SIAM Journal on Financial Mathematics最新文献_第4页

Order Book Queue Hawkes Markovian Modeling 订单簿队列霍克斯马尔可夫模型

IF 1 4区经济学

SIAM Journal on Financial Mathematics Pub Date : 2024-01-30 DOI: 10.1137/22m1470815

Philip E. Protter, Qianfan Wu, Shihao Yang

{"title":"Order Book Queue Hawkes Markovian Modeling","authors":"Philip E. Protter, Qianfan Wu, Shihao Yang","doi":"10.1137/22m1470815","DOIUrl":"https://doi.org/10.1137/22m1470815","url":null,"abstract":"SIAM Journal on Financial Mathematics, Volume 15, Issue 1, Page 1-25, March 2024. <br/> Abstract. This article presents a Hawkes process model with Markovian baseline intensities for high-frequency order book data modeling. We classified intraday order book trading events into a range of categories based on their order types and the price change after their arrivals. In order to capture the stimulating effects between multiple types of order book events, we use a multivariate Hawkes process to model the self-exciting and mutually exciting event arrivals. We also integrate Markovian baseline intensities into the event arrival dynamic, by including the impacts of order book liquidity state and time factor on the baseline intensity. A regression-based nonparametric estimation procedure is adopted to estimate the model parameters in our Hawkes+Markovian model. To eliminate redundant model parameters, LASSO regularization is incorporated into the estimation procedure. Besides, a model selection method based on Akaike information criteria is applied to evaluate the effect of each part of the proposed model. An implementation example based on real limit order book data is provided. Through the example we studied the empirical shapes of Hawkes excitement functions, the effects of liquidity as well as time factors, the LASSO variable selection, and the explanation power of Hawkes and Markovian elements to the dynamics of order book.","PeriodicalId":48880,"journal":{"name":"SIAM Journal on Financial Mathematics","volume":"227 1","pages":""},"PeriodicalIF":1.0,"publicationDate":"2024-01-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139645156","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

Short Communication: Are Shortfall Systemic Risk Measures One Dimensional? 简短交流：亏空系统性风险衡量标准是一维的吗？

IF 1 4区经济学

SIAM Journal on Financial Mathematics Pub Date : 2024-01-04 DOI: 10.1137/23m1580413

Alessandro Doldi, Marco Frittelli, Emanuela Rosazza Gianin

引用次数: 0

Liquidity Based Modeling of Asset Price Bubbles via Random Matching 通过随机匹配建立基于流动性的资产价格泡沫模型

IF 1 4区经济学

SIAM Journal on Financial Mathematics Pub Date : 2023-12-15 DOI: 10.1137/22m1531580

Francesca Biagini, Andrea Mazzon, Thilo Meyer-Brandis, Katharina Oberpriller

引用次数: 0

Short Communication: Existence of Markov Equilibrium Control in Discrete Time 简短交流：离散时间中马尔可夫均衡控制的存在性

IF 1 4区经济学

SIAM Journal on Financial Mathematics Pub Date : 2023-12-08 DOI: 10.1137/23m1594121

Erhan Bayraktar, Bingyan Han

引用次数: 0

Convergence of the Backward Deep BSDE Method with Applications to Optimal Stopping Problems 后向深度BSDE方法的收敛性及其在最优停止问题中的应用

IF 1 4区经济学

SIAM Journal on Financial Mathematics Pub Date : 2023-12-04 DOI: 10.1137/22m1539952

Chengfan Gao, Siping Gao, Ruimeng Hu, Zimu Zhu

{"title":"Convergence of the Backward Deep BSDE Method with Applications to Optimal Stopping Problems","authors":"Chengfan Gao, Siping Gao, Ruimeng Hu, Zimu Zhu","doi":"10.1137/22m1539952","DOIUrl":"https://doi.org/10.1137/22m1539952","url":null,"abstract":"SIAM Journal on Financial Mathematics, Volume 14, Issue 4, Page 1290-1303, December 2023. <br/> Abstract. The optimal stopping problem is one of the core problems in financial markets, with broad applications such as pricing American and Bermudan options. The deep BSDE method [J. Han, A. Jentzen, and W. E, Proc. Natl. Acad. Sci. USA, 115 (2018), pp. 8505–8510] has shown great power in solving high-dimensional forward-backward stochastic differential equations and has inspired many applications. However, the method solves backward stochastic differential equations (BSDEs) in a forward manner, which cannot be used for optimal stopping problems that in general require running BSDE backwardly. To overcome this difficulty, a recent paper [H. Wang et al., Deep Learning-Based BSDE Solver for LIBOR Market Model with Application to Bermudan Swaption Pricing and Hedging, arXiv:1807.06622, 2018] proposed the backward deep BSDE method to solve the optimal stopping problem. In this paper, we provide a rigorous theory for the backward deep BSDE method. Specifically, (1) we derive the a posteriori error estimation, i.e., the error of the numerical solution can be bounded by the training loss function; and (2) we give an upper bound of the loss function, which can be sufficiently small subject to universal approximations. We give two numerical examples, which present consistent performance with the proved theory.","PeriodicalId":48880,"journal":{"name":"SIAM Journal on Financial Mathematics","volume":"40 1","pages":""},"PeriodicalIF":1.0,"publicationDate":"2023-12-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138514687","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

Short Communication: The Birth of (a Robust) Arbitrage Theory in de Finetti’s Early Contributions 短通信:德菲内蒂早期贡献中的(稳健的)套利理论的诞生

IF 1 4区经济学

SIAM Journal on Financial Mathematics Pub Date : 2023-11-15 DOI: 10.1137/23m1604096

Marco Maggis

引用次数: 0

Conditionally Elicitable Dynamic Risk Measures for Deep Reinforcement Learning 深度强化学习的条件可引出动态风险度量

4区经济学

SIAM Journal on Financial Mathematics Pub Date : 2023-11-14 DOI: 10.1137/22m1527209

Anthony Coache, Sebastian Jaimungal, Álvaro Cartea

引用次数: 0

On Bid and Ask Side-Specific Tick Sizes 关于买入价和卖出价的特定刻度大小

4区经济学

SIAM Journal on Financial Mathematics Pub Date : 2023-11-09 DOI: 10.1137/21m146065x

Bastien Baldacci, Philippe Bergault, Joffrey Derchu, Mathieu Rosenbaum

引用次数: 5

Portfolio Optimization within a Wasserstein Ball 沃瑟斯坦球中的投资组合优化

4区经济学

SIAM Journal on Financial Mathematics Pub Date : 2023-11-03 DOI: 10.1137/22m1496803

Silvana M. Pesenti, Sebastian Jaimungal

{"title":"Portfolio Optimization within a Wasserstein Ball","authors":"Silvana M. Pesenti, Sebastian Jaimungal","doi":"10.1137/22m1496803","DOIUrl":"https://doi.org/10.1137/22m1496803","url":null,"abstract":"We study the problem of active portfolio management where an investor aims to outperform a benchmark strategy’s risk profile while not deviating too far from it. Specifically, an investor considers alternative strategies whose terminal wealth lies within a Wasserstein ball surrounding a benchmark’s terminal wealth—being distributionally close—and that have a specified dependence/copula tying state-by-state outcomes to it. The investor then chooses the alternative strategy that minimizes a distortion risk measure of terminal wealth. In a general complete market model, we prove that an optimal dynamic strategy exists and provide its characterization through the notion of isotonic projections. We further propose a simulation approach to calculate the optimal strategy’s terminal wealth, making our approach applicable to a wide range of market models. Finally, we illustrate how investors with different copula and risk preferences invest and improve upon the benchmark using the Tail Value-at-Risk, inverse S-shaped, and lower- and upper-tail distortion risk measures as examples. We find that investors’ optimal terminal wealth distribution has larger probability masses in regions that reduce their risk measure relative to the benchmark while preserving the benchmark’s structure.","PeriodicalId":48880,"journal":{"name":"SIAM Journal on Financial Mathematics","volume":"9 3","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-11-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135821495","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: 1

Relative Growth Rate Optimization Under Behavioral Criterion 行为准则下的相对增长率优化

4区经济学

SIAM Journal on Financial Mathematics Pub Date : 2023-10-25 DOI: 10.1137/22m1496943

Jing Peng, Pengyu Wei, Zuo Quan Xu

引用次数: 1