发布求助
文献互助 智能选刊 最新文献

Quantitative Finance最新文献

筛选
英文 中文
Physics-informed convolutional transformer for predicting volatility surface 预测波动面的物理信息卷积变换器
IF 1.3 4区 经济学
Quantitative Finance Pub Date : 2024-01-09 DOI: 10.1080/14697688.2023.2294799
Soohan Kim, Seok-Bae Yun, Hyeong-Ohk Bae, Muhyun Lee, Youngjoon Hong
{"title":"Physics-informed convolutional transformer for predicting volatility surface","authors":"Soohan Kim, Seok-Bae Yun, Hyeong-Ohk Bae, Muhyun Lee, Youngjoon Hong","doi":"10.1080/14697688.2023.2294799","DOIUrl":"https://doi.org/10.1080/14697688.2023.2294799","url":null,"abstract":"Predicting volatility is important for asset predicting, option pricing and hedging strategies because it cannot be directly observed in the financial market. The dynamics of the volatility surface...","PeriodicalId":20747,"journal":{"name":"Quantitative Finance","volume":"69 1","pages":""},"PeriodicalIF":1.3,"publicationDate":"2024-01-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139411830","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
Estimating correlations among elliptically distributed random variables under any form of heteroskedasticity 在任何形式的异方差下估算椭圆分布随机变量之间的相关性
IF 1.3 4区 经济学
Quantitative Finance Pub Date : 2024-01-04 DOI: 10.1080/14697688.2023.2278502
Matteo Pelagatti, Giacomo Sbrana
{"title":"Estimating correlations among elliptically distributed random variables under any form of heteroskedasticity","authors":"Matteo Pelagatti, Giacomo Sbrana","doi":"10.1080/14697688.2023.2278502","DOIUrl":"https://doi.org/10.1080/14697688.2023.2278502","url":null,"abstract":"The paper introduces a semiparametric estimator of the correlations among elliptically distributed random variables invariant to any form of heteroscedasticity, robust to outliers, and asymptotical...","PeriodicalId":20747,"journal":{"name":"Quantitative Finance","volume":"11 1","pages":""},"PeriodicalIF":1.3,"publicationDate":"2024-01-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139374094","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
Deep attentive survival analysis in limit order books: estimating fill probabilities with convolutional-transformers 限价订单簿中的深度存活分析：利用卷积变换器估算成交概率
IF 1.3 4区 经济学
Quantitative Finance Pub Date : 2024-01-04 DOI: 10.1080/14697688.2023.2286351
Álvaro Arroyo, Álvaro Cartea, Fernando Moreno-Pino, Stefan Zohren
{"title":"Deep attentive survival analysis in limit order books: estimating fill probabilities with convolutional-transformers","authors":"Álvaro Arroyo, Álvaro Cartea, Fernando Moreno-Pino, Stefan Zohren","doi":"10.1080/14697688.2023.2286351","DOIUrl":"https://doi.org/10.1080/14697688.2023.2286351","url":null,"abstract":"One of the key decisions in execution strategies is the choice between a passive (liquidity providing) or an aggressive (liquidity taking) order to execute a trade in a limit order book (LOB). Esse...","PeriodicalId":20747,"journal":{"name":"Quantitative Finance","volume":"22 1","pages":""},"PeriodicalIF":1.3,"publicationDate":"2024-01-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139373991","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
Adaptive online mean-variance portfolio selection with transaction costs 有交易成本的自适应在线均值-方差投资组合选择
IF 1.3 4区 经济学
Quantitative Finance Pub Date : 2023-12-19 DOI: 10.1080/14697688.2023.2287134
Sini Guo, Jia-Wen Gu, Wai-Ki Ching, Benmeng Lyu
{"title":"Adaptive online mean-variance portfolio selection with transaction costs","authors":"Sini Guo, Jia-Wen Gu, Wai-Ki Ching, Benmeng Lyu","doi":"10.1080/14697688.2023.2287134","DOIUrl":"https://doi.org/10.1080/14697688.2023.2287134","url":null,"abstract":"Online portfolio selection is attracting increasing attention in both artificial intelligence and finance communities due to its efficiency and practicability in deriving optimal investment strateg...","PeriodicalId":20747,"journal":{"name":"Quantitative Finance","volume":"33 1","pages":""},"PeriodicalIF":1.3,"publicationDate":"2023-12-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138821087","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 parametric optimal execution and machine learning surrogates 关于参数优化执行和机器学习代用程序
IF 1.3 4区 经济学
Quantitative Finance Pub Date : 2023-12-19 DOI: 10.1080/14697688.2023.2282657
Tao Chen, Mike Ludkovski, Moritz Voß
{"title":"On parametric optimal execution and machine learning surrogates","authors":"Tao Chen, Mike Ludkovski, Moritz Voß","doi":"10.1080/14697688.2023.2282657","DOIUrl":"https://doi.org/10.1080/14697688.2023.2282657","url":null,"abstract":"We investigate optimal order execution problems in discrete time with instantaneous price impact and stochastic resilience. First, in the setting of linear transient price impact we derive a closed...","PeriodicalId":20747,"journal":{"name":"Quantitative Finance","volume":"87 1","pages":""},"PeriodicalIF":1.3,"publicationDate":"2023-12-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139028442","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
Regime-switching affine term structures 时序切换仿射项结构
IF 1.3 4区 经济学
Quantitative Finance Pub Date : 2023-12-19 DOI: 10.1080/14697688.2023.2288871
Andreas Celary, Zehra Eksi-Altay, Paul Krühner
{"title":"Regime-switching affine term structures","authors":"Andreas Celary, Zehra Eksi-Altay, Paul Krühner","doi":"10.1080/14697688.2023.2288871","DOIUrl":"https://doi.org/10.1080/14697688.2023.2288871","url":null,"abstract":"We consider an HJM model setting for Markov-chain modulated forward rates. The underlying Markov chain is assumed to induce regime switches on the forward curve dynamics. Our primary focus is on th...","PeriodicalId":20747,"journal":{"name":"Quantitative Finance","volume":"1 1","pages":""},"PeriodicalIF":1.3,"publicationDate":"2023-12-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139028674","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
Functional quantization of rough volatility and applications to volatility derivatives 粗糙波动率的函数量化及其在波动率衍生品中的应用
IF 1.3 4区 经济学
Quantitative Finance Pub Date : 2023-12-03 DOI: 10.1080/14697688.2023.2273414
O. Bonesini, G. Callegaro, A. Jacquier
{"title":"Functional quantization of rough volatility and applications to volatility derivatives","authors":"O. Bonesini, G. Callegaro, A. Jacquier","doi":"10.1080/14697688.2023.2273414","DOIUrl":"https://doi.org/10.1080/14697688.2023.2273414","url":null,"abstract":"We develop a product functional quantization of rough volatility. Since the optimal quantizers can be computed offline, this new technique, built on the insightful works by [Luschgy, H. and Pagès, ...","PeriodicalId":20747,"journal":{"name":"Quantitative Finance","volume":"23 1","pages":""},"PeriodicalIF":1.3,"publicationDate":"2023-12-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138531654","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
The Politics of Financial Control: The Role of the House of Commons 金融控制的政治:下议院的角色
IF 1.3 4区 经济学
Quantitative Finance Pub Date : 2023-12-01 DOI: 10.1080/14697688.2023.2283200
Teguh Ahmad Asparill, Rossy Lambelanova, Andi Pitono
{"title":"The Politics of Financial Control: The Role of the House of Commons","authors":"Teguh Ahmad Asparill, Rossy Lambelanova, Andi Pitono","doi":"10.1080/14697688.2023.2283200","DOIUrl":"https://doi.org/10.1080/14697688.2023.2283200","url":null,"abstract":"Published in Quantitative Finance (Ahead of Print, 2023)","PeriodicalId":20747,"journal":{"name":"Quantitative Finance","volume":"163 1","pages":""},"PeriodicalIF":1.3,"publicationDate":"2023-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138531658","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
Centred expected shortfall (CES): a traditional asset manager’s view on decomposing downside investment risk 中心预期缺口(CES):传统资产管理公司对下行投资风险分解的观点
IF 1.3 4区 经济学
Quantitative Finance Pub Date : 2023-12-01 DOI: 10.1080/14697688.2023.2269992
Erik Kroon, Mehdi-Vincent Hacini, Koye Somefun
{"title":"Centred expected shortfall (CES): a traditional asset manager’s view on decomposing downside investment risk","authors":"Erik Kroon, Mehdi-Vincent Hacini, Koye Somefun","doi":"10.1080/14697688.2023.2269992","DOIUrl":"https://doi.org/10.1080/14697688.2023.2269992","url":null,"abstract":"Risk driver contributions are key to understanding portfolio risk. Often, this is done by decomposing portfolio volatility. This is problematic in the presence of non-elliptical distributions. Some...","PeriodicalId":20747,"journal":{"name":"Quantitative Finance","volume":"4 1","pages":""},"PeriodicalIF":1.3,"publicationDate":"2023-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138531657","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
Bubbles and dependence between international equity markets 国际股票市场之间的泡沫和依赖
IF 1.3 4区 经济学
Quantitative Finance Pub Date : 2023-11-23 DOI: 10.1080/14697688.2023.2278508
Wuyi Ye, Lingbo Gao, Xiaoquan Liu
{"title":"Bubbles and dependence between international equity markets","authors":"Wuyi Ye, Lingbo Gao, Xiaoquan Liu","doi":"10.1080/14697688.2023.2278508","DOIUrl":"https://doi.org/10.1080/14697688.2023.2278508","url":null,"abstract":"In this study, we develop a copula-based Markov regime-switching model using information contained in asset price bubbles to explore the dynamic dependence between international equity markets. Thi...","PeriodicalId":20747,"journal":{"name":"Quantitative Finance","volume":"22 1","pages":""},"PeriodicalIF":1.3,"publicationDate":"2023-11-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138531647","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
首页 上一页 下一页 尾页
0
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
提示
您的信息不完整，为了账户安全，请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
现在去查看 取消
×
提示
确定
请完成安全验证×
相关产品
×
本文献相关产品
联系我们：info@booksci.cn Book学术提供免费学术资源搜索服务，方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。 Copyright © 2023 布克学术 All rights reserved.
京ICP备2023020795号-1
ghs 京公网安备 11010802042870号
Book学术文献互助
Book学术文献互助群
群 号：481959085
Book学术官方微信