ERN: Other Econometrics: Mathematical Methods & Programming (Topic)最新文献_第2页

Integrated Global Asset Management: Quantitative Country ETF Trading Strategy 综合全球资产管理:量化国家ETF交易策略

ERN: Other Econometrics: Mathematical Methods & Programming (Topic) Pub Date : 2020-04-01 DOI: 10.2139/ssrn.3570128

Arturo Aguilar, Xiaochen Lin, Wen Jiang

{"title":"Integrated Global Asset Management: Quantitative Country ETF Trading Strategy","authors":"Arturo Aguilar, Xiaochen Lin, Wen Jiang","doi":"10.2139/ssrn.3570128","DOIUrl":"https://doi.org/10.2139/ssrn.3570128","url":null,"abstract":"This paper unveils the processes for building a country’s trading strategy that can outperform the MSCI Indexes and on the factor basis. By exploring the belief and experimenting with the structure in place, there seems to be enough room to build a quantitative investment strategy that generates high-quality predictive signals (alphas) considering each countries’ expected equity and currency performances. We created, developed and deployed a set of systematic strategies which produces impressive returns using country Exchange-Traded Funds (ETFs) with the objective to generate returns, risk profiles, automations, modernizations, and optimizations to outperform the iShares MSCI ACWI ETF (ACWI) and the iShares MSCI ACWI ex US ETF (ACWX) and similar benchmarks and evidences within the industry based on extensive data, mathematical, market, and statistical analysis that we used in: \u0000 \u00001) risk and scoring metrics such as technical, fundamental, economic, market sentiment and alternative descriptors and \u0000 \u00002) factor modeling paradigms and developments could reveal the weighted market exposure for the dynamic multi-step asset allocation by country in a world of multi-period electronic trading and information.","PeriodicalId":365755,"journal":{"name":"ERN: Other Econometrics: Mathematical Methods & Programming (Topic)","volume":"70 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132846413","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 1

Overfitting: Causes and Solutions (Seminar Slides) 过拟合:原因与解决方案(研讨会幻灯片)

ERN: Other Econometrics: Mathematical Methods & Programming (Topic) Pub Date : 2020-02-26 DOI: 10.2139/ssrn.3544431

Marcos M. López de Prado

引用次数: 2

Self-Justified Equilibria: Existence and Computation 自证平衡:存在与计算

ERN: Other Econometrics: Mathematical Methods & Programming (Topic) Pub Date : 2019-11-28 DOI: 10.2139/ssrn.3494876

Felix Kubler, S. Scheidegger

引用次数: 11

Optimal Experimental Design for Staggered Rollouts 交错布局的优化实验设计

ERN: Other Econometrics: Mathematical Methods & Programming (Topic) Pub Date : 2019-11-09 DOI: 10.2139/ssrn.3483934

Ruoxuan Xiong, S. Athey, M. Bayati, G. Imbens

{"title":"Optimal Experimental Design for Staggered Rollouts","authors":"Ruoxuan Xiong, S. Athey, M. Bayati, G. Imbens","doi":"10.2139/ssrn.3483934","DOIUrl":"https://doi.org/10.2139/ssrn.3483934","url":null,"abstract":"Experimentation has become an increasingly prevalent tool for guiding decision-making and policy choices. A common hurdle in designing experiments is the lack of statistical power. In this paper, we study the optimal multi-period experimental design under the constraint that the treatment cannot be easily removed once implemented; for example, a government might implement a public health intervention in different geographies at different times, where the treatment cannot be easily removed due to practical constraints. The treatment design problem is to select which geographies (referred by units) to treat at which time, intending to test hypotheses about the effect of the treatment. When the potential outcome is a linear function of unit and time effects, and discrete observed/latent covariates, we provide an analytically feasible solution to the optimal treatment design problem where the variance of the treatment effect estimator is at most 1+O(1/N^2) times the variance using the optimal treatment design, where N is the number of units. This solution assigns units in a staggered treatment adoption pattern - if the treatment only affects one period, the optimal fraction of treated units in each period increases linearly in time; if the treatment affects multiple periods, the optimal fraction increases non-linearly in time, smaller at the beginning and larger at the end. In the general setting where outcomes depend on latent covariates, we show that historical data can be utilized in designing experiments. We propose a data-driven local search algorithm to assign units to treatment times. We demonstrate that our approach improves upon benchmark experimental designs via synthetic interventions on the influenza occurrence rate and synthetic experiments on interventions for in-home medical services and grocery expenditure.","PeriodicalId":365755,"journal":{"name":"ERN: Other Econometrics: Mathematical Methods & Programming (Topic)","volume":"124 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-11-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121535027","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 31

Decomposing Rating Migration Matrices From Market Prices Part C: Sources of Non-Linearity and Resolve 从市场价格分解评级迁移矩阵(C):非线性的来源与解决

ERN: Other Econometrics: Mathematical Methods & Programming (Topic) Pub Date : 2019-11-03 DOI: 10.2139/ssrn.3479875

B. Barnard

{"title":"Decomposing Rating Migration Matrices From Market Prices Part C: Sources of Non-Linearity and Resolve","authors":"B. Barnard","doi":"10.2139/ssrn.3479875","DOIUrl":"https://doi.org/10.2139/ssrn.3479875","url":null,"abstract":"The study continues previous work on decomposing rating migration matrices from market prices. It further investigates the matter of the associated optimization problem, in plain form, yielding multiple possible local solutions. The sources of non-linearity and complexity of the optimization problem are outlined. This includes the rating category migration variance results of solutions, in terms of values and spacing, and within matrix rating category structures. Plain optimization problem decompositions struggle to surface, and correct both rating category migration variance values and spacing, and rating category matrix structures. Generally, full matrix decompositions require good initial solutions, to yield good results. Matrix averaging and matrix sampling are considered. Matrix averaging is based on limited coefficient counts or sets – not using the full coefficient count, but rather grouping coefficients. Matrix sampling forms an approximation of the matrix, in a sense through parsimony. Matrix averaging represents simple(r) optimization problems, and offers easy solutions, with good results and information, but offer poor initial solutions for full matrix decomposition. Matrix sampling can offer good indications, and good initial solutions for full matrix decomposition. Full matrix decomposition from initial solutions sourced through matrix sampling offers good results. Overall, revisiting and re-examining the way that the optimization algorithm searches optimal solutions based on the initial solution provided, can further improve decomposition results.","PeriodicalId":365755,"journal":{"name":"ERN: Other Econometrics: Mathematical Methods & Programming (Topic)","volume":"8 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-11-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121230497","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Robust Analysis for Premium-Reserve Models in a Stochastic Nonlinear Discrete-Time Varying Framework 随机非线性离散时变框架下溢价储备模型的鲁棒性分析

ERN: Other Econometrics: Mathematical Methods & Programming (Topic) Pub Date : 2019-09-30 DOI: 10.2139/ssrn.3221505

Rong Li, A. Pantelous, Lin Yang

{"title":"Robust Analysis for Premium-Reserve Models in a Stochastic Nonlinear Discrete-Time Varying Framework","authors":"Rong Li, A. Pantelous, Lin Yang","doi":"10.2139/ssrn.3221505","DOIUrl":"https://doi.org/10.2139/ssrn.3221505","url":null,"abstract":"Abstract The effective management of uncertainty and complexity in premium pricing and reserve accumulation processes provide new challenges to the decision- and policy-makers. In this regard, the implementation of complex mathematical tools and advanced statistical techniques is highly acquired. Over the last three decades, methodologies and applications of robust control theory to finance and economics have received strong attention among researchers and practitioners. However, relatively scant research has been carried out so far in relation to insurance. This paper proposes a stochastic, nonlinear time-varying premium-reserve (P-R) system with Lipschitz-type conditions in discrete-time to explore P-R system’s stability, stabilization and H ∞ -control properties. In our case, as an extension of the classical quadratic condition, the one-side Lipschitz conditions are also considered and a nonconvex feasibility problem is formulated and solved. In addition, both robust stochastic stability and a pre-specified disturbance attenuation level can be guaranteed. Finally, numerical examples are presented to illustrate the applicability of theoretical treatment.","PeriodicalId":365755,"journal":{"name":"ERN: Other Econometrics: Mathematical Methods & Programming (Topic)","volume":"6 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-09-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123890587","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 1

Stock Market Volatility and Mathematical Expectations 股票市场波动和数学预期

ERN: Other Econometrics: Mathematical Methods & Programming (Topic) Pub Date : 2019-09-14 DOI: 10.2139/ssrn.3453911

Robert James

引用次数: 0

Advances in Financial Machine Learning: Lecture 10/10 (seminar slides) 金融机器学习的进展:讲座10/10(研讨会幻灯片)

ERN: Other Econometrics: Mathematical Methods & Programming (Topic) Pub Date : 2019-09-03 DOI: 10.2139/ssrn.3447398

Marcos M. López de Prado

引用次数: 0

Bond-Valuation and Default-Risk Re-examined: A Post Reduced-Form Model Based on Integer Migration and Portfolio Migration 债券估值与违约风险的再检验:一个基于整数迁移和投资组合迁移的后约简模型

ERN: Other Econometrics: Mathematical Methods & Programming (Topic) Pub Date : 2019-07-26 DOI: 10.2139/ssrn.3427127

B. Barnard

{"title":"Bond-Valuation and Default-Risk Re-examined: A Post Reduced-Form Model Based on Integer Migration and Portfolio Migration","authors":"B. Barnard","doi":"10.2139/ssrn.3427127","DOIUrl":"https://doi.org/10.2139/ssrn.3427127","url":null,"abstract":"The study re-examines bond valuation and default risk, by considering and relaxing assumptions regarding integer rating migration, and portfolio rating migration, and consequently the implied degree of diversification. A reduced form model, based on (a) rating migration (matrix), serve as basis and starting point. The study subsequently moves towards a post reduced form bond valuation model, by considering portfolio migration and integer migration. Portfolio migration refers to actual counts of issues migrating across rating categories, between the intervals of the portfolio – the number of issues with a particular rating at a particular point in time. Integer migration considers the fact that only integer counts of issues can migrate. Both portfolio and integer migration imply more sophisticated interpretation of rating migration matrices. Portfolio migration and integer migration result in interval rating category issue count probability distributions, and issue interval rating category intensity (probability) probability distributions, and consequently cause more sophisticated issue interval cash flow distributions to form. The resultant post reduced form model issue price results are encouraging and promising, and are briefly considered.","PeriodicalId":365755,"journal":{"name":"ERN: Other Econometrics: Mathematical Methods & Programming (Topic)","volume":"10 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-07-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127636391","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 1

Solving the Bi-level Problem of a Closed Optimization of Electricity Price Zone Configurations using a Genetic Algorithm 用遗传算法求解电价区间配置封闭优化的双层问题

ERN: Other Econometrics: Mathematical Methods & Programming (Topic) Pub Date : 2019-07-24 DOI: 10.2139/ssrn.3425831

Tim Felling

{"title":"Solving the Bi-level Problem of a Closed Optimization of Electricity Price Zone Configurations using a Genetic Algorithm","authors":"Tim Felling","doi":"10.2139/ssrn.3425831","DOIUrl":"https://doi.org/10.2139/ssrn.3425831","url":null,"abstract":"The topic of alternative price zone configurations is frequently discussed in Central Western Europe where – so far – national borders coincide with borders of price zones. Reconfiguring these price zones is one option in order to improve congestion management, foster trading across borders of price zones and, thus, to increase welfare. In view of the significant increase in redispatch volumes and costs over the last years due to increasing feed-in from renewable energy sources in conjunction with delayed grid expansion, this topic has gained in importance. To determine these improved price zone configurations for a large-scale system like Central Western Europe, often either configurations based on expert guesses are considered or heuristics using approximate criteria like locational marginal prices are used to obtain price zones through clustering. In contrast, the present paper formulates a bi-level optimization problem of how to determine optimal configurations in terms of system costs and – given the size and nature of the problem – solves it with a specially developed genetic algorithm. Resulting price zone configurations are compared to both exogenously given, expert-based price zone configurations from the Entso-E bidding zone study and endogenously assessed configurations from a hierarchical cluster algorithm. Results show that the genetic algorithm achieves best results in terms of system costs. Moreover, the comparison with solutions from a hierarchical cluster analysis reveals important drawbacks of the latter methodology.","PeriodicalId":365755,"journal":{"name":"ERN: Other Econometrics: Mathematical Methods & Programming (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-07-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129033716","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 1