International Journal of Theoretical and Applied Finance最新文献_第4页

Bounded Strategies for Maximizing the Sharpe ratio 最大化夏普比率的有界策略

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International Journal of Theoretical and Applied Finance Pub Date : 2023-02-04 DOI: 10.1142/s0219024923500024

Jiang Ye, Yiwei Wang, Muhammad Wajid Raza

引用次数: 0

Kelly Trading and Market Equilibrium Kelly交易与市场均衡

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International Journal of Theoretical and Applied Finance Pub Date : 2022-12-22 DOI: 10.1142/s0219024923500012

Hans‐Peter Bermin, M. Holm

引用次数: 1

Optimal Investment in interrelated Projects 相关项目的最优投资

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International Journal of Theoretical and Applied Finance Pub Date : 2022-12-14 DOI: 10.1142/s0219024922500315

Shasikanta Naindebam, M. Raybaudi, M. Solá

引用次数: 0

Correlation matrix of equi-correlated normal population: fluctuation of the largest eigenvalue, scaling of the bulk eigenvalues, and stock market 等相关正态总体的相关矩阵:最大特征值的波动、大量特征值的缩放和股票市场

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International Journal of Theoretical and Applied Finance Pub Date : 2022-12-11 DOI: 10.1142/s0219024923500061

Y. Akama

{"title":"Correlation matrix of equi-correlated normal population: fluctuation of the largest eigenvalue, scaling of the bulk eigenvalues, and stock market","authors":"Y. Akama","doi":"10.1142/s0219024923500061","DOIUrl":"https://doi.org/10.1142/s0219024923500061","url":null,"abstract":"Given an $N$-dimensional sample of size $T$ and form a sample correlation matrix $mathbf{C}$. Suppose that $N$ and $T$ tend to infinity with $T/N $ converging to a fixed finite constant $Q>0$. If the population is a factor model, then the eigenvalue distribution of $mathbf{C}$ almost surely converges weakly to Marv{c}enko-Pastur distribution such that the index is $Q$ and the scale parameter is the limiting ratio of the specific variance to the $i$-th variable $(itoinfty)$. For an $N$-dimensional normal population with equi-correlation coefficient $rho$, which is a one-factor model, for the largest eigenvalue $lambda$ of $mathbf{C}$, we prove that $lambda/N$ converges to the equi-correlation coefficient $rho$ almost surely. These results suggest an important role of an equi-correlated normal population and a factor model in (Laloux et al. Random matrix theory and financial correlations, Int. J. Theor. Appl. Finance, 2000): the histogram of the eigenvalue of sample correlation matrix of the returns of stock prices fits the density of Marv{c}enko-Pastur distribution of index $T/N $ and scale parameter $1-lambda/N$. Moreover, we provide the limiting distribution of the largest eigenvalue of a sample covariance matrix of an equi-correlated normal population. We discuss the phase transition as to the decay rate of the equi-correlation coefficient in $N$.","PeriodicalId":47022,"journal":{"name":"International Journal of Theoretical and Applied Finance","volume":" ","pages":""},"PeriodicalIF":0.5,"publicationDate":"2022-12-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46252060","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

Volatility Smile Interpolation with Radial Basis Functions 基于径向基函数的波动Smile插值

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International Journal of Theoretical and Applied Finance Pub Date : 2022-12-07 DOI: 10.1142/s0219024922500303

H. Donfack, C. Soh, A. Kotzé

引用次数: 0

Author Index Volume 25 (2022) 作者索引第25卷（2022）

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International Journal of Theoretical and Applied Finance Pub Date : 2022-11-01 DOI: 10.1142/s0219024922990011

引用次数: 0

OPTION SURFACE STATISTICS WITH APPLICATIONS 选项表面统计与应用程序

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International Journal of Theoretical and Applied Finance Pub Date : 2022-08-31 DOI: 10.1142/s0219024922500248

D. Madan, King Wang

引用次数: 0

A practical algorithm to detect superexponential behaviour in financial asset price returns 一种检测金融资产价格回报超指数行为的实用算法

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International Journal of Theoretical and Applied Finance Pub Date : 2022-08-12 DOI: 10.1142/s0219024922500261

Christopher Lynch, B. Mestel

{"title":"A practical algorithm to detect superexponential behaviour in financial asset price returns","authors":"Christopher Lynch, B. Mestel","doi":"10.1142/s0219024922500261","DOIUrl":"https://doi.org/10.1142/s0219024922500261","url":null,"abstract":"To assist with the detection of bubbles and negative bubbles in financial markets, a criterion is introduced to indicate whether a market is likely to be in a superexponential regime (where growth in such a regime would correspond to an asset price bubble and decline to an negative bubble) as opposed to “normal” exponential behaviour typified by a constant rate of growth or decline. The criterion is founded on the Johansen-Ledoit-Sornette model of asset dynamics in a bubble and is derived from a linear fit to observed data with a non-linear time transformation with parameters distributed uniformly in their permitted ranges. Making use of expected values rather than the underlying distribution, the criterion is straightforward and efficient to compute and can in principle be applied in real time to intra-day markets as well as longer timescales. In some circumstances, the criterion is shown to have certain predictive qualities when applied to a portfolio of stocks, and could be used as input into algorithmic trading strategies. A simple strategy is described which is based on market reversion predictions of a portfolio of stocks and which in back-testing generates notable returns.","PeriodicalId":47022,"journal":{"name":"International Journal of Theoretical and Applied Finance","volume":" ","pages":""},"PeriodicalIF":0.5,"publicationDate":"2022-08-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44113468","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

EFFECT OF THE COMPANY RELATIONSHIP NETWORK ON DEFAULT PREDICTION: EVIDENCE FROM CHINESE LISTED COMPANIES 公司关系网络对违约预测的影响:来自中国上市公司的证据

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International Journal of Theoretical and Applied Finance Pub Date : 2022-08-04 DOI: 10.1142/s021902492250025x

Guotai Chi, Ying Zhou, Long Shen, Jian Xiong, Hongjia Yan

引用次数: 0

Optimal portfolio choice with crash and default risk 具有崩溃和违约风险的最佳投资组合选择

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International Journal of Theoretical and Applied Finance Pub Date : 2022-07-29 DOI: 10.1142/s0219024922500236

Lukas Muller

引用次数: 0