Quantitative Finance, Volume 22, Issue 2 (2022)

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Quantitative Finance, Volume 22, Issue 2 (2022)

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Feature

Article
Bond market completeness under stochastic strings with distribution-valued strategies
Alberto Bueno-Guerrero, Manuel Moreno & Javier F. Navas
Pages: 197-211
Published online: 08 Feb 2022
AbstractforBond market completeness under stochastic strings with distribution-valued strategies | Full Text | References | PDF (774.7 KB) | EPUB
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Research Papers

Article
Classification of flash crashes using the Hawkes(p,q) framework
Alexander Wehrli & Didier Sornette
Pages: 213-240
Published online: 15 Sep 2021
AbstractforClassification of flash crashes using the Hawkes(p,q) framework | Full Text | References | PDF (6.3 MB) | EPUB
  • 2459 Views
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Open Access
Article
Short-term volatility forecasting with kernel support vector regression and Markov switching multifractal model
Khaldoun Khashanah & Chenjie Shao
Pages: 241-253
Published online: 12 Jul 2021
AbstractforShort-term volatility forecasting with kernel support vector regression and Markov switching multifractal model | Full Text | References | PDF (569.4 KB) | EPUB
  • 373 Views
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Article
Forecasting market index volatility using Ross-recovered distributions
Marie-Hélène Gagnon, Gabriel J. Power & Dominique Toupin
Pages: 255-271
Published online: 19 Jul 2021
AbstractforForecasting market index volatility using Ross-recovered distributions | Full Text | References | PDF (1.3 MB) | EPUB
  • 364 Views
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Article
Forecasting exchange rates using asymmetric losses: A Bayesian approach
Georgios Tsiotas
Pages: 273-287
Published online: 19 Jul 2021
AbstractforForecasting exchange rates using asymmetric losses: A Bayesian approach | Full Text | References | PDF (8 MB) | EPUB
  • 277 Views
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Article
Myopic robust index tracking with Bregman divergence
S. Penev, P. V. Shevchenko & W. Wu
Pages: 289-302
Published online: 23 Jul 2021
AbstractforMyopic robust index tracking with Bregman divergence | Full Text | References | PDF (324.2 KB) | EPUB
  • 343 Views
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Article
Estimation risk and the implicit value of index-tracking
Brian Clark, Chanaka Edirisinghe & Majeed Simaan
Pages: 303-319
Published online: 16 Nov 2021
AbstractforEstimation risk and the implicit value of index-tracking | Full Text | References | PDF (1.6 MB) | EPUB | Supplemental
  • 295 Views
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Article
Constructing long-short stock portfolio with a new listwise learn-to-rank algorithm
Xin Zhang, Lan Wu & Zhixue Chen
Pages: 321-331
Published online: 21 Jul 2021
AbstractforConstructing long-short stock portfolio with a new listwise learn-to-rank algorithm | Full Text | References | PDF (944.6 KB) | EPUB
  • 578 Views
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Article
Portfolio optimization with a prescribed terminal wealth distribution
Ivan Guo, Nicolas Langrené, Grégoire Loeper & Wei Ning
Pages: 333-347
Published online: 16 Sep 2021
AbstractforPortfolio optimization with a prescribed terminal wealth distribution | Full Text | References | PDF (1.5 MB) | EPUB
  • 341 Views
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Article
Sparse index clones via the sorted ℓ1-Norm
Philipp J. Kremer, Damian Brzyski, Małgorzata Bogdan & Sandra Paterlini
Pages: 349-366
Published online: 15 Sep 2021
AbstractforSparse index clones via the sorted ℓ1-Norm | Full Text | References | PDF (1.3 MB) | EPUB | Supplemental
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Article
Evolutionary patterns of onshore and offshore Renminbi exchange rates with convexity–concavity indicators
Qun Zhang, Didier Sornette & Liyan Han
Pages: 367-384
Published online: 23 Jul 2021
AbstractforEvolutionary patterns of onshore and offshore Renminbi exchange rates with convexity–concavity indicators | Full Text | References | PDF (2.3 MB) | EPUB
  • 293 Views
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Article
The impact of CoCo bonds on systemic risk considering liquidity risk
Ping Li, Yanhong Guo & Hui Meng
Pages: 385-406
Published online: 14 Sep 2021
AbstractforThe impact of CoCo bonds on systemic risk considering liquidity risk | Full Text | References | PDF (685.1 KB) | EPUB
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