Performance attribution of machine learning methods for stock returns prediction

Autor: Stéphane Daul, Thibault Jaisson, Alexandra Nagy

Publikováno v: Journal of Finance and Data Science, Vol 8, Iss , Pp 86-104 (2022)

We analyze the performance of investable portfolios built using predicted stock returns from machine learning methods and attribute their performance to linear, marginal non-linear and interaction effects. We use a large set of features including pri

Externí odkaz: https://doaj.org/article/66d2383594e949c981d9de72694984db

Volatility is rough

Autor: Thibault Jaisson, Jim Gatheral, Mathieu Rosenbaum

Publikováno v: Quantitative Finance
Commodities ISBN: 9781003265399
World Scientific Lecture Notes in Finance ISBN: 9789811255861

Estimating volatility from recent high frequency data, we revisit the question of the smoothness of the volatility process. Our main result is that log-volatility behaves essentially as a fractional Brownian motion with Hurst exponent H of order 0.1,

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::12af83393ee00395ad28769b5f46b8e8
https://doi.org/10.1080/14697688.2017.1393551

An introduction to econophysics and quantitative finance

Autor: Vincent Vargas, Rémy Chicheportiche, Thibault Jaisson, Iacopo Mastromatteo

Publikováno v: ESAIM: Proceedings and Surveys, Vol 51, Pp 320-336 (2015)

This paper gives an account of the talks given by the authors at the 2014 MAS conference in Toulouse. These talks present recent research in the field of econophysics and quantitative finance. ResumCet article rend compte des exposes donnes par les a

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::71053ef8d8ca3a1966488314d16e2dae
https://doi.org/10.1051/proc/201551017

The different asymptotic regimes of nearly unstable autoregressive processes

Autor: Mathieu Rosenbaum, Thibault Jaisson

Publikováno v: The Fascination of Probability, Statistics and their Applications, In Honour of Ole E. Barndorff-Nielsen
M. Podolskij, R. Stelzer, S. Thorbjornsen, A.E.D. Veraart. The Fascination of Probability, Statistics and their Applications, In Honour of Ole E. Barndorff-Nielsen, Springer, pp.283-301, 2016
The Fascination of Probability, Statistics and their Applications
The Fascination of Probability, Statistics and their Applications, 2016, The Fascination of Probability, Statistics and their Applications, In Honour of Ole E. Barndorff-Nielsen, pp.283-301
Springer
The Fascination of Probability, Statistics and their Applications ISBN: 9783319258249

We extend classical results about the convergence of nearly unstable AR(p) processes to the infinite order case. To do so, we proceed as in recent works about Hawkes processes by using limit theorems for some well chosen geometric sums. We prove that

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::1a9d834bdb02acae9752e6f40bb41053
https://hal.archives-ouvertes.fr/hal-01367760

Liquidity and Impact in Fair Markets

Autor: Thibault Jaisson

We develop a theory which applies to any market dynamics that satisfy a fair market assumption on the nullity of the average profit of simple market making strategies. We show that for any such fair market, there exists a martingale fair price which

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::b8434d00a578bd758794953f94973623