Content
September 2019, Volume 19, Issue 9
- 1569-1577 Can machine learning approaches predict corporate bankruptcy? Evidence from a qualitative experimental design
by Salim Lahmiri & Stelios Bekiros - 1579-1597 Estimation of risk contributions with MCMC
by Takaaki Koike & Mihoko Minami
August 2019, Volume 19, Issue 8
- 1255-1266 Estimating Value-at-Risk for the g-and-h distribution: an indirect inference approach
by M. Bee & J. Hambuckers & L. Trapin - 1267-1268 The Art of Statistics: Learning from Data
by Sébastien Lleo - 1269-1269 Calendar
by The Editors - 1271-1291 Deep hedging
by H. Buehler & L. Gonon & J. Teichmann & B. Wood - 1293-1320 Dynamics of foreign exchange implied volatility and implied correlation surfaces
by S. Beer & H. Fink - 1321-1337 On the seasonality in the implied volatility of electricity options
by Viviana Fanelli & Maren Diane Schmeck - 1339-1356 Target volatility option pricing in the lognormal fractional SABR model
by Elisa Alòs & Rupak Chatterjee & Sebastian F. Tudor & Tai-Ho Wang - 1357-1371 The impact of investor sentiment on crude oil market risks: evidence from the wavelet approach
by Yue-Jun Zhang & Shu-Hui Li - 1373-1390 Agricultural commodity futures trading based on cross-country rolling quantile return signals
by Huayun Jiang & Neda Todorova & Eduardo Roca & Jen-Je Su - 1391-1407 How to choose the return model for market risk? Getting towards a right magnitude of stressed VaR
by Mark Lichtner - 1409-1423 Resilience to the financial crisis in customer-supplier networks
by Xiao Yu & Ramazan Gençay & Keyi Zhang
July 2019, Volume 19, Issue 7
- 1075-1092 Market structure or traders' behavior? A multi agent model to assess flash crash phenomena and their regulation
by Nathalie Oriol & Iryna Veryzhenko - 1093-1094 The Economic Foundations of Risk Management
by Natalie Packham - 1095-1095 Calendar
by The Editors - 1097-1120 Stochastic regularization for the mean-variance allocation scheme
by Gilles Zumbach - 1121-1133 Enhancing the momentum strategy through deep regression
by Saejoon Kim - 1135-1149 Optimal investment and consumption under a continuous-time cointegration model with exponential utility
by Guiyuan Ma & Song-Ping Zhu - 1151-1163 Stock market uncertainty and economic fundamentals: an entropy-based approach
by K. Ahn & D. Lee & S. Sohn & B. Yang - 1165-1178 The endo–exo problem in high frequency financial price fluctuations and rejecting criticality
by Spencer Wheatley & Alexander Wehrli & Didier Sornette - 1179-1197 The influence of intraday seasonality on volatility transmission pattern
by N. Alemany & V. Aragó & E. Salvador - 1199-1219 A systematic and efficient simulation scheme for the Greeks of financial derivatives
by Yuh-Dauh Lyuu & Huei-Wen Teng & Yao-Te Tseng & Sheng-Xiang Wang - 1221-1242 Operational risk quantified with spectral risk measures: a refined closed-form approximation
by Bin Tong & Xundi Diao & Chongfeng Wu - 1243-1253 A new mixture cure model under competing risks to score online consumer loans
by Nailong Zhang & Qingyu Yang & Aidan Kelleher & Wujun Si
June 2019, Volume 19, Issue 6
- 885-898 Dynamics and performance of decentralized portfolios with size-induced fund flows
by Huamao Wang & Jun Yang & Yumei Yao - 899-900 Stochastic Drawdowns
by John Fry - 901-901 Calendar
by The Editors - 903-920 Market making with minimum resting times
by Álvaro Cartea & Yixuan Wang - 921-935 Statistical arbitrage with optimal causal paths on high-frequency data of the S&P 500
by Johannes Stübinger - 937-959 A simple mechanism for financial bubbles: time-varying momentum horizon
by L. Lin & M. Schatz & D. Sornette - 961-980 Sovereign risk zones in Europe during and after the debt crisis
by Veni Arakelian & Petros Dellaportas & Roberto Savona & Marika Vezzoli - 981-996 A cluster driven log-volatility factor model: a deepening on the source of the volatility clustering
by A. Verma & R. J. Buonocore & T. Di Matteo - 997-1016 Calibration and advanced simulation schemes for the Wishart stochastic volatility model
by G. La Bua & D. Marazzina - 1017-1042 Bayesian realized-GARCH models for financial tail risk forecasting incorporating the two-sided Weibull distribution
by Chao Wang & Qian Chen & Richard Gerlach - 1043-1059 Stochastic automatic differentiation: automatic differentiation for Monte-Carlo simulations
by Christian P. Fries - 1061-1073 Real options under a double exponential jump-diffusion model with regime switching and partial information
by Pengfei Luo & Jie Xiong & Jinqiang Yang & Zhaojun Yang
May 2019, Volume 19, Issue 5
- 705-716 Economic and political effects on currency clustering dynamics
by M. Kremer & A. P. Becker & I. Vodenska & H. E. Stanley & R. Schäfer - 717-719 Optimization Methods in Finance
by Giorgio Consigli - 721-729 Functional Itô calculus
by Bruno Dupire - 731-731 Calendar
by The Editors - 733-761 Price signatures
by Roel Oomen - 763-777 Leveraging a call-put ratio as a trading signal
by Patrick Houlihan & Germán G. Creamer - 779-798 Short-time near-the-money skew in rough fractional volatility models
by C. Bayer & P. K. Friz & A. Gulisashvili & B. Horvath & B. Stemper - 799-825 Backtesting extreme value theory models of expected shortfall
by Alfonso Novales & Laura Garcia-Jorcano - 827-842 A financially justifiable and practically implementable approach to coherent stress testing
by Riccardo Rebonato - 843-858 On the predictability of stock market bubbles: evidence from LPPLS confidence multi-scale indicators
by Riza Demirer & Guilherme Demos & Rangan Gupta & Didier Sornette - 859-883 The impact of a partial borrowing limit on financial decisions
by Byung Hwa Lim & Minsuk Kwak
April 2019, Volume 19, Issue 4
- 533-543 Asset volatility with prospect theory investors
by Jeremias Bekierman - 545-546 Gods and Robots: Myths, Machines, and Ancient Dreams of Technology
by Sébastien Lleo - 547-547 Calendar
by The Editors - 549-570 Deep learning for limit order books
by Justin A. Sirignano - 571-585 Exploiting social media with higher-order Factorization Machines: statistical arbitrage on high-frequency data of the S&P 500
by Julian Knoll & Johannes Stübinger & Michael Grottke - 587-603 Generative Bayesian neural network model for risk-neutral pricing of American index options
by Huisu Jang & Jaewook Lee - 605-618 Asian option pricing with orthogonal polynomials
by Sander Willems - 619-645 Building multivariate Sato models with linear dependence
by Lynn Boen & Florence Guillaume - 647-661 A recursive method for static replication of autocallable structured products
by Kyoung-Kuk Kim & Dong-Young Lim - 663-681 Gold price dynamics and the role of uncertainty
by Joscha Beckmann & Theo Berger & Robert Czudaj - 683-697 Analytical solutions of optimal portfolio rebalancing
by Ding Liu - 699-703 Flexible distribution functions, higher-order preferences and optimal portfolio allocation
by Trino-Manuel Ñíguez & Ivan Paya & David Peel & Javier Perote
March 2019, Volume 19, Issue 3
- 357-366 Structural minimization of tracking error
by Peter Rossbach & Denis Karlow - 367-368 Hedge Funds: Structure, Strategies, and Performance
by Lisa Borland - 369-369 Calendar
by The Editors - 371-390 Implied stopping rules for American basket options from Markovian projection
by Christian Bayer & Juho Häppölä & Raúl Tempone - 391-405 The predictive performance of the currency futures basis for spot returns
by Liyan Han & Xue Jiang & Libo Yin - 407-426 A self-exciting switching jump diffusion: properties, calibration and hitting time
by Donatien Hainaut & Griselda Deelstra - 427-436 The principle of not feeling the boundary for the SABR model
by Nan Chen & Nian Yang - 437-451 Targeting market neutrality
by John B. Lee & Jonathan J. Reeves & Alice C. Tjahja & Xuan Xie - 453-471 Risk parity portfolio optimization under a Markov regime-switching framework
by Giorgio Costa & Roy H. Kwon - 473-490 Joint tests of contagion with applications
by Renée Fry-McKibbin & Cody Yu-Ling Hsiao & Vance L. Martin - 491-499 On pricing barrier control in a regime-switching regulated market
by Zheng Han & Yaozhong Hu & Chihoon Lee - 501-518 Pricing of guaranteed minimum withdrawal benefits in variable annuities under stochastic volatility, stochastic interest rates and stochastic mortality via the componentwise splitting method
by Nikolay Gudkov & Katja Ignatieva & Jonathan Ziveyi - 519-532 Dynamic portfolio optimization with liquidity cost and market impact: a simulation-and-regression approach
by Rongju Zhang & Nicolas Langrené & Yu Tian & Zili Zhu & Fima Klebaner & Kais Hamza
February 2019, Volume 19, Issue 2
- 177-185 Risk discriminating portfolio optimization
by Amit Deshpande & Brian Ertley & Mark Lundin & Stephen Satchell - 187-188 Behavioral Corporate Finance: Concepts and Cases for Teaching Behavioral Finance
by H. Kent Baker - 189-189 Calendar
by The Editors - 191-210 Non-linear Gaussian sovereign CDS pricing models
by Marco Realdon - 211-226 American option pricing under the double Heston model based on asymptotic expansion
by S. M. Zhang & Y. Feng - 227-246 Variance swaps valuation under non-affine GARCH models and their diffusion limits
by Alexandru Badescu & Yuyu Chen & Matthew Couch & Zhenyu Cui - 247-263 Bubble detection and sector trading in real time
by George Milunovich & Shuping Shi & David Tan - 265-275 Collective mental accounting: an integrated behavioural portfolio selection model for multiple mental accounts
by Omid Momen & Akbar Esfahanipour & Abbas Seifi - 277-287 Shrinkage estimation of Kelly portfolios
by Yongli Han & Philip Leung Ho Yu & Thomas Mathew - 289-312 Asset management with endogenous withdrawals under a drawdown constraint
by Hervé Roche - 313-326 Dynamic portfolio choice without cash
by Chi Kin Lam & Yuhong Xu & Guosheng Yin - 327-338 Stock performance by utility indifference pricing and the Sharpe ratio
by Jiro Hodoshima - 339-356 The stochastic collocation Monte Carlo sampler: highly efficient sampling from ‘expensive’ distributions
by L. A. Grzelak & J. A. S. Witteveen & M. Suárez-Taboada & C. W. Oosterlee
January 2019, Volume 19, Issue 1
- 1-11 The CHF/EUR exchange rate during the Swiss National Bank's minimum exchange rate policy: a latent likelihood approach
by M. Hanke & R. Poulsen & A. Weissensteiner - 13-14 Heavy Tails and Copulas. Topics in Dependence Modelling in Economics and Finance
by Giovanni Puccetti - 15-15 Calendar
by The Editors - 19-22 Path-breaking contributions of K. J. Arrow
by M. A. H. Dempster - 23-24 Kenneth Arrow as teacher and adviser
by Michael Spence - 25-28 On being a student of Ken Arrow
by John Geanakoplos - 29-31 Kenneth Arrow and nonequilibrium economics
by W. Brian Arthur - 33-34 An open mind: memories of Ken Arrow
by J. Doyne Farmer - 35-56 Internalisation by electronic FX spot dealers
by M. Butz & R. Oomen - 57-76 Disentangling the role of variance and covariance information in portfolio selection problems
by André A. P. Santos - 77-92 Estimating a covariance matrix for market risk management and the case of credit default swaps
by Richard Neuberg & Paul Glasserman - 93-104 An extended likelihood framework for modelling discretely observed credit rating transitions
by M. Pfeuffer & L. Möstel & M. Fischer - 105-121 Data-driven robust mean-CVaR portfolio selection under distribution ambiguity
by Zhilin Kang & Xun Li & Zhongfei Li & Shushang Zhu - 123-135 Challenging the robustness of optimal portfolio investment with moving average-based strategies
by Ahmed Bel Hadj Ayed & Grégoire Loeper & Frédéric Abergel - 137-154 Cross-impact and no-dynamic-arbitrage
by M. Schneider & F. Lillo - 155-175 A reduced PDE method for European option pricing under multi-scale, multi-factor stochastic volatility
by Jeonggyu Huh & Jaegi Jeon & Jeong-Hoon Kim & Hyejin Park
December 2018, Volume 18, Issue 12
- 1959-1966 The micro-price: a high-frequency estimator of future prices
by Sasha Stoikov - 1967-1968 Financial and Macroeconomic Connectedness
by Sébastien Lleo - 1969-1969 Calendar
by The Editors - 1971-1990 A supermartingale relation for multivariate risk measures
by Zachary Feinstein & Birgit Rudloff - 1991-2003 Relative Robust Portfolio Optimization with benchmark regret
by Gonçalo Simões & Mark McDonald & Stacy Williams & Daniel Fenn & Raphael Hauser - 2005-2022 How does the choice of Value-at-Risk estimator influence asset allocation decisions?
by Felix Scheller & Benjamin R. Auer - 2035-2050 Welfare effects of information and rationality in portfolio decisions under parameter uncertainty
by M. Longo & A. Mainini - 2051-2065 Optimal mean-reversion strategy in the presence of bid-ask spread and delays in capital allocations
by Sergey Isaenko - 2067-2083 Modifying a simple agent-based model to disentangle the microstructure of Chinese and US stock markets
by JingRu Ji & Donghua Wang & JingQing Tu - 2085-2099 Forecasting market risk using ultra-high-frequency data and scaling laws
by Jun Qi & Lan Yi & Yiyun Chen
November 2018, Volume 18, Issue 11
- 1-1 Erratum
by The Editors - 1781-1790 Market impact with multi-timescale liquidity
by M. Benzaquen & J.-P. Bouchaud - 1791-1793 Continuous-Time Models in Corporate Finance, Banking, and Insurance
by Hidetoshi Nakagawa - 1795-1795 Calendar
by The Editors - 1797-1814 Decision trees unearth return sign predictability in the S&P 500
by L. Fiévet & D. Sornette - 1815-1829 Can banks default overnight? Modelling endogenous contagion on the O/N interbank market
by P. Smaga & M. Wiliński & P. Ochnicki & P. Arendarski & T. Gubiec - 1831-1849 Statistical arbitrage with vine copulas
by Johannes Stübinger & Benedikt Mangold & Christopher Krauss - 1865-1876 On the American swaption in the linear-rational framework
by Damir Filipović & Yerkin Kitapbayev - 1877-1886 Turbocharging Monte Carlo pricing for the rough Bergomi model
by Ryan McCrickerd & Mikko S. Pakkanen - 1887-1908 Parisian options with jumps: a maturity–excursion randomization approach
by Marc Chesney & Nikola Vasiljević - 1909-1925 Marginal consistent dependence modelling using weak subordination for Brownian motions
by Markus Michaelsen & Alexander Szimayer - 1927-1945 Long-only equal risk contribution portfolios for CVaR under discrete distributions
by Helmut Mausser & Oleksandr Romanko - 1947-1958 Heterogeneous beliefs and optimal ownership in entrepreneurial financing decisions
by Miguel Tavares-Gärtner & Paulo J. Pereira & Elísio Brandão
October 2018, Volume 18, Issue 10
- 1619-1634 Canonical sectors and evolution of firms in the US stock markets
by Lorien X. Hayden & Ricky Chachra & Alexander A. Alemi & Paul H. Ginsparg & James P. Sethna - 1635-1643 Machine learning for quantitative finance: fast derivative pricing, hedging and fitting
by Jan De Spiegeleer & Dilip B. Madan & Sofie Reyners & Wim Schoutens - 1645-1653 The End of Alchemy: Money, Banking and the Future of the Global Economy
by Michael Dempster - 1655-1655 Calendar
by The Editors - 1657-1678 Efficient exposure computation by risk factor decomposition
by C. S. L. de Graaf & D. Kandhai & C. Reisinger - 1679-1698 A Markov-switching generalized additive model for compound Poisson processes, with applications to operational loss models
by J. Hambuckers & T. Kneib & R. Langrock & A. Silbersdorff - 1699-1713 On the price of risk in a mean-risk optimization model
by Darinka Dentcheva & Gregory J. Stock - 1715-1733 Risk-managed industry momentum and momentum crashes
by Klaus Grobys & Joni Ruotsalainen & Janne Äijö - 1735-1751 Pairs trading with a mean-reverting jump–diffusion model on high-frequency data
by Johannes Stübinger & Sylvia Endres - 1753-1765 Mass at zero in the uncorrelated SABR model and implied volatility asymptotics
by Archil Gulisashvili & Blanka Horvath & Antoine Jacquier - 1767-1779 The survival probability of the SABR model: asymptotics and application
by Nian Yang & Xiangwei Wan
September 2018, Volume 18, Issue 9
- 1437-1446 Can outstanding dividend payments be estimated by American options?
by Sascha Desmettre & Sarah Grün & Ralf Korn - 1447-1448 Enlargement of Filtration with Finance in View
by Thorsten Schmidt - 1449-1449 Calendar
by The Editors - 1451-1451 Special Issue of Quantitative Finance on ‘Chinese Derivatives Markets’
by Ke Tang - 1453-1470 Are tightened trading rules always bad? Evidence from the Chinese index futures market
by Hai Lin & You Wang - 1471-1486 Return and volatility co-movement in commodity futures markets: the effects of liquidity risk
by Yongmin Zhang & Shusheng Ding - 1487-1499 Including commodity futures in asset allocation in China
by Qingfu Liu & Yiuman Tse & Linlin Zhang - 1501-1515 Option pricing based on hybrid GARCH-type models with improved ensemble empirical mode decomposition
by Qiuling Hua & Tingfeng Jiang & Zhang Cheng - 1517-1529 Option prices and stock market momentum: evidence from China
by Jianping Li & Yanzhen Yao & Yibing Chen & Cheng-Few Lee - 1531-1541 The role of derivatives in hedge fund activism
by Jie (Michael) Guo & Jianhua Gang & Nan Hu & Vinay Utham - 1543-1558 Chinese write-down bonds and bank capital structure
by Ping Li & Hui Meng & Feihui Yu - 1559-1571 Volatility dynamics under an endogenous Markov-switching framework: a cross-market approach
by Wonho Song & Doojin Ryu & Robert I. Webb - 1575-1597 Modelling the shape of the limit order book
by Federico Platania & Pedro Serrano & Mikel Tapia - 1599-1617 Detailed study of a moving average trading rule
by Fernando F. Ferreira & A. Christian Silva & Ju-Yi Yen
August 2018, Volume 18, Issue 8
- 1-1 Corrigendum
by The Editors - 1249-1259 Beyond risk-based portfolios: balancing performance and risk contributions in asset allocation
by David Ardia & Kris Boudt & Giang Nguyen - 1261-1262 Asymptotic Theory of Transaction Costs
by Sébastien Lleo - 1263-1263 Calendar
by The Editors - 1265-1294 Robust multivariate portfolio choice with stochastic covariance in the presence of ambiguity
by V. Bergen & M. Escobar & A. Rubtsov & R. Zagst - 1295-1313 Portfolio optimization under Expected Shortfall: contour maps of estimation error
by Fabio Caccioli & Imre Kondor & Gábor Papp - 1315-1326 Modelling fundamental analysis in portfolio selection
by Huazhu Zhang & Cheng Yan - 1327-1343 Generalized Pareto processes and fund liquidity risk
by Sascha Desmettre & Johan de Kock & Peter Ruckdeschel & Frank Thomas Seifried - 1345-1364 Instantaneous portfolio theory
by Dilip B. Madan - 1365-1377 Buy-and-hold mean-variance portfolios with a random exit strategy
by C. D. Fuh & S. F. Luo - 1379-1388 Optimal investment strategies for general utilities under dynamic elasticity of variance models
by Wenyuan Li & Jingtang Ma - 1389-1410 Transaction costs and crowding
by Ludwig B. Chincarini - 1411-1424 Transaction cost optimization for online portfolio selection
by Bin Li & Jialei Wang & Dingjiang Huang & Steven C. H. Hoi - 1425-1436 Portfolio performance of linear SDF models: an out-of-sample assessment
by Massimo Guidolin & Erwin Hansen & Martín Lozano-Banda
July 2018, Volume 18, Issue 7
- 1077-1085 Optimal embedded leverage
by Christian Lundström & Jarkko Peltomäki - 1087-1088 Economics for the Common Good
by Frank Milne - 1089-1089 Calendar
by The Editors - 1091-1113 Calibration to American options: numerical investigation of the de-Americanization method
by O. Burkovska & M. Gass & K. Glau & M. Mahlstedt & W. Schoutens & B. Wohlmuth - 1115-1128 Learning minimum variance discrete hedging directly from the market
by Ke Nian & Thomas F. Coleman & Yuying Li - 1129-1148 Price impact and bursts in liquidity provision
by R. Gençay & S. Mahmoodzadeh & J. Rojček & M. C. Tseng - 1149-1171 Singular Fourier–Padé series expansion of European option prices
by Tat Lung (Ron) Chan - 1173-1198 A term structure model of interest rates with quadratic volatility
by Hideyuki Takamizawa - 1199-1209 Interest rate trees: extensions and applications
by John Hull & Alan White - 1211-1232 Statistical tests of distributional scaling properties for financial return series
by Mark Hallam & Jose Olmo - 1233-1247 Risk-managed 52-week high industry momentum, momentum crashes and hedging macroeconomic risk
by Klaus Grobys
June 2018, Volume 18, Issue 6
- 885-895 Pairs trading under transaction costs using model predictive control
by James A. Primbs & Yuji Yamada - 897-899 Stock Market Crashes: Predictable and Unpredictable and What to Do About Them
by Didier Sornette & Tobias Huber - 901-901 Calendar
by The Editors - 903-915 Linear models for the impact of order flow on prices. I. History dependent impact models
by Damian Eduardo Taranto & Giacomo Bormetti & Jean-Philippe Bouchaud & Fabrizio Lillo & Bence Tóth - 917-931 Linear models for the impact of order flow on prices. II. The Mixture Transition Distribution model
by Damian Eduardo Taranto & Giacomo Bormetti & Jean-Philippe Bouchaud & Fabrizio Lillo & Bence Tóth - 933-949 Volatility is rough
by Jim Gatheral & Thibault Jaisson & Mathieu Rosenbaum - 951-967 Orthogonal expansions for VIX options under affine jump diffusions
by Andrea Barletta & Elisa Nicolato - 969-981 Bond and option pricing for interest rate model with clustering effects
by Xin Zhang & Jie Xiong & Yang Shen - 983-1001 Robust and consistent estimation of generators in credit risk
by G. dos Reis & G. Smith - 1003-1016 Heston stochastic vol-of-vol model for joint calibration of VIX and S&P 500 options
by J.-P. Fouque & Y. F. Saporito - 1017-1031 Rao’s quadratic entropy and maximum diversification indexation
by Benoît Carmichael & Gilles Boevi Koumou & Kevin Moran - 1033-1048 Indexing mergers and acquisitions
by Jianhua Gang & Jie (Michael) Guo & Nan Hu & Xi Li - 1049-1075 Pricing and hedging guaranteed minimum withdrawal benefits under a general Lévy framework using the COS method
by Jennifer Alonso-García & Oliver Wood & Jonathan Ziveyi
May 2018, Volume 18, Issue 5
- 1-1 Erratum
by The Editors - 707-717 Combining standard and behavioral portfolio theories: a practical and intuitive approach
by Alexandre Alles Rodrigues & Sébastien Lleo - 719-719 Calendar
by The Editors - 723-724 Special Issue of Quantitative Finance on the ‘23rd Forecasting Financial Markets Conference’
by Jason Laws & Georgios Sermpinis - 725-735 Ultra-high-frequency lead–lag relationship and information arrival
by Thong Minh Dao & Frank McGroarty & Andrew Urquhart - 737-748 Forecasting and trading high frequency volatility on large indices
by Fei Liu & Athanasios A. Pantelous & Hans-Jörg von Mettenheim - 749-760 Point and density prediction of intra-day volume using Bayesian linear ACV models: evidence from the Polish stock market
by Roman Huptas - 761-775 Neural network copula portfolio optimization for exchange traded funds
by Yang Zhao & Charalampos Stasinakis & Georgios Sermpinis & Yukun Shi - 777-787 Correlation as probability: applications of Sheppard’s formula to financial assets
by Javier Giner & Judit Mendoza Aguilar & Sandra Morini-Marrero - 789-799 Cross-border exchanges and volatility forecasting
by Abhinav Goyal & Vasileios Kallinterakis & Dimos Kambouroudis & Jason Laws