Zobrazeno 1 - 10
of 2 454
pro vyhledávání: '"A. Rachev"'
This study evaluates the performance of random forest regression models enhanced with technical indicators for high-frequency stock price prediction. Using minute-level SPY data, we assessed 13 models that incorporate technical indicators such as Bol
Externí odkaz:
http://arxiv.org/abs/2412.15448
Autor:
Lauria, Davide, Park, JiHo, Hu, Yuan, Lindquist, W. Brent, Rachev, Svetlozar T., Fabozzi, Frank J.
We address the problem of asset pricing in a market where there is no risky asset. Previous work developed a theoretical model for a shadow riskless rate (SRR) for such a market in terms of the drift component of the state-price deflator for that ass
Externí odkaz:
http://arxiv.org/abs/2411.07421
We introduce a new identification strategy for uncertainty shocks to explain macroeconomic volatility in financial markets. The Chicago Board Options Exchange Volatility Index (VIX) measures market expectations of future volatility, but traditional m
Externí odkaz:
http://arxiv.org/abs/2411.02804
We introduce a fairly general, recombining trinomial tree model in the natural world. Market-completeness is ensured by considering a market consisting of two risky assets, a riskless asset, and a European option. The two risky assets consist of a st
Externí odkaz:
http://arxiv.org/abs/2410.04748
We present a unified, market-complete model that integrates both the Bachelier and Black-Scholes-Merton frameworks for asset pricing. The model allows for the study, within a unified framework, of asset pricing in a natural world that experiences the
Externí odkaz:
http://arxiv.org/abs/2405.12479
This research extends the conventional concepts of the bid--ask spread (BAS) and mid-price to include the total market order book bid--ask spread (TMOBBAS) and the global mid-price (GMP). Using high-frequency trading data, we investigate these new co
Externí odkaz:
http://arxiv.org/abs/2404.11722
Using data from 2000 through 2022, we analyze the predictive capability of the annual numbers of new home constructions and four available environmental, social, and governance factors on the average annual price of homes sold in eight major U.S. cit
Externí odkaz:
http://arxiv.org/abs/2404.07132
We develop two alternate approaches to arbitrage-free, market-complete, option pricing. The first approach requires no riskless asset. We develop the general framework for this approach and illustrate it with two specific examples. The second approac
Externí odkaz:
http://arxiv.org/abs/2403.17187
We propose a discrete-time econometric model that combines autoregressive filters with factor regressions to predict stock returns for portfolio optimisation purposes. In particular, we test both robust linear regressions and general additive models
Externí odkaz:
http://arxiv.org/abs/2401.00188
Autor:
Torri, Gabriele, Giacometti, Rosella, Dentcheva, Darinka, Rachev, Svetlozar T., Lindquist, W. Brent
The growing interest in sustainable investing calls for an axiomatic approach to measures of risk and reward that focus not only on financial returns, but also on measures of environmental and social sustainability, i.e. environmental, social, and go
Externí odkaz:
http://arxiv.org/abs/2309.05866