Quantitative Finance

2001 - 2025

Current editor(s): Michael Dempster and Jim Gatheral

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Volume 22, issue 12, 2022

Do fundamentals shape the price response? A critical assessment of linear impact models pp. 2139-2150

Michele Vodret, Iacopo Mastromatteo, Bence Tóth and Michael Benzaquen

Reinforcement Learning and Stochastic Optimization: A Unified Framework for Sequential Decisions pp. 2151-2154

Igor Halperin

The Black–Scholes equation in the presence of arbitrage pp. 2155-2170

Simone Farinelli and Hideyuki Takada

AI-driven liquidity provision in OTC financial markets pp. 2171-2204

Álvaro Cartea, Patrick Chang, Mateusz Mroczka and Roel Oomen

No arbitrage global parametrization for the eSSVI volatility surface pp. 2205-2217

A. Mingone

Is the effectiveness of government bonds as a diversifier of equity risk weakened after the Covid-19 crisis?† pp. 2219-2236

Yuji Sakurai and Tetsuo Kurosaki

A tale of two sentiment scales: disentangling short-run and long-run components in multivariate sentiment dynamics pp. 2237-2255

Danilo Vassallo, Giacomo Bormetti and Fabrizio Lillo

A data-driven explainable case-based reasoning approach for financial risk detection pp. 2257-2274

Wei Li, Florentina Paraschiv and Georgios Sermpinis

Supervised portfolios pp. 2275-2295

Guillaume Chevalier, Guillaume Coqueret and Thomas Raffinot

Volume 22, issue 11, 2022

When do systematic strategies decay? pp. 1955-1969

Antoine Falck, Adam Rej and David Thesmar

Mathematical Modeling and Computation in Finance: With Exercises and Python and Matlab Computer Codes pp. 1971-1972

Alessandro Gnoatto and Blanka Horvath

Learning a functional control for high-frequency finance pp. 1973-1987

L. Leal, M. Lauriere and C.-A. Lehalle

A deep learning approach to estimating fill probabilities in a limit order book pp. 1989-2003

Costis Maglaras, Ciamac C. Moallemi and Muye Wang

Cooperation between independent market makers pp. 2005-2019

Bingyan Han

A novel state-transition forest: pricing corporate securities with intertemporal exercise policies and corresponding capital structure changes pp. 2021-2045

Liang-Chih Liu, Tian-Shyr Dai, Hao-Han Chang and Lei Zhou

Forecasting interval-valued crude oil prices using asymmetric interval models pp. 2047-2061

Quanying Lu, Yuying Sun, Yongmiao Hong and Shouyang Wang

Higher moments in the fundamental specification of electricity forward prices pp. 2063-2078

Angelica Gianfreda, Giacomo Scandolo and Derek W. Bunn

Bitcoin: jumps, convenience yields, and option prices pp. 2079-2091

Jimmy E. Hilliard and Julie T. D. Ngo

High-dimensional realized covariance estimation: a parametric approach pp. 2093-2107

G. Buccheri and G. Mboussa Anga

Valuing real options with endogenous payoff pp. 2109-2123

Kyoung Jin Choi and Minsuk Kwak

Peer effects in professional analysts’ choice of their portfolio of companies pp. 2125-2137

Victor Fang, Lutz Honvehlmann and Thomas Lux

Volume 22, issue 10, 2022

The inelastic market hypothesis: a microstructural interpretation pp. 1785-1795

Jean-Philippe Bouchaud

A note on spurious model selection pp. 1797-1800

Weiguan Wang and Johannes Ruf

Portfolio Theory and Arbitrage: A Course in Mathematical Finance pp. 1801-1802

Paolo Guasoni

In memoriam Marco Avellaneda pp. 1803-1803

Michael Dempster and Jim Gatheral

Empirical analysis of rough and classical stochastic volatility models to the SPX and VIX markets pp. 1805-1838

Sigurd Emil Rømer

The optimal payoff for a Yaari investor pp. 1839-1852

Kris Boudt, K. Dragun and Steven Vanduffel

Optimal characteristic portfolios pp. 1853-1870

Richard J. McGee and Jose Olmo

Risk contributions of lambda quantiles* pp. 1871-1891

A. Ince, I. Peri and S. Pesenti

The effects of errors in means, variances, and correlations on the mean-variance framework pp. 1893-1903

Munki Chung, Yongjae Lee, Jang Ho Kim, Woo Chang Kim and Frank J. Fabozzi

Group sparse enhanced indexation model with adaptive beta value pp. 1905-1926

Fengmin Xu, Jieao Ma and Haibing Lu

Model-based approach for scenario design: stress test severity and banks' resiliency pp. 1927-1954

Paolo Barbieri, Giuseppe Lusignani, Lorenzo Prosperi and Lea Zicchino

Volume 22, issue 9, 2022

Sparse index tracking using sequential Monte Carlo pp. 1579-1592

Tanmay Satpathy and Rushabh Shah

Market Microstructure in Practice pp. 1593-1594

Nataliya Bershova

Optimal asset allocation for outperforming a stochastic benchmark target pp. 1595-1626

Chendi Ni, Yuying Li, Peter Forsyth and Ray Carroll

Pairs trading under delayed cointegration pp. 1627-1648

Tingjin Yan, Mei Choi Chiu and Hoi Ying Wong

Modeling price clustering in high-frequency prices pp. 1649-1663

Vladimír Holý and Petra Tomanová

Dynamic quantile function models pp. 1665-1691

Wilson Ye Chen, Gareth W. Peters, Richard H. Gerlach and Scott A. Sisson

Path-wise Monte Carlo simulation for Greeks of worst-of-all autocallables under multi-variate Black-Scholes model pp. 1693-1716

Xiaobo Hu, Jungong Xue and Xiandi Yu

Moments of integrated exponential Lévy processes and applications to Asian options pricing pp. 1717-1729

Riccardo Brignone

Vulnerability-CoVaR: investigating the crypto-market pp. 1731-1745

Martin Waltz, Abhay Kumar Singh and Ostap Okhrin

Proof of non-convergence of the short-maturity expansion for the SABR model pp. 1747-1757

Alan Lewis and Dan Pirjol

Optimal long-term Tier 1 employee pension management with an application to Chinese urban areas pp. 1759-1784

Bingbing Ji, Zhiping Chen, Giorgio Consigli and Zhe Yan

Volume 22, issue 8, 2022

On detecting spoofing strategies in high-frequency trading pp. 1405-1425

Xuan Tao, Andrew Day, Lan Ling and Samuel Drapeau

The Book of Alternative Data: A Guide for Investors, Traders and Risk Managers pp. 1427-1428

Matthew Dixon

Deep differentiable reinforcement learning and optimal trading pp. 1429-1443

Thibault Jaisson

The reinforcement learning Kelly strategy pp. 1445-1464

R. Jiang, D. Saunders and C. Weng

Robust deep hedging pp. 1465-1480

Eva Lütkebohmert, Thorsten Schmidt and Julian Sester

An unsupervised deep learning approach to solving partial integro-differential equations pp. 1481-1494

Weilong Fu and Ali Hirsa

Forecasting with fractional Brownian motion: a financial perspective pp. 1495-1512

Matthieu Garcin

A generalized heterogeneous autoregressive model using market information pp. 1513-1534

Rodrigo Hizmeri, Marwan Izzeldin, Ingmar Nolte and Vasileios Pappas

Bayesian estimation of electricity price risk with a multi-factor mixture of densities pp. 1535-1544

Li Kang, Stephen Walker, Paul Damien and Derek Bunn

Forecasting crude oil prices: do technical indicators need economic constraints? pp. 1545-1559

Danyan Wen, Mengxi He, Li Liu and Yaojie Zhang

The volatility risk premium in the oil market pp. 1561-1578

Ilia Bouchouev and Brett Johnson

Volume 22, issue 7, 2022

An adaptive dynamical model of default contagion pp. 1217-1227

Damian Smug, Julian Ashwin, Peter Ashwin and Didier Sornette

Behavioral Finance and Your Portfolio: A Navigation Guide for Building Wealth pp. 1229-1230

Ernawati, Nugraha and Maya Sari

An adaptive model for security prices driven by latent values: parameter estimation and option pricing effects pp. 1231-1246

Jimmy E Hilliard, Jitka Hilliard and Yinan Ni

Portfolios of value and momentum: disappointment aversion and non-normalities pp. 1247-1263

Simon Lalancette and Jean-Guy Simonato

Drawdown beta and portfolio optimization pp. 1265-1276

Rui Ding and Stan Uryasev

GARCH-UGH: a bias-reduced approach for dynamic extreme Value-at-Risk estimation in financial time series pp. 1277-1294

H. Kaibuchi, Y. Kawasaki and Gilles Stupfler

Transaction cost analytics for corporate bonds pp. 1295-1319

Xin Guo, Charles-Albert Lehalle and Renyuan Xu

Funding shortages, expectations, and forward rate risk premium pp. 1321-1341

Robert Jarrow and Sujan Lamichhane

Time-dependent relations between gaps and returns in a Bitcoin order book pp. 1343-1354

Roberto Mota-Navarro, Paulino Monroy-Castillero and Francois Leyvraz

Some analytical results on bivariate stable distributions with an application in operational risk pp. 1355-1369

L. Tafakori, Marco Bee and A.R. Soltani

On model robustness of the regime switching approach for pegged foreign exchange markets pp. 1371-1390

Yunbo Zhang and Samuel Drapeau

Stationary increments reverting to a Tempered Fractional Lévy Process (TFLP) pp. 1391-1404

Dilip B. Madan and King Wang

Correction pp. ei-ei

The Editors

Volume 22, issue 6, 2022

How to build a cross-impact model from first principles: theoretical requirements and empirical results pp. 1017-1036

Mehdi Tomas, Iacopo Mastromatteo and Michael Benzaquen

Optimal solution of the liquidation problem under execution and price impact risks pp. 1037-1049

Francesca Mariani and Lorella Fatone

A reinforcement learning approach to optimal execution pp. 1051-1069

Ciamac C. Moallemi and Muye Wang

QuantNet: transferring learning across trading strategies pp. 1071-1090

Adriano Koshiyama, Stefano B. Blumberg, Nikan Firoozye, Philip Treleaven and Sebastian Flennerhag

What is the value of the cross-sectional approach to deep reinforcement learning? pp. 1091-1111

Amine Mohamed Aboussalah, Ziyun Xu and Chi-Guhn Lee

Are missing values important for earnings forecasts? A machine learning perspective pp. 1113-1132

Ajim Uddin, Xinyuan Tao, Chia-Ching Chou and Dantong Yu

Stock market prediction based on adaptive training algorithm in machine learning pp. 1133-1152

Hongjoong Kim, Sookyung Jun and Kyoung-Sook Moon

Size and power in tests of return predictability pp. 1153-1167

Stephen LeRoy and Rish Singhania

Effective Markovian projection: application to CMS spread options and mid-curve swaptions pp. 1169-1192

M. Felpel, J. Kienitz and T. A. McWalter

International portfolio choice under multi-factor stochastic volatility pp. 1193-1216

Marcos Escobar-Anel, Sebastian Ferrando, Christoph Gschnaidtner and Alexey Rubtsov

Volume 22, issue 5, 2022

Static replication of European standard dispersion options pp. 799-811

Sébastien Bossu, Peter Carr and Andrew Papanicolaou

Continuous-Time Asset Pricing Theory pp. 813-815

Philip Protter

A new representation of the risk-neutral distribution and its applications pp. 817-834

Zhenyu Cui and Yuewu Xu

Pricing electricity day-ahead cap futures with multifactor skew-t densities pp. 835-860

Takuji Matsumoto, Derek Bunn and Yuji Yamada

A simple robust asset pricing model under statistical ambiguity pp. 861-869

Luis Garcia-Feijoo and Ariel Viale

Smooth ambiguity preferences and asset prices with a jump-diffusion process pp. 871-887

Masataka Suzuki

On the investment strategies in occupational pension plans pp. 889-905

F. Bosserhoff, A. Chen, N. Sørensen and M. Stadje

On an irreversible investment problem with two-factor uncertainty pp. 907-921

F. Dammann and G. Ferrari

Proper fund size: a perspective from both investors and fund managers pp. 923-942

Linlin Zhang, Jiajun Jiang and Yunbi An

‘Too central to fail’ firms in bi-layered financial networks: linkages in the US corporate bond and stock markets pp. 943-971

Abinash Mishra, Pranjal Srivastava and Anindya S. Chakrabarti

Brexit news propagation in financial systems: multidimensional visibility networks for market volatility dynamics pp. 973-995

Maria Elena De Giuli, Andrea Flori, Daniela Lazzari and Alessandro Spelta

Unraveling S&P500 stock volatility and networks – an encoding-and-decoding approach pp. 997-1016

Xiaodong Wang and Fushing Hsieh

Volume 22, issue 4, 2022

Stationary Heston model: calibration and pricing of exotics using product recursive quantization pp. 611-629

Vincent Lemaire, Thibaut Montes and Gilles Pagès

In Memoriam Mardi Dungey pp. 631-631

Michael Dempster and Jim Gatheral

Errata: Instantaneous Portfolio theory pp. 633-634

Dilip B. Madan, Sofie Reyners and Wim Schoutens

Applied Econometrics pp. 635-637

Ali Yucel

JDOI variance reduction method and the pricing of American-style options pp. 639-656

Johan Auster, Ludovic Mathys and Fabio Maeder

Variance reduction for risk measures with importance sampling in nested simulation pp. 657-673

Yue Xing, Tony Sit and Hoi Ying Wong

Gram–Charlier methods, regime-switching and stochastic volatility in exponential Lévy models pp. 675-689

Søren Asmussen and Mogens Bladt

A generalized Esscher transform for option valuation with regime switching risk pp. 691-705

R. J. Elliott and Tak Kuen Siu

Cheapest-to-deliver collateral: a common factor approach pp. 707-723

F. L. Wolf, Lech Grzelak and G. Deelstra

Pricing renewable identification numbers under uncertainty pp. 725-742

Mohamad Afkhami and Hamed Ghoddusi

Characterizing financial crises using high-frequency data pp. 743-760

Mardi Dungey, Jet Holloway, Abdullah Yalaman and Wenying Yao

Life insurance surrender and liquidity risks pp. 761-776

Hsiaoyin Chang and Hato Schmeiser

Rating frailty, Bayesian updates, and portfolio credit risk analysis* pp. 777-797

Shang Bu, Nan Guo and Lingfei Li

Volume 22, issue 3, 2022

In memoriam Peter Carr pp. 407-407

Michael Dempster and Jim Gatheral

Conditions for bubbles to arise under heterogeneous beliefs pp. 409-421

Seunghyun Lee and Hyungbin Park

Synthetic Data for Deep Learning pp. 423-425

Blanka Horvath

The SINC way: a fast and accurate approach to Fourier pricing pp. 427-446

Fabio Baschetti, Giacomo Bormetti, Silvia Romagnoli and Pietro Rossi

A fast algorithm for simulation of rough volatility models pp. 447-462

Jingtang Ma and Haofei Wu

Short-dated smile under rough volatility: asymptotics and numerics pp. 463-480

Peter K. Friz, Paul Gassiat and Paolo Pigato

Robust control in a rough environment pp. 481-500

Bingyan Han and Hoi Ying Wong

Additive normal tempered stable processes for equity derivatives and power-law scaling pp. 501-518

Michele Azzone and Roberto Baviera

Performance measurement for option portfolios in a stochastic volatility framework pp. 519-539

Rainer Baule, Oliver Entrop and Sebastian Wessels

Tempered stable processes with time-varying exponential tails pp. 541-561

Young Shin Kim, Kum-Hwan Roh and Raphael Douady

State-dependent Hawkes processes and their application to limit order book modelling pp. 563-583

Maxime Morariu-Patrichi and Mikko S. Pakkanen

Optimal trade execution for Gaussian signals with power-law resilience pp. 585-596

Martin Forde, Leandro Sánchez-Betancourt and Benjamin Smith

Market making with inventory control and order book information pp. 597-610

E. Donatoni, Sandra Paterlini and F. Bazzana

Volume 22, issue 2, 2022

Bond market completeness under stochastic strings with distribution-valued strategies pp. 197-211

Alberto Bueno-Guerrero, Manuel Moreno and Javier Navas

Classification of flash crashes using the Hawkes(p,q) framework pp. 213-240

Alexander Wehrli and Didier Sornette

Short-term volatility forecasting with kernel support vector regression and Markov switching multifractal model pp. 241-253

Khaldoun Khashanah and Chenjie Shao

Forecasting market index volatility using Ross-recovered distributions pp. 255-271

Marie-Hélène Gagnon, Gabriel J. Power and Dominique Toupin

Forecasting exchange rates using asymmetric losses: A Bayesian approach pp. 273-287

Georgios Tsiotas

Myopic robust index tracking with Bregman divergence pp. 289-302

S. Penev, P. V. Shevchenko and W. Wu

Estimation risk and the implicit value of index-tracking pp. 303-319

Brian Clark, Chanaka Edirisinghe and Majeed Simaan

Constructing long-short stock portfolio with a new listwise learn-to-rank algorithm pp. 321-331

Xin Zhang, Lan Wu and Zhixue Chen

Portfolio optimization with a prescribed terminal wealth distribution pp. 333-347

Ivan Guo, Nicolas Langrené, Grégoire Loeper and Wei Ning

Sparse index clones via the sorted ℓ1-Norm pp. 349-366

Philipp J. Kremer, Damian Brzyski, Małgorzata Bogdan and Sandra Paterlini

Evolutionary patterns of onshore and offshore Renminbi exchange rates with convexity–concavity indicators pp. 367-384

Qun Zhang, Didier Sornette and Liyan Han

The impact of CoCo bonds on systemic risk considering liquidity risk pp. 385-406

Ping Li, Yanhong Guo and Hui Meng

Volume 22, issue 1, 2022

Cumulative market impact of consecutive orders over one and two days: how long does the market remember past trades? pp. 1-21

Paul Besson and Matthieu Lasnier

Blockchain and Distributed Ledgers: Mathematics, Technology, and Economics pp. 23-24

Artur Sepp

Introduction to the Proceedings of the 15th International Conference on Stochastic Programming 2019 (ICSP 2019): discrete stochastic optimization in finance pp. 28-30

Giorgio Consigli, Miloš Kopa and Alois Pichler

Quantification of risk in classical models of finance pp. 31-45

Alois Pichler and Ruben Schlotter

Equal risk pricing and hedging of financial derivatives with convex risk measures pp. 47-73

Saeed Marzban, Erick Delage and Jonathan Yu-Meng Li

Kelly investing with downside risk control in a regime-switching market pp. 75-94

Leonard MacLean and Yonggan Zhao

The value and cost of more stages in stochastic programing: a statistical analysis on a set of portfolio choice problems pp. 95-112

John Birge, Jörgen Blomvall and Jonas Ekblom

Distributionally robust portfolio optimization with linearized STARR performance measure pp. 113-127

Ran Ji, Miguel Lejeune and Zhengyang Fan

Lifetime consumption and investment with housing, deferred annuities and home equity release pp. 129-145

Chul Jang, Iqbal Owadally, Andrew Clare and Muhammad Kashif

Liquidity fluctuations and the latent dynamics of price impact pp. 149-169

Luca Philippe Mertens, Alberto Ciacci, Fabrizio Lillo and Giulia Livieri

Price impact on term structure pp. 171-195

Damiano Brigo, Federico Graceffa and Eyal Neuman