Zobrazeno 1 - 10
of 38 410
pro vyhledávání: '"quantitative finance"'
Autor:
Kirtac, Kemal, Germano, Guido
Publikováno v:
Finance Research Letters, 62, p.105227 (2024)
We investigate the efficacy of large language models (LLMs) in sentiment analysis of U.S. financial news and their potential in predicting stock market returns. We analyze a dataset comprising 965,375 news articles that span from January 1, 2010, to
Externí odkaz:
http://arxiv.org/abs/2412.19245
Autor:
Tung, Shen-Ning, Wang, Tai-Ho
This paper develops a rigorous mathematical framework for analyzing Concentrated Liquidity Market Makers (CLMMs) in Decentralized Finance (DeFi) within a continuous-time setting. We model the evolution of liquidity profiles as measure-valued processe
Externí odkaz:
http://arxiv.org/abs/2412.18580
Regardless of the selected asset class and the level of model complexity (Transformer versus LSTM versus Perceptron/RNN), the GMADL loss function produces superior results than standard MSE-type loss functions and has better numerical properties in t
Externí odkaz:
http://arxiv.org/abs/2412.18405
Autor:
Hutinet, Geoffrey, Pascoe, J. E.
We give an abstract perspective on quadratic programming with an eye toward long portfolio theory geared toward explaining sparsity via maximum principles. Specifically, in optimal allocation problems, we see that support of an optimal distribution l
Externí odkaz:
http://arxiv.org/abs/2412.18201
Autor:
Wu, Xuchen, Jaimungal, Sebastian
We study partial information Nash equilibrium between a broker and an informed trader. In this model, the informed trader, who possesses knowledge of a trading signal, trades multiple assets with the broker in a dealer market. Simultaneously, the bro
Externí odkaz:
http://arxiv.org/abs/2412.17712
We use modifications of the Adams method and very fast and accurate sinh-acceleration method of the Fourier inversion (iFT) (S.Boyarchenko and Levendorski\u{i}, IJTAF 2019, v.22) to evaluate prices of vanilla options; for options of moderate and long
Externí odkaz:
http://arxiv.org/abs/2412.16067
We use granular regulatory data on euro interest rate swap trades between January 2021 and June 2023 to assess whether derivative positions of Italian banks can offset losses on their debt securities holdings should interest rates rise unexpectedly.
Externí odkaz:
http://arxiv.org/abs/2412.15986
In this paper, we propose a complete modelling framework to value several batteries in the electricity intraday market at the trading session scale. The model consists of a stochastic model for the 24 mid-prices (one price per delivery hour) combined
Externí odkaz:
http://arxiv.org/abs/2412.15959
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
We revisit the long-only trend-following strategy presented in A Century of Profitable Industry Trends by Zarattini and Antonacci, which achieved exceptional historical performance with an 18.2% annualized return and a Sharpe Ratio of 1.39. While the
Externí odkaz:
http://arxiv.org/abs/2412.14361