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On the impact of feeding cost risk in aquaculture valuation and decision making 饲养成本风险对水产养殖估值和决策的影响
IF 1.3 4区 经济学
Quantitative Finance Pub Date : 2024-02-14 DOI: 10.1080/14697688.2024.2308069
Christian Oliver Ewald, Kevin Kamm
{"title":"On the impact of feeding cost risk in aquaculture valuation and decision making","authors":"Christian Oliver Ewald, Kevin Kamm","doi":"10.1080/14697688.2024.2308069","DOIUrl":"https://doi.org/10.1080/14697688.2024.2308069","url":null,"abstract":"We study the effect of stochastic feeding costs on animal-based commodities with particular focus on aquaculture. More specifically, we use soybean futures to infer on the stochastic behavior of sa...","PeriodicalId":20747,"journal":{"name":"Quantitative Finance","volume":"25 1","pages":""},"PeriodicalIF":1.3,"publicationDate":"2024-02-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139753030","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
Fin-GAN: forecasting and classifying financial time series via generative adversarial networks Fin-GAN：通过生成式对抗网络对金融时间序列进行预测和分类
IF 1.3 4区 经济学
Quantitative Finance Pub Date : 2024-02-13 DOI: 10.1080/14697688.2023.2299466
Milena Vuletić, Felix Prenzel, Mihai Cucuringu
{"title":"Fin-GAN: forecasting and classifying financial time series via generative adversarial networks","authors":"Milena Vuletić, Felix Prenzel, Mihai Cucuringu","doi":"10.1080/14697688.2023.2299466","DOIUrl":"https://doi.org/10.1080/14697688.2023.2299466","url":null,"abstract":"We investigate the use of Generative Adversarial Networks (GANs) for probabilistic forecasting of financial time series. To this end, we introduce a novel economics-driven loss function for the gen...","PeriodicalId":20747,"journal":{"name":"Quantitative Finance","volume":"134 1","pages":""},"PeriodicalIF":1.3,"publicationDate":"2024-02-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139903168","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 sharing with deep neural networks 利用深度神经网络分担风险
IF 1.3 4区 经济学
Quantitative Finance Pub Date : 2024-02-13 DOI: 10.1080/14697688.2024.2307493
M. Burzoni, A. Doldi, E. Monzio Compagnoni
{"title":"Risk sharing with deep neural networks","authors":"M. Burzoni, A. Doldi, E. Monzio Compagnoni","doi":"10.1080/14697688.2024.2307493","DOIUrl":"https://doi.org/10.1080/14697688.2024.2307493","url":null,"abstract":"We consider the problem of optimally sharing a financial position among agents with potentially different reference risk measures. The problem is equivalent to computing the infimal convolution of ...","PeriodicalId":20747,"journal":{"name":"Quantitative Finance","volume":"256 1","pages":""},"PeriodicalIF":1.3,"publicationDate":"2024-02-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139903156","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
Dynamic currency hedging with non-Gaussianity and ambiguity 具有非高斯性和模糊性的动态货币套期保值
IF 1.3 4区 经济学
Quantitative Finance Pub Date : 2024-02-13 DOI: 10.1080/14697688.2023.2301419
Paweł Polak, Urban Ulrych
{"title":"Dynamic currency hedging with non-Gaussianity and ambiguity","authors":"Paweł Polak, Urban Ulrych","doi":"10.1080/14697688.2023.2301419","DOIUrl":"https://doi.org/10.1080/14697688.2023.2301419","url":null,"abstract":"This paper introduces a non-Gaussian dynamic currency hedging strategy for globally diversified investors with ambiguity. It provides theoretical and empirical evidence that, under the stylized fac...","PeriodicalId":20747,"journal":{"name":"Quantitative Finance","volume":"11 1","pages":""},"PeriodicalIF":1.3,"publicationDate":"2024-02-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139903324","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 is cross impact relevant? 交叉影响何时相关？
IF 1.3 4区 经济学
Quantitative Finance Pub Date : 2024-02-06 DOI: 10.1080/14697688.2024.2302827
Victor Le Coz, Iacopo Mastromatteo, Damien Challet, Michael Benzaquen
{"title":"When is cross impact relevant?","authors":"Victor Le Coz, Iacopo Mastromatteo, Damien Challet, Michael Benzaquen","doi":"10.1080/14697688.2024.2302827","DOIUrl":"https://doi.org/10.1080/14697688.2024.2302827","url":null,"abstract":"Trading pressure from one asset can move the price of another, a phenomenon referred to as cross impact. Using tick-by-tick data spanning 5 years for 500 assets listed in the United States, we iden...","PeriodicalId":20747,"journal":{"name":"Quantitative Finance","volume":"1 1","pages":""},"PeriodicalIF":1.3,"publicationDate":"2024-02-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139753203","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
Implied roughness in the term structure of oil market volatility 石油市场波动期限结构的隐含粗糙度
IF 1.3 4区 经济学
Quantitative Finance Pub Date : 2024-01-31 DOI: 10.1080/14697688.2023.2291081
Mesias Alfeus, Christina S. Nikitopoulos, Ludger Overbeck
{"title":"Implied roughness in the term structure of oil market volatility","authors":"Mesias Alfeus, Christina S. Nikitopoulos, Ludger Overbeck","doi":"10.1080/14697688.2023.2291081","DOIUrl":"https://doi.org/10.1080/14697688.2023.2291081","url":null,"abstract":"This paper analyses the attributes and the significance of the roughness of oil market volatility. We employ unspanned stochastic volatility models driven by rough Brownian motions that yield semi-...","PeriodicalId":20747,"journal":{"name":"Quantitative Finance","volume":"8 1","pages":""},"PeriodicalIF":1.3,"publicationDate":"2024-01-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139753235","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 generalization of the rational rough Heston approximation 有理粗略赫斯顿近似的一般化
IF 1.3 4区 经济学
Quantitative Finance Pub Date : 2024-01-22 DOI: 10.1080/14697688.2024.2302055
Jim Gatheral, Radoš Radoičić
{"title":"A generalization of the rational rough Heston approximation","authors":"Jim Gatheral, Radoš Radoičić","doi":"10.1080/14697688.2024.2302055","DOIUrl":"https://doi.org/10.1080/14697688.2024.2302055","url":null,"abstract":"Previously, in Gatheral and Radoičić (Rational approximation of the rough Heston solution. Int. J. Theor. Appl. Finance, 2019, 22(3), 1950010), we derived a rational approximation of the solution o...","PeriodicalId":20747,"journal":{"name":"Quantitative Finance","volume":"14 1","pages":""},"PeriodicalIF":1.3,"publicationDate":"2024-01-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139515590","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 unified formula of the optimal portfolio for piecewise hyperbolic absolute risk aversion utilities 片状双曲绝对风险规避效用的最优投资组合统一公式
IF 1.3 4区 经济学
Quantitative Finance Pub Date : 2024-01-19 DOI: 10.1080/14697688.2023.2300664
Zongxia Liang, Yang Liu, Ming Ma, Rahul Pothi Vinoth
{"title":"A unified formula of the optimal portfolio for piecewise hyperbolic absolute risk aversion utilities","authors":"Zongxia Liang, Yang Liu, Ming Ma, Rahul Pothi Vinoth","doi":"10.1080/14697688.2023.2300664","DOIUrl":"https://doi.org/10.1080/14697688.2023.2300664","url":null,"abstract":"We propose a general family of piecewise hyperbolic absolute risk aversion (PHARA) utilities, including many classic and non-standard utilities as examples. A typical application is the composition...","PeriodicalId":20747,"journal":{"name":"Quantitative Finance","volume":"2 1","pages":""},"PeriodicalIF":1.3,"publicationDate":"2024-01-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139515944","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 the optimal forecast with the fractional Brownian motion 关于分数布朗运动的最优预测
IF 1.3 4区 经济学
Quantitative Finance Pub Date : 2024-01-15 DOI: 10.1080/14697688.2023.2297730
Xiaohu Wang, Jun Yu, Chen Zhang
{"title":"On the optimal forecast with the fractional Brownian motion","authors":"Xiaohu Wang, Jun Yu, Chen Zhang","doi":"10.1080/14697688.2023.2297730","DOIUrl":"https://doi.org/10.1080/14697688.2023.2297730","url":null,"abstract":"This paper investigates the performance of different forecasting formulas with fractional Brownian motion based on discrete and finite samples. Existing literature presents two formulas for generat...","PeriodicalId":20747,"journal":{"name":"Quantitative Finance","volume":"72 1","pages":""},"PeriodicalIF":1.3,"publicationDate":"2024-01-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139498958","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
An early indicator for anomalous stock market performance 股市异常表现的早期指标
IF 1.3 4区 经济学
Quantitative Finance Pub Date : 2024-01-10 DOI: 10.1080/14697688.2023.2281529
Marlon Fritz, Thomas Gries, Lukas Wiechers
{"title":"An early indicator for anomalous stock market performance","authors":"Marlon Fritz, Thomas Gries, Lukas Wiechers","doi":"10.1080/14697688.2023.2281529","DOIUrl":"https://doi.org/10.1080/14697688.2023.2281529","url":null,"abstract":"We propose an indicator for detecting anomalous stock market valuation in real time such that market participants receive timely signals so as to be able to take stabilizing action. Unlike existing...","PeriodicalId":20747,"journal":{"name":"Quantitative Finance","volume":"52 1","pages":""},"PeriodicalIF":1.3,"publicationDate":"2024-01-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139411865","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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