Journal: Quantitative Finance

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Routledge

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1469-7688
1469-7696

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Publications 1 - 10 of 30
  • Evolutionary patterns of onshore and offshore Renminbi exchange rates with convexity–concavity indicators
    Item type: Journal Article
    Zhang, Qun; Sornette, Didier; Han, Liyan (2022)
    Quantitative Finance
    The China-specific currency market framework of ‘one currency, two markets’ provides us with a unique natural experiment to investigate how the active offshore exchange rate frequently diverges from the onshore exchange rate. From an interdisciplinary perspective, we propose a methodological framework that first establishes four convexity–concavity indicators, and then employ time series clustering/segmentation techniques to explore the evolutionary patterns of the onshore and offshore Renminbi exchange rates from 2 May 2012 to 29 December 2017. The empirical results show that the methodology is able to recognize five scenarios in which the exchange rates behave in an unsupervised manner, arriving at a diagnosis of the evolutionary patterns for these two markets. The estimated inverse covariance matrices and the associated graphical representations highlight the assembled timestamps of clustering assignments and reveal time-invariant structures of the market state, with all the most relevant dependencies directly interconnected in these two markets. It also suggests that intervention operations should take into account investor attention, varying arbitrage opportunities for market participants in both markets. © 2021 Informa UK Limited
  • Weak and strong Taylor methods for numerical solutions of stochastic differential equations
    Item type: Journal Article
    Siopacha, Maria; Teichmann, Josef (2011)
    Quantitative Finance
  • Heterogeneous expectations and long-range correlation of the volatility of asset returns
    Item type: Journal Article
    Coulon, J.; Malevergne, Y. (2011)
    Quantitative Finance
  • The modified Weibull distribution for asset returns
    Item type: Journal Article
    Malevergne, Y.; Pisarenko, V.; Sornette, Didier (2006)
    Quantitative Finance
  • On the properties of the Lambda value at risk: robustness, elicitability and consistency
    Item type: Journal Article
    Burzoni, Matteo; Peri, Ilaria; Ruffo, Chiara M. (2017)
    Quantitative Finance
  • The effect of corporate social responsibility on stock performance: new evidence for the USA and Europe
    Item type: Journal Article
    von Arx, Urs; Ziegler, Andreas (2014)
    Quantitative Finance
  • Identification and critical time forecasting of real estate bubbles in the USA
    Item type: Journal Article
    Ardila, Diego; Sanadgol, Dorsa; Cauwels, Peter; et al. (2017)
    Quantitative Finance
  • Intelligent finance - an emerging direction
    Item type: Journal Article
    Pan, Heping; Sornette, Didier; Kortanek, Kenneth (2006)
    Quantitative Finance
    Intelligent finance represents a new direction recently emerging from the confluence of several distinct disciplines in financial market analysis, investing and trading, removing any historical or artificial barrier between them. It is conceived as the science, technology and art of the comprehensive, predictive, dynamic and strategic analysis of global financial markets, towards a unification and integration of academic finance and professional finance. As a comprehensive approach, it is a quest for absolute positive and non-trivial returns in investing and trading by exploiting complete information about financial markets from all general perspectives, drawing ideas, theories, models and techniques from many related academic disciplines, such as macroeconomics, microeconomics, academic finance, financial mathematics, econophysics, behavioural finance and computational finance, and from professional schools of thought, such as macrowave investing, trend following, fundamental analysis, technical analysis, mind analysis, active speculation, etc. In terms of risk management, intelligent finance is expected to minimize the very last risk—the incompleteness of an investing or trading method or system. The theoretical framework of intelligent finance consists of four major components: financial information fusion, multilevel stochastic dynamic process models, active portfolio and total risk management, and financial strategic analysis. We first provide the background from which intelligent finance has recently emerged as a new direction in finance research and industry, and then provide a brief theoretical review of the predictability of financial markets since Bachelier. After these background discussions, we clarify the major research directions of intelligent finance.
  • Application of power series approximation techniques to valuation of European style options
    Item type: Journal Article
    Gudkov, Nikolay; Ziveyi, Jonathan (2021)
    Quantitative Finance
    Fourier transforms provide versatile techniques for pricing financial derivative securities. In applying such techniques, a typical derivative valuation expression is often written as an inner product of the Fourier transform of payoff and the characteristic function of the underlying asset dynamics. Some modelling specifications imply that it might be challenging to find a closed-form expression for the characteristic function. In such situations, numerical approximations have to be employed. This paper utilises the power series approximation technique in finding explicit expressions of the characteristic function for the underlying stochastic variables. We analyse the convergence and accuracy of this technique in the context of valuing European style options written on underlying securities whose dynamics evolve under the influence of multiple Heston-type stochastic volatilities [Heston, S., A closed-form solution for options with Stochastic volatility with applications to Bond and currency options. Rev. Financ. Stud., 1993, 6, 327–343] and Cox–Ingersoll–Ross stochastic interest rates [Cox, J., Ingerson, J. and Ross, S., A theory of the term structure of interest rates. Econometrica, 1985, 53, 385–407]. This paper contributes to the existing literature four-fold by: (i) adapting the valuation technique to long-dated instruments; (ii) providing an adjustment to a series of points around which the power series expansion is performed; (iii) analysing the performance of different strategies for hedging European call options; (iv) applying the power series approach to the valuation of guaranteed minimum accumulation benefit riders embedded in variable annuity contracts. Our results demonstrate a high computational efficiency of the power series approximation method for evaluation of derivative prices and hedge ratios. © 2020 Informa UK Limited, trading as Taylor & Francis Group.
  • On the performance of delta hedging strategies in exponential Lévy models
    Item type: Journal Article
    Denkl, Stephan; Goy, Martina; Kallsen, Jan; et al. (2013)
    Quantitative Finance
Publications 1 - 10 of 30