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This article uses Principal Component Analysis to compute and extract the main factors for the financial risk of a portfolio, to determine the most dominating stock for each risk factor and for each portfolio and finally to compute the total risk of the portfolio. Firstly, each dataset is...
Smart Beta Investing has revolutionized investment management field with the ability to offer higher returns with lower costs. The momentum factor in the Smart Beta universe often outperforms other popular factors, besides being well documented in the literature, it is found to be pervasive...
We present an algorithmic trading strategy based upon a graph version of the dynamic mode decomposition (DMD) model. Unlike the traditional DMD model which tries to characterize a stock’s dynamics based on all other stocks in a universe, the proposed model characterizes a stock’s dynamics based...
We obtain the bond price formula for the fractional Cox-Ingersoll-Ross model. Then we obtain option price formula for the bond. Finally we apply it to derive option price formula in fractional Heston model.
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