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February 2024, Volume 24, Issue 2
- 201-202 Handbook of Price Impact Modeling
by Johannes Muhle-Karbe - 221-232 Deep impulse control: application to interest rate intervention
by Bowen Jia & Hoi Ying Wong - 233-252 Risk sharing with deep neural networks
by M. Burzoni & A. Doldi & E. Monzio Compagnoni - 253-263 Optimal stop-loss rules in markets with long-range dependence
by Yun Xiang & Shijie Deng - 265-279 When is cross impact relevant?
by Victor Le Coz & Iacopo Mastromatteo & Damien Challet & Michael Benzaquen
January 2024, Volume 24, Issue 2
- 175-199 Fin-GAN: forecasting and classifying financial time series via generative adversarial networks
by Milena Vuletić & Felix Prenzel & Mihai Cucuringu - 203-220 Physics-informed convolutional transformer for predicting volatility surface
by Soohan Kim & Seok-Bae Yun & Hyeong-Ohk Bae & Muhyun Lee & Youngjoon Hong - 281-303 A unified formula of the optimal portfolio for piecewise hyperbolic absolute risk aversion utilities
by Zongxia Liang & Yang Liu & Ming Ma & Rahul Pothi Vinoth - 305-327 Dynamic currency hedging with non-Gaussianity and ambiguity
by Paweł Polak & Urban Ulrych - 329-335 A generalization of the rational rough Heston approximation
by Jim Gatheral & Radoš Radoičić - 337-346 On the optimal forecast with the fractional Brownian motion
by Xiaohu Wang & Jun Yu & Chen Zhang
January 2024, Volume 24, Issue 1
- 13-14 Book review
by Mark Podolskij - 35-57 Deep attentive survival analysis in limit order books: estimating fill probabilities with convolutional-transformers
by Álvaro Arroyo & Álvaro Cartea & Fernando Moreno-Pino & Stefan Zohren - 105-118 An early indicator for anomalous stock market performance
by Marlon Fritz & Thomas Gries & Lukas Wiechers
November 2023, Volume 24, Issue 1
- 119-138 Bubbles and dependence between international equity markets
by Wuyi Ye & Lingbo Gao & Xiaoquan Liu - 157-174 A model of dynamic information production for initial public offerings
by Rafiqul Bhuyan & Coşkun Çetin & Burhaneddin İzgi & Bakhtear Talukdar
December 2023, Volume 24, Issue 1
- 15-34 On parametric optimal execution and machine learning surrogates
by Tao Chen & Mike Ludkovski & Moritz Voß - 59-82 Adaptive online mean-variance portfolio selection with transaction costs
by Sini Guo & Jia-Wen Gu & Wai-Ki Ching & Benmeng Lyu - 83-104 Centred expected shortfall (CES): a traditional asset manager’s view on decomposing downside investment risk
by Erik Kroon & Mehdi-Vincent Hacini & Koye Somefun - 139-155 Regime-switching affine term structures
by Andreas Celary & Zehra Eksi-Altay & Paul Krühner
September 2023, Volume 24, Issue 1
- 1-11 Quantum-inspired variational algorithms for partial differential equations: application to financial derivative pricing
by Tianchen Zhao & Chuhao Sun & Asaf Cohen & James Stokes & Shravan Veerapaneni
December 2023, Volume 23, Issue 12
- 1769-1792 Functional quantization of rough volatility and applications to volatility derivatives
by O. Bonesini & G. Callegaro & A. Jacquier
October 2023, Volume 23, Issue 12
- 1713-1728 Smiles in delta
by Arianna Mingone - 1815-1831 Dynamic core-satellite investing using higher order moments: an explicit solution
by Yanfeng Wang & Wanbo Lu & Kris Boudt
November 2023, Volume 23, Issue 12
- 1729-1730 Machine Learning and Data Sciences for Financial Markets: A Guide to Contemporary Practices
by Damir Filipovic - 1731-1750 Effective stochastic local volatility models
by M. Felpel & J. Kienitz & T.A. McWalter - 1751-1768 Principled pasting: attaching tails to risk-neutral probability density functions recovered from option prices
by Thomas R. Bollinger & William R. Melick & Charles P. Thomas - 1793-1813 Mind the cap!—constrained portfolio optimisation in Heston's stochastic volatility model
by M. Escobar-Anel & M. Kschonnek & R. Zagst - 1833-1852 A basket half full: sparse portfolios
by Ekaterina Seregina - 1853-1869 Cryptocurrency factor momentum
by Christian Fieberg & Gerrit Liedtke & Daniel Metko & Adam Zaremba - 1871-1886 Rule-based trading on an order-driven exchange: a reassessment
by Alan G. Isaac & Vasudeva Ramaswamy
November 2023, Volume 23, Issue 11
- 1-1 Correction
by The Editors - 1545-1560 Can volatility solve the naive portfolio puzzle?
by Michael Curran & Patrick O'Sullivan & Ryan Zalla - 1561-1563 Islamic Philanthropy: Exploring Zakat, Waqf, and Sadaqah in Islamic Finance and Economics
by Ubbadul Adzkiya’ & Anis Fittria & Syamsul Wathani - 1565-1595 Household financial health: a machine learning approach for data-driven diagnosis and prescription
by Kyeongbin Kim & Yoontae Hwang & Dongcheol Lim & Suhyeon Kim & Junghye Lee & Yongjae Lee - 1597-1615 Optimal portfolio choice of couples with tax-deferred accounts and survival-contingent products
by Sanghyeon Bae & Yongjae Lee & Woo Chang Kim - 1617-1636 Technical analysis as a sentiment barometer and the cross-section of stock returns
by Wenjie Ding & Khelifa Mazouz & Owain ap Gwilym & Qingwei Wang - 1637-1658 How does price (in)efficiency influence cryptocurrency portfolios performance? The role of multifractality
by Eduardo Amorim Vilela de Salis & Leandro dos Santos Maciel - 1659-1675 A multi-curve HJM factor model for pricing and risk management
by Tobias Bienek & Griselda Deelstra & Andreas Lichtenstern & Rudi Zagst - 1677-1697 A transform-based method for pricing Asian options under general two-dimensional models
by Weinan Zhang & Pingping Zeng - 1699-1712 On prices and returns in commercial prediction markets
by Karl Whelan
October 2023, Volume 23, Issue 10
- 1373-1393 Cross-impact of order flow imbalance in equity markets
by Rama Cont & Mihai Cucuringu & Chao Zhang - 1395-1396 Book review
by Vladimir V. Piterbarg - 1397-1409 A cost-sensitive ensemble deep forest approach for extremely imbalanced credit fraud detection
by Fang Zhao & Gang Li & Yanxia Lyu & Hongdong Ma & Xiaoqian Zhu - 1411-1430 Deep reinforcement learning for option pricing and hedging under dynamic expectile risk measures
by Saeed Marzban & Erick Delage & Jonathan Yu-Meng Li - 1431-1444 Multivariate systemic risk measures and computation by deep learning algorithms
by A. Doldi & Y. Feng & J.-P. Fouque & M. Frittelli - 1445-1464 A neuro-structural framework for bankruptcy prediction
by Christakis Charalambous & Spiros H. Martzoukos & Zenon Taoushianis - 1465-1482 Distributionally robust end-to-end portfolio construction
by Giorgio Costa & Garud N. Iyengar - 1483-1496 f-Betas and portfolio optimization with f-divergence induced risk measures
by Rui Ding - 1497-1510 Bayesian nonparametric portfolio selection with rolling maximum drawdown control
by Xiaoling Mei & Yachong Wang & Weixuan Zhu - 1511-1529 The role of fleeting orders on option expiration days
by Antonio Figueiredo & Pankaj Jain & Suchismita Mishra - 1531-1544 Model-free analysis of real option exercise probability and timing
by Sang Baum Kang & Pascal Létourneau
September 2023, Volume 23, Issue 9
- 1199-1215 Stable dividends under linear-quadratic optimisation
by B. Avanzi & D. K. Falden & M. Steffensen - 1217-1219 Contemporary Issues in Islamic Law, Economics and Finance: A Multidisciplinary Approach
by Zezen Zainul Ali & Rahmatullah & Imaro Sidqi - 1221-1258 Volatility is (mostly) path-dependent
by Julien Guyon & Jordan Lekeufack - 1259-1283 Weak approximations and VIX option price expansions in forward variance curve models
by F. Bourgey & S. De Marco & E. Gobet - 1285-1304 Unbiasing and robustifying implied volatility calibration in a cryptocurrency market with large bid-ask spreads and missing quotes
by Mnacho Echenim & Emmanuel Gobet & Anne-Claire Maurice - 1305-1324 A general approach for lookback option pricing under Markov models
by Gongqiu Zhang & Lingfei Li - 1325-1339 Pricing tenure payment reverse mortgages with optimal exercised prepayment options by accounting for house prices, interest rates, and mortality risk
by Tian-Shyr Dai & Liang-Chih Liu & Sharon S. Yang - 1341-1360 Large-scale financial planning via a partially observable stochastic dual dynamic programming framework
by Jinkyu Lee & Do-Gyun Kwon & Yongjae Lee & Jang Ho Kim & Woo Chang Kim - 1361-1372 High-dimensional sparse index tracking based on a multi-step convex optimization approach
by Fangquan Shi & Lianjie Shu & Yiling Luo & Xiaoming Huo
August 2023, Volume 23, Issue 7-8
- 1035-1052 Media trading groups and short selling manipulation
by Robert Jarrow & Siguang Li - 1053-1054 Real Time Computing (NATO ASI Series. Series F, Computer and Systems Sciences, Vol. 127)
by Michael Dempster - 1055-1078 Analysis of VIX-linked fee incentives in variable annuities via continuous-time Markov chain approximation
by Anne MacKay & Marie-Claude Vachon & Zhenyu Cui - 1079-1097 Option pricing under stochastic volatility models with latent volatility
by Jean-François Bégin & Frédéric Godin - 1099-1113 From optimal martingales to randomized dual optimal stopping
by Denis Belomestny & John Schoenmakers - 1115-1127 Optimal trading with transaction costs and short-term predictability
by Shashidhar Murthy & John K. Wald - 1129-1154 Pairs trading with wavelet transform
by Burak Alparslan Eroğlu & Haluk Yener & Taner Yiğit - 1155-1176 Leveraged funds: robust replication and performance evaluation
by Paolo Guasoni & Eberhard Mayerhofer - 1177-1197 Extracting implied volatilities from bank bonds
by Michele Leonardo Bianchi & Gian Luca Tassinari
June 2023, Volume 23, Issue 6
- 901-911 Weighted variance swaps hedge against impermanent loss
by Masaaki Fukasawa & Basile Maire & Marcus Wunsch - 913-915 The Economics of Banking and Finance in Africa: Developments in Africa's Financial Systems
by Ria Kusumaningrum & Rully Trihantana & Tubagus Rifqy Thantawi - 917-929 Deep-learning models for forecasting financial risk premia and their interpretations
by Andrew W. Lo & Manish Singh - 931-958 A generative model of a limit order book using recurrent neural networks
by Hanna Hultin & Henrik Hult & Alexandre Proutiere & Samuel Samama & Ala Tarighati - 959-978 Decomposing LIBOR in transition: evidence from the futures markets
by Jacob Bjerre Skov & David Skovmand - 979-1002 A subdiffusive stochastic volatility jump model
by Jean-Loup Dupret & Donatien Hainaut - 1003-1018 A statistical test of market efficiency based on information theory
by Xavier Brouty & Matthieu Garcin - 1019-1033 Optimal asset allocation under search frictions and stochastic interest rate
by Ning Wang & Song-Ping Zhu & Robert J. Elliott
May 2023, Volume 23, Issue 5
- 721-738 VIX pricing in the rBergomi model under a regime switching change of measure
by Henrique Guerreiro & João Guerra - 739-740 Quantitative Finance with Python: A Practical Guide to Investment Management, Trading and Financial Engineering
by Mark Greenwood - 741-758 Multivariate quadratic Hawkes processes—part I: theoretical analysis
by Cécilia Aubrun & Michael Benzaquen & Jean-Philippe Bouchaud - 759-776 Coupled GARCH(1,1) model
by Huasheng Nie & Henri Waelbroeck - 777-797 A data-driven deep learning approach for options market making
by Qianhui Lai & Xuefeng Gao & Lingfei Li - 799-817 Delta hedging bitcoin options with a smile
by Carol Alexander & Arben Imeraj - 819-841 Hedging cryptos with Bitcoin futures
by Francis Liu & Natalie Packham & Meng-Jou Lu & Wolfgang Karl Härdle - 843-862 Finite difference scheme versus piecewise binomial lattice for interest rates under the skew CEV model
by Olivier Menoukeu-Pamen & Guangli Xu & Xiaoyang Zhuo - 863-875 Quantitative reverse stress testing, bottom up
by Claudio Albanese & Stéphane Crépey & Stefano Iabichino - 877-886 A theoretical generalization of the Markowitz model incorporating skewness and kurtosis
by Pierpaolo Uberti - 887-900 The timing of debt renegotiation and its implications for irreversible investment and capital structure
by Zhaojun Yang & Nanhui Zhu
April 2023, Volume 23, Issue 4
- 539-551 Metalearning of time series: an approximate dynamic programming approach
by Ricardo A. Collado & Germán G. Creamer - 553-555 A Tour of C++, Third Edition
by Paul Bilokon - 557-577 W-shaped implied volatility curves and the Gaussian mixture model
by Paul Glasserman & Dan Pirjol - 579-593 The economics of time as it is embedded in the prices of options§
by Dilip B. Madan & King Wang - 595-613 A hybrid convolutional neural network with long short-term memory for statistical arbitrage
by P. Eggebrecht & E. Lütkebohmert - 615-629 Deep weighted Monte Carlo: a hybrid option pricing framework using neural networks
by Sándor Kunsági-Máté & Gábor Fáth & István Csabai & Gábor Molnár-Sáska - 631-651 Efficient pricing and hedging of high-dimensional American options using deep recurrent networks
by Andrew S. Na & Justin W. L. Wan - 653-676 Simulated Greeks for American options
by Pascal Letourneau & Lars Stentoft - 677-692 Pricing Asian options with stochastic convenience yield and jumps
by Christian-Oliver Ewald & Yuexiang Wu & Aihua Zhang - 693-703 Hedging error as generalized timing risk
by J. Akahori & F. Barsotti & Y. Imamura - 705-719 Persistence of jump-induced tail risk and limits to arbitrage
by K. Victor Chow & Kose John & Jingrui Li & Ben Sopranzetti
March 2023, Volume 23, Issue 3
- 367-388 From zero-intelligence to queue-reactive: limit-order-book modeling for high-frequency volatility estimation and optimal execution
by Tommaso Mariotti & Fabrizio Lillo & Giacomo Toscano - 389-391 A First Course in Random Matrix Theory for Physicists, Engineers and Data Scientists
by Louis-Pierre Arguin - 393-427 Assessing the accuracy of exponentially weighted moving average models for Value-at-Risk and Expected Shortfall of crypto portfolios
by Carol Alexander & Michael Dakos - 429-452 Integrating prediction in mean-variance portfolio optimization
by Andrew Butler & Roy H. Kwon - 453-469 Kurtosis-based risk parity: methodology and portfolio effects
by M. D. Braga & C. R. Nava & M. G. Zoia - 471-495 Optimal asset allocation for commodity sovereign wealth funds
by Alfonso A. Irarrazabal & Lin Ma & Juan Carlos Parra-Alvarez - 497-519 A multivariate 4/2 stochastic covariance model: properties and applications to portfolio decisions
by Yuyang Cheng & Marcos Escobar-Anel - 521-537 An eigenvalue distribution derived ‘Stability Measure’ for evaluating Minimum Variance portfolios
by William Smyth & Daniel Broby
February 2023, Volume 23, Issue 2
- 187-205 Analysis and modeling of client order flow in limit order markets
by Rama Cont & Mihai Cucuringu & Vacslav Glukhov & Felix Prenzel - 207-208 Firefighting: The Financial Crisis and Its Lessons
by Jean-Philippe Bouchaud - 209-227 Numerical smoothing with hierarchical adaptive sparse grids and quasi-Monte Carlo methods for efficient option pricing
by Christian Bayer & Chiheb Ben Hammouda & Raúl Tempone - 229-249 SABR equipped with AI wings
by Hideharu Funahashi - 251-278 Closed-form option pricing for exponential Lévy models: a residue approach
by Jean-Philippe Aguilar & Justin Lars Kirkby - 279-295 Asymmetric short-rate model without lower bound
by Frédéric Vrins & Linqi Wang - 297-308 Pricing commodity index options
by Alberto Pedro Manzano-Herrero & Emanuele Nastasi & Andrea Pallavicini & Carlos Vázquez - 309-334 A semi-parametric conditional autoregressive joint value-at-risk and expected shortfall modeling framework incorporating realized measures
by Chao Wang & Richard Gerlach & Qian Chen - 335-349 Incorporating financial news for forecasting Bitcoin prices based on long short-term memory networks
by Johannes Jakubik & Abdolreza Nazemi & Andreas Geyer-Schulz & Frank J. Fabozzi - 351-365 Optimal multi-period transaction-cost-aware long-only portfolios and time consistency in efficiency
by Chi Seng Pun & Zi Ye
January 2023, Volume 23, Issue 1
- 1-17 Estimating time-varying risk aversion from option prices and realized returns
by Maria Kosolapova & Michael Hanke & Alex Weissensteiner - 19-20 Book review
by Gordon Lee - 21-34 A two-step framework for arbitrage-free prediction of the implied volatility surface
by Wenyong Zhang & Lingfei Li & Gongqiu Zhang - 35-51 Improving the asymmetric stochastic volatility model with ex-post volatility: the identification of the asymmetry
by Zehua Zhang & Ran Zhao - 53-70 Markovian approximations of stochastic Volterra equations with the fractional kernel
by Christian Bayer & Simon Breneis - 71-93 The EWMA Heston model
by Léo Parent - 95-109 Optimal reinsurance-investment with loss aversion under rough Heston model
by Jingtang Ma & Zhengyang Lu & Dengsheng Chen - 111-122 Empirical deep hedging
by Oskari Mikkilä & Juho Kanniainen - 123-148 Horizon effect on optimal retirement decision
by Junkee Jeon & Minsuk Kwak & Kyunghyun Park - 149-168 Predicting credit ratings and transition probabilities: a simple cumulative link model with firm-specific frailty
by Ruey-Ching Hwang & Chih-Kang Chu & Yi-Chi Chen - 169-185 A default contagion model for pricing defaultable bonds from an information based perspective
by Hidetoshi Nakagawa & Hideyuki Takada
December 2022, Volume 22, Issue 12
- 2139-2150 Do fundamentals shape the price response? A critical assessment of linear impact models
by Michele Vodret & Iacopo Mastromatteo & Bence Tóth & Michael Benzaquen - 2151-2154 Reinforcement Learning and Stochastic Optimization: A Unified Framework for Sequential Decisions
by Igor Halperin - 2155-2170 The Black–Scholes equation in the presence of arbitrage
by Simone Farinelli & Hideyuki Takada - 2171-2204 AI-driven liquidity provision in OTC financial markets
by Álvaro Cartea & Patrick Chang & Mateusz Mroczka & Roel Oomen - 2205-2217 No arbitrage global parametrization for the eSSVI volatility surface
by A. Mingone - 2219-2236 Is the effectiveness of government bonds as a diversifier of equity risk weakened after the Covid-19 crisis?†
by Yuji Sakurai & Tetsuo Kurosaki - 2237-2255 A tale of two sentiment scales: disentangling short-run and long-run components in multivariate sentiment dynamics
by Danilo Vassallo & Giacomo Bormetti & Fabrizio Lillo - 2257-2274 A data-driven explainable case-based reasoning approach for financial risk detection
by Wei Li & Florentina Paraschiv & Georgios Sermpinis - 2275-2295 Supervised portfolios
by Guillaume Chevalier & Guillaume Coqueret & Thomas Raffinot
November 2022, Volume 22, Issue 11
- 1955-1969 When do systematic strategies decay?
by Antoine Falck & Adam Rej & David Thesmar - 1971-1972 Mathematical Modeling and Computation in Finance: With Exercises and Python and Matlab Computer Codes
by Alessandro Gnoatto & Blanka Horvath - 1973-1987 Learning a functional control for high-frequency finance
by L. Leal & M. Lauriere & C.-A. Lehalle - 1989-2003 A deep learning approach to estimating fill probabilities in a limit order book
by Costis Maglaras & Ciamac C. Moallemi & Muye Wang - 2005-2019 Cooperation between independent market makers
by Bingyan Han - 2021-2045 A novel state-transition forest: pricing corporate securities with intertemporal exercise policies and corresponding capital structure changes
by Liang-Chih Liu & Tian-Shyr Dai & Hao-Han Chang & Lei Zhou - 2047-2061 Forecasting interval-valued crude oil prices using asymmetric interval models
by Quanying Lu & Yuying Sun & Yongmiao Hong & Shouyang Wang - 2063-2078 Higher moments in the fundamental specification of electricity forward prices
by Angelica Gianfreda & Giacomo Scandolo & Derek W. Bunn - 2079-2091 Bitcoin: jumps, convenience yields, and option prices
by Jimmy E. Hilliard & Julie T. D. Ngo - 2093-2107 High-dimensional realized covariance estimation: a parametric approach
by G. Buccheri & G. Mboussa Anga - 2109-2123 Valuing real options with endogenous payoff
by Kyoung Jin Choi & Minsuk Kwak - 2125-2137 Peer effects in professional analysts’ choice of their portfolio of companies
by Victor Fang & Lutz Honvehlmann & Thomas Lux
October 2022, Volume 22, Issue 10
- 1785-1795 The inelastic market hypothesis: a microstructural interpretation
by Jean-Philippe Bouchaud - 1797-1800 A note on spurious model selection
by Weiguan Wang & Johannes Ruf - 1801-1802 Portfolio Theory and Arbitrage: A Course in Mathematical Finance
by Paolo Guasoni - 1803-1803 In memoriam Marco Avellaneda
by Michael Dempster & Jim Gatheral - 1805-1838 Empirical analysis of rough and classical stochastic volatility models to the SPX and VIX markets
by Sigurd Emil Rømer - 1839-1852 The optimal payoff for a Yaari investor
by K. Boudt & K. Dragun & S. Vanduffel - 1853-1870 Optimal characteristic portfolios
by Richard J. McGee & Jose Olmo - 1871-1891 Risk contributions of lambda quantiles
by A. Ince & I. Peri & S. Pesenti - 1893-1903 The effects of errors in means, variances, and correlations on the mean-variance framework
by Munki Chung & Yongjae Lee & Jang Ho Kim & Woo Chang Kim & Frank J. Fabozzi - 1905-1926 Group sparse enhanced indexation model with adaptive beta value
by Fengmin Xu & Jieao Ma & Haibing Lu - 1927-1954 Model-based approach for scenario design: stress test severity and banks' resiliency
by Paolo Nicola Barbieri & Giuseppe Lusignani & Lorenzo Prosperi & Lea Zicchino
September 2022, Volume 22, Issue 9
- 1579-1592 Sparse index tracking using sequential Monte Carlo
by Tanmay Satpathy & Rushabh Shah - 1593-1594 Market Microstructure in Practice
by Nataliya Bershova - 1595-1626 Optimal asset allocation for outperforming a stochastic benchmark target
by Chendi Ni & Yuying Li & Peter Forsyth & Ray Carroll - 1627-1648 Pairs trading under delayed cointegration
by Tingjin Yan & Mei Choi Chiu & Hoi Ying Wong - 1649-1663 Modeling price clustering in high-frequency prices
by Vladimír Holý & Petra Tomanová - 1665-1691 Dynamic quantile function models
by Wilson Ye Chen & Gareth W. Peters & Richard H. Gerlach & Scott A. Sisson - 1693-1716 Path-wise Monte Carlo simulation for Greeks of worst-of-all autocallables under multi-variate Black-Scholes model
by Xiaobo Hu & Jungong Xue & Xiandi Yu - 1717-1729 Moments of integrated exponential Lévy processes and applications to Asian options pricing
by Riccardo Brignone - 1731-1745 Vulnerability-CoVaR: investigating the crypto-market
by Martin Waltz & Abhay Kumar Singh & Ostap Okhrin - 1747-1757 Proof of non-convergence of the short-maturity expansion for the SABR model
by Alan L. Lewis & Dan Pirjol - 1759-1784 Optimal long-term Tier 1 employee pension management with an application to Chinese urban areas
by Bingbing Ji & Zhiping Chen & Giorgio Consigli & Zhe Yan
August 2022, Volume 22, Issue 8
- 1405-1425 On detecting spoofing strategies in high-frequency trading
by Xuan Tao & Andrew Day & Lan Ling & Samuel Drapeau - 1427-1428 The Book of Alternative Data: A Guide for Investors, Traders and Risk Managers
by Matthew Dixon - 1429-1443 Deep differentiable reinforcement learning and optimal trading
by Thibault Jaisson - 1445-1464 The reinforcement learning Kelly strategy
by R. Jiang & D. Saunders & C. Weng - 1465-1480 Robust deep hedging
by Eva Lütkebohmert & Thorsten Schmidt & Julian Sester - 1481-1494 An unsupervised deep learning approach to solving partial integro-differential equations
by Weilong Fu & Ali Hirsa - 1495-1512 Forecasting with fractional Brownian motion: a financial perspective
by Matthieu Garcin - 1513-1534 A generalized heterogeneous autoregressive model using market information
by Rodrigo Hizmeri & Marwan Izzeldin & Ingmar Nolte & Vasileios Pappas - 1535-1544 Bayesian estimation of electricity price risk with a multi-factor mixture of densities
by Li Kang & Stephen Walker & Paul Damien & Derek Bunn - 1545-1559 Forecasting crude oil prices: do technical indicators need economic constraints?
by Danyan Wen & Mengxi He & Li Liu & Yaojie Zhang - 1561-1578 The volatility risk premium in the oil market
by Ilia Bouchouev & Brett Johnson
July 2022, Volume 22, Issue 7
- 1-1 Correction
by The Editors - 1217-1227 An adaptive dynamical model of default contagion
by Damian Smug & Julian Ashwin & Peter Ashwin & Didier Sornette - 1229-1230 Behavioral Finance and Your Portfolio: A Navigation Guide for Building Wealth
by Ernawati & Nugraha & Maya Sari - 1231-1246 An adaptive model for security prices driven by latent values: parameter estimation and option pricing effects
by Jimmy E Hilliard & Jitka Hilliard & Yinan Ni - 1247-1263 Portfolios of value and momentum: disappointment aversion and non-normalities
by Simon Lalancette & Jean-Guy Simonato - 1265-1276 Drawdown beta and portfolio optimization
by Rui Ding & Stan Uryasev - 1277-1294 GARCH-UGH: a bias-reduced approach for dynamic extreme Value-at-Risk estimation in financial time series
by H. Kaibuchi & Y. Kawasaki & G. Stupfler - 1295-1319 Transaction cost analytics for corporate bonds
by Xin Guo & Charles-Albert Lehalle & Renyuan Xu - 1321-1341 Funding shortages, expectations, and forward rate risk premium
by Robert Jarrow & Sujan Lamichhane - 1343-1354 Time-dependent relations between gaps and returns in a Bitcoin order book
by Roberto Mota-Navarro & Paulino Monroy-Castillero & Francois Leyvraz - 1355-1369 Some analytical results on bivariate stable distributions with an application in operational risk
by L. Tafakori & M. Bee & A.R. Soltani - 1371-1390 On model robustness of the regime switching approach for pegged foreign exchange markets
by Yunbo Zhang & Samuel Drapeau - 1391-1404 Stationary increments reverting to a Tempered Fractional Lévy Process (TFLP)
by Dilip B. Madan & King Wang
June 2022, Volume 22, Issue 6
- 1017-1036 How to build a cross-impact model from first principles: theoretical requirements and empirical results
by Mehdi Tomas & Iacopo Mastromatteo & Michael Benzaquen - 1037-1049 Optimal solution of the liquidation problem under execution and price impact risks
by Francesca Mariani & Lorella Fatone - 1051-1069 A reinforcement learning approach to optimal execution
by Ciamac C. Moallemi & Muye Wang