elendner - 1855-1868 Why has the equal weight portfolio underperformed and what can we do about it?
by B. H. Taljaard & E. Maré - 1869-1883 When do two- or three-fund separation theorems hold?
by Carole Bernard & Corrado De Vecchi & Steven Vanduffel - 1885-1904 The limitations of estimating implied densities from option prices
by Austin Shelton & Hayden Kane & Charles Favreau - 1905-1919 Structural breaks in Box-Cox transforms of realized volatility: a model selection perspective
by Simon Behrendt - 1921-1933 The Hull–White model under volatility uncertainty
by Julian Hölzermann - 1935-1954 Implied Markov transition matrices under structural price models
by Boris Defourny & Somayeh Moazeni - 1955-1975 Forecasting robust value-at-risk estimates: evidence from UK banks
by Marius Galabe Sampid & Haslifah M. Hasim - 1977-1992 CME iceberg order detection and prediction
by Dmitry Zotikov & Anton Antonov
October 2021, Volume 21, Issue 10
- 1605-1619 Tile test for back-testing risk evaluation
by Gilles Zumbach - 1621-1645 How does bank credit affect the shape of business groups' internal capital markets?
by Andrea Giovannetti - 1647-1667 Continuous-time stochastic mutual fund management game between active and passive funds
by Kai Han & Ximin Rong & Yang Shen & Hui Zhao - 1669-1685 Quantitative statistical robustness for tail-dependent law invariant risk measures
by Wei Wang & Huifu Xu & Tiejun Ma - 1687-1706 Implied volatility directional forecasting: a machine learning approach
by Spyridon D. Vrontos & John Galakis & Ioannis D. Vrontos - 1707-1721 Robust portfolio rebalancing with cardinality and diversification constraints
by Zhihua Zhao & Fengmin Xu & Donglei Du & Wang Meihua - 1723-1751 Optimal investment strategy in the family of 4/2 stochastic volatility models
by Yuyang Cheng & Marcos Escobar-Anel - 1753-1772 Option hedging using LSTM-RNN: an empirical analysis
by Junhuan Zhang & Wenjun Huang - 1773-1790 On a new parametrization class of solvable diffusion models and transition probability kernels
by Sebastian F. Tudor & Rupak Chatterjee & Igor Tydniouk