Zobrazeno 1 - 10
of 38 301
pro vyhledávání: '"Quantitative finance"'
Autor:
Giller, Graham L.
A simple model-free and distribution-free statistic, the functional relationship between the number of "effective" degrees of freedom and portfolio size, or N*(N), is used to discriminate between two alternative models for the correlation of daily cr
Externí odkaz:
http://arxiv.org/abs/2412.04263
Publikováno v:
Finance Research Letters, 72, 106413 (2024)
This study employs an event study methodology to investigate the market impact of the U.S. Securities and Exchange Commission's (SEC) classification of crypto assets as securities. It explores how SEC interventions influence asset returns and trading
Externí odkaz:
http://arxiv.org/abs/2412.02452
Traditional genetic programming (GP) often struggles in stock alpha factor discovery due to its vast search space, overwhelming computational burden, and sporadic effective alphas. We find that GP performs better when focusing on promising regions ra
Externí odkaz:
http://arxiv.org/abs/2412.00896
Autor:
Zhu, Jiahao, Wu, Hengzhi
This study explores the use of Transformer-based models to predict both covariance and semi-covariance matrices for ETF portfolio optimization. Traditional portfolio optimization techniques often rely on static covariance estimates or impose strict m
Externí odkaz:
http://arxiv.org/abs/2411.19649
Autor:
Atsiwo, Abraham, Sarantsev, Andrey
The Capital Asset Pricing Model (CAPM) relates a well-diversified stock portfolio to a benchmark portfolio. We insert size effect in CAPM, capturing the observation that small stocks have higher risk and return than large stocks, on average. Dividing
Externí odkaz:
http://arxiv.org/abs/2411.19444
We study optimal payoff choice for an expected utility maximizer under the constraint that their payoff is not allowed to deviate ``too much'' from a given benchmark. We solve this problem when the deviation is assessed via a Bregman-Wasserstein (BW)
Externí odkaz:
http://arxiv.org/abs/2411.18397
Quanto options allow the buyer to exchange the foreign currency payoff into the domestic currency at a fixed exchange rate. We investigate quanto options with multiple underlying assets valued in different foreign currencies each with a different str
Externí odkaz:
http://arxiv.org/abs/2411.16617
Autor:
Shi, Jerick, Hollifield, Burton
Predicting the movement of the stock market and other assets has been valuable over the past few decades. Knowing how the value of a certain sector market may move in the future provides much information for investors, as they use that information to
Externí odkaz:
http://arxiv.org/abs/2411.16569
Autor:
Jha, Manish
This paper demonstrates that hedge funds tend to design their activist campaigns to align with the preferences and ideologies of institutions holding large stakes in the target company. I estimate these preferences by analyzing the institutions' prev
Externí odkaz:
http://arxiv.org/abs/2411.16553
Autor:
Lesniewski, Andrew, Trigila, Giulio
We propose a highly efficient and accurate methodology for generating synthetic financial market data using a diffusion model approach. The synthetic data produced by our methodology align closely with observed market data in several key aspects: (i)
Externí odkaz:
http://arxiv.org/abs/2412.00036