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In this study, we introduce an explicit trading-volume process into the Almgren–Chriss model, which is a standard model for optimal execution. We propose a penalization method for deriving a verification theorem for an adaptive optimization problem. We also discuss the optimality of the...
We provide a non-parametric method for stochastic volatility modelling. Our method allows the implied volatility to be governed by a general Lévy-driven Ornstein–Uhlenbeck process, the density function of which is hidden to market participants. Using discrete-time observation we estimate the...
An Asian-style futures is settled by an Asian-style settlement procedure, more specifically, it is settled against the arithmetic average of the underlying asset prices taken over the settlement period. In this paper, we propose a practical trading strategy based on an integer programming...
Credit scoring (CS) is an important process in both banking and finance. Lenders or creditors have to use CS to predict the probability that a borrower will default or become delinquent. CS is usually based on variables related to the applicant such as: his age, his historical payments, his...
Recent advances in machine learning, artificial intelligence, and the availability of billions of high frequency data signals have made model selection a challenging and pressing need. However, most of the model selection methods available in modern finance are subject to backtest overfitting....
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