Zobrazeno 1 - 10
of 10
pro vyhledávání: '"Serge Kassibrakis"'
Publikováno v:
Risks, Vol 6, Iss 4, p 112 (2018)
We solve the problem of optimal risk management for an investor holding an illiquid, alpha-generating fund and hedging his/her position with a liquid futures contract. When the investor is subject to a lower bound on net return, he/she is forced to r
Externí odkaz:
https://doaj.org/article/ea2db1936ddb429784fab5bbf0c5504d
Publikováno v:
SSRN : Social Science Research Network
SSRN : Social Science Research Network, Elsevier, 2018, ⟨10.2139/ssrn.3309170⟩
SSRN : Social Science Research Network, Elsevier, 2018, ⟨10.2139/ssrn.3309170⟩
We introduce a framework to infer lead-lag networks between the states of elements of complex systems, determined at different timescales. As such networks encode the causal structure of a system, infering lead-lag networks for many pairs of timescal
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::a5055676c9eb97b1f8d8c3a3587d0c03
https://doi.org/10.1080/14697688.2020.1753883
https://doi.org/10.1080/14697688.2020.1753883
Publikováno v:
Mathematics and Financial Economics. 14:121-138
We solve the problem of optimal inventory management for a CARA market-maker who faces proportional transaction costs and marking to market. Our explicit solution accommodates inventory shocks following an arbitrary compound Poisson process, and allo
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::230d8b3f76e5cd58013068774a979198
https://doi.org/10.1007/s11579-019-00248-8
https://doi.org/10.1007/s11579-019-00248-8
Publikováno v:
SSRN Electronic Journal.
We develop a rational model of trading behavior in which the agents gradually learn about their ability to trade, and exit after poor trading performance. We demonstrate that it is optimal for experienced traders to "procrastinate" and postpone exit
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::6a2dbe6346b7120bb9ddf01d5cdc1073
https://doi.org/10.2139/ssrn.3732319
https://doi.org/10.2139/ssrn.3732319
Autor:
Semyon Malamud, Serge Kassibrakis
Publikováno v:
SSRN Electronic Journal.
We develop a model for pricing tokens that can be used to get access to industrial production. Our model accounts for the possibility of multiple product lines and the evolution of industrial demand. We apply our model to pricing the ICO of a Swiss s
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::964c59e606f67111fa8088eeb3279b40
https://doi.org/10.2139/ssrn.3363462
https://doi.org/10.2139/ssrn.3363462
Publikováno v:
SSRN Electronic Journal.
Foreign exchange operates as a two-tiered over-the-counter (OTC) market dominated by large, strategic dealers. Using proprietary high frequency data on quotes by the largest foreign exchange dealer banks in the dealer-to-customer (D2C) market, we fin
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::ea7abf671766e79f0222526940b91520
https://doi.org/10.2139/ssrn.3234406
https://doi.org/10.2139/ssrn.3234406
Publikováno v:
SSRN Electronic Journal.
We solve the problem of optimal risk management for an investor holding an illiquid, alpha generating fund and hedging his position with a liquid futures contract. When the investor is subject to a drawdown constraint, he is forced to reduce the tota
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::8ab538745fe222d66e979bf84a4f8031
https://doi.org/10.2139/ssrn.3230622
https://doi.org/10.2139/ssrn.3230622
Publikováno v:
Advances in Complex Systems
Advances in Complex Systems, World Scientific, 2018, ⟨10.1142/S0219525918500194⟩
Advances in Complex Systems, World Scientific, 2018, ⟨10.1142/S0219525918500194⟩
We introduce a method to infer lead-lag networks of agents' actions in complex systems. These networks open the way to both microscopic and macroscopic states prediction in such systems. We apply this method to trader-resolved data in the foreign exc
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::f0b8433967b4b0ef49b0cbc397735662
https://doi.org/10.1142/s0219525918500194
https://doi.org/10.1142/s0219525918500194
Publikováno v:
Risks
Volume 6
Issue 4
Risks, Vol 6, Iss 4, p 112 (2018)
Volume 6
Issue 4
Risks, Vol 6, Iss 4, p 112 (2018)
We solve the problem of optimal risk management for an investor holding an illiquid, alpha-generating fund and hedging his/her position with a liquid futures contract. When the investor is subject to a lower bound on net return, he/she is forced to r
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::be73a3af74f1cadd7be3bbb0e5eb7969
https://doi.org/10.3390/risks6040112
https://doi.org/10.3390/risks6040112
Publikováno v:
SSRN Electronic Journal.
Using trader-resolved data, we document lead-lag relationships between groups of investors in the foreign exchange market. Because these relationships are systematic and persistent, order flow is predictable from trader-resolved order flow. We thus p
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::c132a843e79d4720c6165bc8e988ae4d
https://doi.org/10.2139/ssrn.2839312
https://doi.org/10.2139/ssrn.2839312