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Regulating stochastic clocks§ 调节随机时钟§
IF 1.3 4区 经济学
Quantitative Finance Pub Date : 2024-07-25 DOI: 10.1080/14697688.2024.2376743
Zhe Fei, Weixuan Xia
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引用次数: 0
Covariance matrix filtering and portfolio optimisation: the average oracle vs non-linear shrinkage and all the variants of DCC-NLS 协方差矩阵过滤与投资组合优化：平均甲骨文与非线性收缩以及 DCC-NLS 的所有变体
IF 1.3 4区 经济学
Quantitative Finance Pub Date : 2024-07-16 DOI: 10.1080/14697688.2024.2372053
Christian Bongiorno, Damien Challet
{"title":"Covariance matrix filtering and portfolio optimisation: the average oracle vs non-linear shrinkage and all the variants of DCC-NLS","authors":"Christian Bongiorno, Damien Challet","doi":"10.1080/14697688.2024.2372053","DOIUrl":"https://doi.org/10.1080/14697688.2024.2372053","url":null,"abstract":"The Average Oracle, a simple and very fast covariance filtering method, is shown to yield superior Sharpe ratios than the current state-of-the-art (and complex) methods, Dynamic Conditional Covaria...","PeriodicalId":20747,"journal":{"name":"Quantitative Finance","volume":"2017 1","pages":""},"PeriodicalIF":1.3,"publicationDate":"2024-07-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141940719","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Equity auction dynamics: latent liquidity models with activity acceleration 股票拍卖动态：活动加速的潜在流动性模型
IF 1.3 4区 经济学
Quantitative Finance Pub Date : 2024-07-15 DOI: 10.1080/14697688.2024.2367680
Mohammed Salek, Damien Challet, Ioane Muni Toke
{"title":"Equity auction dynamics: latent liquidity models with activity acceleration","authors":"Mohammed Salek, Damien Challet, Ioane Muni Toke","doi":"10.1080/14697688.2024.2367680","DOIUrl":"https://doi.org/10.1080/14697688.2024.2367680","url":null,"abstract":"Equity auctions display several distinctive characteristics in contrast to continuous trading. As the auction time approaches, the rate of events accelerates causing a substantial liquidity buildup...","PeriodicalId":20747,"journal":{"name":"Quantitative Finance","volume":"48 1","pages":""},"PeriodicalIF":1.3,"publicationDate":"2024-07-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141719787","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Valuation and hedging of cryptocurrency inverse options 加密货币反向期权的估值和对冲
IF 1.3 4区 经济学
Quantitative Finance Pub Date : 2024-07-12 DOI: 10.1080/14697688.2024.2364804
V. Lucic, A. Sepp
{"title":"Valuation and hedging of cryptocurrency inverse options","authors":"V. Lucic, A. Sepp","doi":"10.1080/14697688.2024.2364804","DOIUrl":"https://doi.org/10.1080/14697688.2024.2364804","url":null,"abstract":"Currently, the most liquidly traded options on the crypto underlying are the so-called inverse options. An inverse option contract is quoted and traded in the units of the underlying cryptocurrency...","PeriodicalId":20747,"journal":{"name":"Quantitative Finance","volume":"38 1","pages":""},"PeriodicalIF":1.3,"publicationDate":"2024-07-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141608674","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
When to efficiently rebalance a portfolio 何时有效地重新平衡投资组合
IF 1.3 4区 经济学
Quantitative Finance Pub Date : 2024-07-08 DOI: 10.1080/14697688.2024.2371479
Masayuki Ando, Masaaki Fukasawa
{"title":"When to efficiently rebalance a portfolio","authors":"Masayuki Ando, Masaaki Fukasawa","doi":"10.1080/14697688.2024.2371479","DOIUrl":"https://doi.org/10.1080/14697688.2024.2371479","url":null,"abstract":"A constant weight asset allocation is a popular investment strategy and is optimal under a suitable continuous model. We study the tracking error for the target continuous rebalancing strategy by a...","PeriodicalId":20747,"journal":{"name":"Quantitative Finance","volume":"57 1","pages":""},"PeriodicalIF":1.3,"publicationDate":"2024-07-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141940718","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
On joint marginal expected shortfall and associated contribution risk measures 关于联合边际预期短缺和相关会费风险措施
IF 1.3 4区 经济学
Quantitative Finance Pub Date : 2024-07-04 DOI: 10.1080/14697688.2024.2366963
Tong Pu, Yifei Zhang, Yiying Zhang
{"title":"On joint marginal expected shortfall and associated contribution risk measures","authors":"Tong Pu, Yifei Zhang, Yiying Zhang","doi":"10.1080/14697688.2024.2366963","DOIUrl":"https://doi.org/10.1080/14697688.2024.2366963","url":null,"abstract":"Systemic risk is the risk that a company- or industry-level risk could trigger a huge collapse of another or even the whole institution. Various systemic risk measures have been proposed in the lit...","PeriodicalId":20747,"journal":{"name":"Quantitative Finance","volume":"76 1","pages":""},"PeriodicalIF":1.3,"publicationDate":"2024-07-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141566898","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Introducing and testing the Carr model of default 引入并测试卡尔违约模式
IF 1.3 4区 经济学
Quantitative Finance Pub Date : 2024-07-02 DOI: 10.1080/14697688.2024.2368081
Federico Maglione
{"title":"Introducing and testing the Carr model of default","authors":"Federico Maglione","doi":"10.1080/14697688.2024.2368081","DOIUrl":"https://doi.org/10.1080/14697688.2024.2368081","url":null,"abstract":"The Merton (On the pricing of corporate debt: The risk structure of interest rates. J. Finance, 1974, 29, 449–470) model is often considered the simplest structural model of default. Its famous mod...","PeriodicalId":20747,"journal":{"name":"Quantitative Finance","volume":"141 1","pages":""},"PeriodicalIF":1.3,"publicationDate":"2024-07-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141566900","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Weight bound constraints in mean-variance models: a robust control theory foundation via machine learning 均值-方差模型中的权重约束：通过机器学习的鲁棒控制理论基础
IF 1.3 4区 经济学
Quantitative Finance Pub Date : 2024-07-02 DOI: 10.1080/14697688.2024.2358954
Gilles Boevi Koumou
{"title":"Weight bound constraints in mean-variance models: a robust control theory foundation via machine learning","authors":"Gilles Boevi Koumou","doi":"10.1080/14697688.2024.2358954","DOIUrl":"https://doi.org/10.1080/14697688.2024.2358954","url":null,"abstract":"Using an innovative representation of the weight bound constrained Markowitz's (Portfolio selection. J. Finance, 1952, 7, 77–91) mean-variance model, developed using the support vector data descrip...","PeriodicalId":20747,"journal":{"name":"Quantitative Finance","volume":"54 1","pages":""},"PeriodicalIF":1.3,"publicationDate":"2024-07-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141608518","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Causal Factor Investing 因果因素投资
IF 1.3 4区 经济学
Quantitative Finance Pub Date : 2024-07-01 DOI: 10.1080/14697688.2024.2354849
Luis Seco
{"title":"Causal Factor Investing","authors":"Luis Seco","doi":"10.1080/14697688.2024.2354849","DOIUrl":"https://doi.org/10.1080/14697688.2024.2354849","url":null,"abstract":"Published in Quantitative Finance (Ahead of Print, 2024)","PeriodicalId":20747,"journal":{"name":"Quantitative Finance","volume":"56 1","pages":""},"PeriodicalIF":1.3,"publicationDate":"2024-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141552980","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Earnings mean reversion and dynamic optimal capital structure 收益均值回归与动态优化资本结构
IF 1.3 4区 经济学
Quantitative Finance Pub Date : 2024-06-26 DOI: 10.1080/14697688.2024.2361018
Elettra Agliardi, Marios Charalambides, Nicos Koussis
{"title":"Earnings mean reversion and dynamic optimal capital structure","authors":"Elettra Agliardi, Marios Charalambides, Nicos Koussis","doi":"10.1080/14697688.2024.2361018","DOIUrl":"https://doi.org/10.1080/14697688.2024.2361018","url":null,"abstract":"We formulate a trade-off model that integrates mean reversion in earnings, encompassing dynamic financing decisions that entail both the initial leverage selection and the subsequent decision relat...","PeriodicalId":20747,"journal":{"name":"Quantitative Finance","volume":"93 1","pages":""},"PeriodicalIF":1.3,"publicationDate":"2024-06-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141744088","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
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