Quantitative Finance, Volume 19, Issue 6 (2019)

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Quantitative Finance, Volume 19, Issue 6 (2019)

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Features

Article
Dynamics and performance of decentralized portfolios with size-induced fund flows
Huamao Wang, Jun Yang & Yumei Yao
Pages: 885-898
Published online: 16 Jan 2019
AbstractforDynamics and performance of decentralized portfolios with size-induced fund flows | Full Text | References | PDF (1,007.3 KB) | EPUB
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Book review

Book Review
Stochastic Drawdowns
John Fry
Pages: 899-900
Published online: 13 May 2019
CitationforStochastic Drawdowns | Full Text | References | PDF (332.4 KB) | EPUB
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Calendar

Calendar
Calendar
Page: 901
Published online: 13 May 2019
CitationforCalendar | Full Text | PDF (981.7 KB) | EPUB
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Research Papers

Article
Market making with minimum resting times
Álvaro Cartea & Yixuan Wang
Pages: 903-920
Published online: 18 Jan 2019
AbstractforMarket making with minimum resting times | Full Text | References | PDF (1.1 MB) | EPUB
  • 378 Views
  • 1 CrossRef citations
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Article
Statistical arbitrage with optimal causal paths on high-frequency data of the S&P 500
Johannes Stübinger
Pages: 921-935
Published online: 14 Nov 2018
AbstractforStatistical arbitrage with optimal causal paths on high-frequency data of the S&P 500 | Full Text | References | PDF (1.2 MB) | EPUB
  • 1191 Views
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Article
A simple mechanism for financial bubbles: time-varying momentum horizon
L. Lin, M. Schatz & D. Sornette
Pages: 937-959
Published online: 14 Nov 2018
AbstractforA simple mechanism for financial bubbles: time-varying momentum horizon | Full Text | References | PDF (3.1 MB) | EPUB
  • 446 Views
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Article
Sovereign risk zones in Europe during and after the debt crisis
Veni Arakelian, Petros Dellaportas, Roberto Savona & Marika Vezzoli
Pages: 961-980
Published online: 29 Jan 2019
AbstractforSovereign risk zones in Europe during and after the debt crisis | Full Text | References | PDF (1.3 MB) | EPUB | Supplemental
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Article
A cluster driven log-volatility factor model: a deepening on the source of the volatility clustering
A. Verma, R. J. Buonocore & T. Di Matteo
Pages: 981-996
Published online: 14 Nov 2018
AbstractforA cluster driven log-volatility factor model: a deepening on the source of the volatility clustering | Full Text | References | PDF (1.4 MB) | EPUB
  • 458 Views
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Article
Calibration and advanced simulation schemes for the Wishart stochastic volatility model
G. La Bua & D. Marazzina
Pages: 997-1016
Published online: 11 Jan 2019
AbstractforCalibration and advanced simulation schemes for the Wishart stochastic volatility model | Full Text | References | PDF (811.3 KB) | EPUB
  • 247 Views
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Article
Bayesian realized-GARCH models for financial tail risk forecasting incorporating the two-sided Weibull distribution
Chao Wang, Qian Chen & Richard Gerlach
Pages: 1017-1042
Published online: 23 Nov 2018
AbstractforBayesian realized-GARCH models for financial tail risk forecasting incorporating the two-sided Weibull distribution | Full Text | References | PDF (1 MB) | EPUB
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Article
Stochastic automatic differentiation: automatic differentiation for Monte-Carlo simulations
Christian P. Fries
Pages: 1043-1059
Published online: 18 Jan 2019
AbstractforStochastic automatic differentiation: automatic differentiation for Monte-Carlo simulations | Full Text | References | PDF (497 KB) | EPUB
  • 456 Views
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Article
Real options under a double exponential jump-diffusion model with regime switching and partial information
Pengfei Luo, Jie Xiong, Jinqiang Yang & Zhaojun Yang
Pages: 1061-1073
Published online: 20 Jul 2017
AbstractforReal options under a double exponential jump-diffusion model with regime switching and partial information | Full Text | References | PDF (914.6 KB) | EPUB
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