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Quantitative Finance最新文献

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Trade co-occurrence, trade flow decomposition and conditional order imbalance in equity markets 股票市场中的交易共现、交易流分解和条件订单失衡
IF 1.3 4区 经济学
Quantitative Finance Pub Date : 2024-06-19 DOI: 10.1080/14697688.2024.2358963
Yutong Lu, Gesine Reinert, Mihai Cucuringu
{"title":"Trade co-occurrence, trade flow decomposition and conditional order imbalance in equity markets","authors":"Yutong Lu, Gesine Reinert, Mihai Cucuringu","doi":"10.1080/14697688.2024.2358963","DOIUrl":"https://doi.org/10.1080/14697688.2024.2358963","url":null,"abstract":"The time proximity of high-frequency trades can contain a salient signal. In this paper, we propose a method to classify every trade, based on its proximity with other trades in the market within a...","PeriodicalId":20747,"journal":{"name":"Quantitative Finance","volume":"16 1","pages":""},"PeriodicalIF":1.3,"publicationDate":"2024-06-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141552981","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
Predicting forward default probabilities of firms: a discrete-time forward hazard model with firm-specific frailty 预测企业的远期违约概率：具有企业脆弱性的离散时间远期危险模型
IF 1.3 4区 经济学
Quantitative Finance Pub Date : 2024-06-18 DOI: 10.1080/14697688.2024.2363863
Ruey-Ching Hwang, Yi-Chi Chen
{"title":"Predicting forward default probabilities of firms: a discrete-time forward hazard model with firm-specific frailty","authors":"Ruey-Ching Hwang, Yi-Chi Chen","doi":"10.1080/14697688.2024.2363863","DOIUrl":"https://doi.org/10.1080/14697688.2024.2363863","url":null,"abstract":"Predicting the corporate default probability accurately is the core of credit risk management. There has been a relatively small amount of the literature on predicting a firm’s forward default risk...","PeriodicalId":20747,"journal":{"name":"Quantitative Finance","volume":"24 1","pages":""},"PeriodicalIF":1.3,"publicationDate":"2024-06-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141552984","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
Interest rate convexity in a Gaussian framework 高斯框架下的利率凸性
IF 1.3 4区 经济学
Quantitative Finance Pub Date : 2024-06-13 DOI: 10.1080/14697688.2024.2356234
Antoine Jacquier, Mugad Oumgari
{"title":"Interest rate convexity in a Gaussian framework","authors":"Antoine Jacquier, Mugad Oumgari","doi":"10.1080/14697688.2024.2356234","DOIUrl":"https://doi.org/10.1080/14697688.2024.2356234","url":null,"abstract":"The contributions of this paper are twofold: we define and investigate the properties of a short rate model driven by a general Gaussian Volterra process and, after defining precisely a notion of c...","PeriodicalId":20747,"journal":{"name":"Quantitative Finance","volume":"25 1","pages":""},"PeriodicalIF":1.3,"publicationDate":"2024-06-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141552982","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
Neural network approach to portfolio optimization with leverage constraints: a case study on high inflation investment 利用神经网络优化具有杠杆约束的投资组合：高通胀投资案例研究
IF 1.3 4区 经济学
Quantitative Finance Pub Date : 2024-06-11 DOI: 10.1080/14697688.2024.2357733
Chendi Ni, Yuying Li, Peter Forsyth
{"title":"Neural network approach to portfolio optimization with leverage constraints: a case study on high inflation investment","authors":"Chendi Ni, Yuying Li, Peter Forsyth","doi":"10.1080/14697688.2024.2357733","DOIUrl":"https://doi.org/10.1080/14697688.2024.2357733","url":null,"abstract":"Motivated by the current global high inflation scenario, we aim to discover a dynamic multi-period allocation strategy to optimally outperform a passive benchmark while adhering to a bounded levera...","PeriodicalId":20747,"journal":{"name":"Quantitative Finance","volume":"12 1","pages":""},"PeriodicalIF":1.3,"publicationDate":"2024-06-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141552983","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
Optimal reinsurance under a new design: two layers and multiple reinsurers 新设计下的最佳再保险：两层和多个再保险人
IF 1.3 4区 经济学
Quantitative Finance Pub Date : 2024-05-29 DOI: 10.1080/14697688.2024.2349019
Dingjun Yao, Jinxia Zhu
{"title":"Optimal reinsurance under a new design: two layers and multiple reinsurers","authors":"Dingjun Yao, Jinxia Zhu","doi":"10.1080/14697688.2024.2349019","DOIUrl":"https://doi.org/10.1080/14697688.2024.2349019","url":null,"abstract":"We investigate the optimal reinsurance problem considering a more realistic two-layer design involving excess-of-loss reinsurance and multiple reinsurers. Unlike the commonly assumed single-layer d...","PeriodicalId":20747,"journal":{"name":"Quantitative Finance","volume":"23 1","pages":""},"PeriodicalIF":1.3,"publicationDate":"2024-05-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141512347","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
A study on asset price bubble dynamics: explosive trend or quadratic variation? 资产价格泡沫动态研究：爆炸趋势还是二次变化？
IF 1.3 4区 经济学
Quantitative Finance Pub Date : 2024-05-29 DOI: 10.1080/14697688.2024.2342897
Robert A. Jarrow, Simon S. Kwok
{"title":"A study on asset price bubble dynamics: explosive trend or quadratic variation?","authors":"Robert A. Jarrow, Simon S. Kwok","doi":"10.1080/14697688.2024.2342897","DOIUrl":"https://doi.org/10.1080/14697688.2024.2342897","url":null,"abstract":"This paper posits that when an asset exhibits a bubble, its price process can be unbounded from above in finite time with positive probability if a quadratic variation (QV) risk premium is large en...","PeriodicalId":20747,"journal":{"name":"Quantitative Finance","volume":"22 1","pages":""},"PeriodicalIF":1.3,"publicationDate":"2024-05-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141512433","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
Do price trajectory data increase the efficiency of market impact estimation? 价格轨迹数据能否提高市场影响评估的效率？
IF 1.3 4区 经济学
Quantitative Finance Pub Date : 2024-05-29 DOI: 10.1080/14697688.2024.2351457
Fengpei Li, Vitalii Ihnatiuk, Yu Chen, Jiahe Lin, Ryan J. Kinnear, Anderson Schneider, Yuriy Nevmyvaka, Henry Lam
{"title":"Do price trajectory data increase the efficiency of market impact estimation?","authors":"Fengpei Li, Vitalii Ihnatiuk, Yu Chen, Jiahe Lin, Ryan J. Kinnear, Anderson Schneider, Yuriy Nevmyvaka, Henry Lam","doi":"10.1080/14697688.2024.2351457","DOIUrl":"https://doi.org/10.1080/14697688.2024.2351457","url":null,"abstract":"Market impact is an important problem faced by large institutional investors and active market participants. In this paper, we rigorously investigate whether price trajectory data from the metaorde...","PeriodicalId":20747,"journal":{"name":"Quantitative Finance","volume":"186 1","pages":""},"PeriodicalIF":1.3,"publicationDate":"2024-05-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141512346","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
Mean-variance portfolio with wealth and volatility dependent risk aversion 均值方差投资组合与财富和波动相关的风险规避
IF 1.3 4区 经济学
Quantitative Finance Pub Date : 2024-05-29 DOI: 10.1080/14697688.2024.2353874
Shican Liu
{"title":"Mean-variance portfolio with wealth and volatility dependent risk aversion","authors":"Shican Liu","doi":"10.1080/14697688.2024.2353874","DOIUrl":"https://doi.org/10.1080/14697688.2024.2353874","url":null,"abstract":"Risk aversion rate plays a significant role in mean-variance portfolio selection. Most existing literature assumes it to be constant or wealth dependent, which is unrealistic. In this study, I cont...","PeriodicalId":20747,"journal":{"name":"Quantitative Finance","volume":"204 1","pages":""},"PeriodicalIF":1.3,"publicationDate":"2024-05-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141512434","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
Risk management under weighted limited expected loss 加权有限预期损失下的风险管理
IF 1.3 4区 经济学
Quantitative Finance Pub Date : 2024-05-29 DOI: 10.1080/14697688.2024.2352542
An Chen, Thai Nguyen
{"title":"Risk management under weighted limited expected loss","authors":"An Chen, Thai Nguyen","doi":"10.1080/14697688.2024.2352542","DOIUrl":"https://doi.org/10.1080/14697688.2024.2352542","url":null,"abstract":"We present and solve an optimal asset allocation problem under a weighted limited expected loss (WLEL) constraint. This formulation encompasses the risk management problem with a limited expected l...","PeriodicalId":20747,"journal":{"name":"Quantitative Finance","volume":"29 1","pages":""},"PeriodicalIF":1.3,"publicationDate":"2024-05-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141512432","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
Online learning of order flow and market impact with Bayesian change-point detection methods 利用贝叶斯变化点检测方法在线学习订单流和市场影响
IF 1.3 4区 经济学
Quantitative Finance Pub Date : 2024-05-05 DOI: 10.1080/14697688.2024.2337300
Ioanna-Yvonni Tsaknaki, Fabrizio Lillo, Piero Mazzarisi
{"title":"Online learning of order flow and market impact with Bayesian change-point detection methods","authors":"Ioanna-Yvonni Tsaknaki, Fabrizio Lillo, Piero Mazzarisi","doi":"10.1080/14697688.2024.2337300","DOIUrl":"https://doi.org/10.1080/14697688.2024.2337300","url":null,"abstract":"Financial order flow exhibits a remarkable level of persistence, wherein buy (sell) trades are often followed by subsequent buy (sell) trades over extended periods. This persistence can be attribut...","PeriodicalId":20747,"journal":{"name":"Quantitative Finance","volume":"13 1","pages":""},"PeriodicalIF":1.3,"publicationDate":"2024-05-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141512435","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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