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Volume 21, Issue 12

Quantitative Finance

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Quantitative Finance, Volume 21, Issue 12 (2021)

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Quantitative Finance, Volume 21, Issue 12 (2021)

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Vol 24, 2024 Vol 23, 2023 Vol 22, 2022 Volume 21, 2021 Vol 20, 2020 Vol 19, 2019 Vol 18, 2018 Vol 17, 2017 Vol 16, 2016 Vol 15, 2015 Vol 14, 2014 Vol 13, 2013 Vol 12, 2012 Vol 11, 2011 Vol 10, 2010 Vol 9, 2009 Vol 8, 2008 Vol 7, 2007 Vol 6, 2006 Vol 5, 2005 Vol 4, 2004 Vol 3, 2003 Vol 2, 2002 Vol 1, 2001

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Article

Portfolio insurers and constant weight traders: who will survive?

Emilio Barucci, Pietro Dindo & Francesca Grassetti

Pages: 1993-2004

Published online: 10 Dec 2021

AbstractforPortfolio insurers and constant weight traders: who will survive? | Full Text | References | PDF (1.6 MB) | EPUB

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Book review

Book Review

An Introduction to Machine Learning in Quantitative Finance

by Hao Ni, Xin Dong, Jinsong Zheng and Guangxi Yu, World Scientific Europe Ltd (2021). E-Book. ISBN 9781786349644.

Gonçalo dos Reis & Calum Strange

Pages: 2005-2006

Published online: 30 Nov 2021

CitationforAn Introduction to Machine Learning in Quantitative Finance | Full Text | References | PDF (386.9 KB) | EPUB

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Free Access

Research Papers

Article

An investigation of cryptocurrency data: the market that never sleeps

D. Vidal-Tomás

Pages: 2007-2024

Published online: 15 Jun 2021

AbstractforAn investigation of cryptocurrency data: the market that never sleeps | Full Text | References | PDF (1,008.1 KB) | EPUB

992 Views
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Article

A numerical approach to pricing exchange options under stochastic volatility and jump-diffusion dynamics

Len Patrick Dominic M. Garces & Gerald H. L. Cheang

Pages: 2025-2054

Published online: 16 Jun 2021

AbstractforA numerical approach to pricing exchange options under stochastic volatility and jump-diffusion dynamics | Full Text | References | PDF (3 MB) | EPUB

408 Views
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Article

Dynamic patterns of daily lead-lag networks in stock markets

Yongli Li, Chao Liu, Tianchen Wang & Baiqing Sun

Pages: 2055-2068

Published online: 17 Jun 2021

AbstractforDynamic patterns of daily lead-lag networks in stock markets | Full Text | References | PDF (1.7 MB) | EPUB

604 Views
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Article

Antinoise in U.S. equity markets

Enoch Cheng & Clemens C. Struck

Pages: 2069-2087

Published online: 15 Jun 2021

AbstractforAntinoise in U.S. equity markets | Full Text | References | PDF (2.6 MB) | EPUB

1661 Views
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Open Access

Article

Revisiting the Samuelson hypothesis on energy futures

W.-H. Liu

Pages: 2089-2101

Published online: 01 Apr 2020

AbstractforRevisiting the Samuelson hypothesis on energy futures | Full Text | References | PDF (1.5 MB) | EPUB

228 Views
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Article

The interest rate factor in commodity markets

Haicheng Shu

Pages: 2103-2118

Published online: 23 Oct 2020

AbstractforThe interest rate factor in commodity markets | Full Text | References | PDF (900.5 KB) | EPUB

341 Views
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Article

Time-frequency forecast of the equity premium

Gonçalo Faria & Fabio Verona

Pages: 2119-2135

Published online: 23 Oct 2020

AbstractforTime-frequency forecast of the equity premium | Full Text | References | PDF (1.8 MB) | EPUB

433 Views
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