Quantitative Finance, Volume 22, Issue 12 (2022)

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Quantitative Finance, Volume 22, Issue 12 (2022)

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Features

Article
Do fundamentals shape the price response? A critical assessment of linear impact models
Michele Vodret, Iacopo Mastromatteo, Bence Tóth & Michael Benzaquen
Pages: 2139-2150
Published online: 25 Oct 2022
First Page PreviewforDo fundamentals shape the price response? A critical assessment of linear impact models | Full Text | References | PDF (1.2 MB) | EPUB
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Book Review
Reinforcement Learning and Stochastic Optimization: A Unified Framework for Sequential Decisions
by Warren B. Powell (ed.), Wiley (2022). Hardback. ISBN 9781119815051.
Igor Halperin
Pages: 2151-2154
Published online: 28 Nov 2022
First Page PreviewforReinforcement Learning and Stochastic Optimization: A Unified Framework for Sequential Decisions | Full Text | PDF (265.9 KB) | EPUB
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Free Access

Research Papers

Article
The Black–Scholes equation in the presence of arbitrage
Simone Farinelli & Hideyuki Takada
Pages: 2155-2170
Published online: 15 Sep 2022
AbstractforThe Black–Scholes equation in the presence of arbitrage | Full Text | References | PDF (513.8 KB) | EPUB
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Article
AI-driven liquidity provision in OTC financial markets
Álvaro Cartea, Patrick Chang, Mateusz Mroczka & Roel Oomen
Pages: 2171-2204
Published online: 21 Oct 2022
AbstractforAI-driven liquidity provision in OTC financial markets | Full Text | References | PDF (5.9 MB) | EPUB
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Article
No arbitrage global parametrization for the eSSVI volatility surface
A. Mingone
Pages: 2205-2217
Published online: 15 Sep 2022
AbstractforNo arbitrage global parametrization for the eSSVI volatility surface | Full Text | References | PDF (2.5 MB) | EPUB
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Article
Is the effectiveness of government bonds as a diversifier of equity risk weakened after the Covid-19 crisis?†
Yuji Sakurai & Tetsuo Kurosaki
Pages: 2219-2236
Published online: 15 Sep 2022
AbstractforIs the effectiveness of government bonds as a diversifier of equity risk weakened after the Covid-19 crisis?† | Full Text | References | PDF (1.8 MB) | EPUB
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Article
A tale of two sentiment scales: disentangling short-run and long-run components in multivariate sentiment dynamics
Danilo Vassallo, Giacomo Bormetti & Fabrizio Lillo
Pages: 2237-2255
Published online: 21 Oct 2022
AbstractforA tale of two sentiment scales: disentangling short-run and long-run components in multivariate sentiment dynamics | Full Text | References | PDF (1.1 MB) | EPUB | Supplemental
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Open Access
Article
A data-driven explainable case-based reasoning approach for financial risk detection
Wei Li, Florentina Paraschiv & Georgios Sermpinis
Pages: 2257-2274
Published online: 28 Sep 2022
AbstractforA data-driven explainable case-based reasoning approach for financial risk detection | Full Text | References | PDF (1.4 MB) | EPUB
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Open Access
Article
Supervised portfolios
Guillaume Chevalier, Guillaume Coqueret & Thomas Raffinot
Pages: 2275-2295
Published online: 28 Sep 2022
AbstractforSupervised portfolios | Full Text | References | PDF (1.7 MB) | EPUB
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