High-frequency trading is prevalent, where automated decisions must be made quickly to take advantage of price imbalances and patterns in price action that forecast near-future movements. While many algorithms have been explored and tested, analytical methods fail to harness the whole nature of the
This paper adopts the random matrix theory (RMT) to analyze the correlation structure of the global agricultural futures market from 2000 to 2020. It is found that the distribution of correlation coefficients is asymmetric and right skewed, and many eigenvalues of the correlation matrix deviate from
The stock market has been established since the 13th century, but in the current epoch of time, it is substantially more practicable to anticipate the stock market than it was at any other point in time due to the tools and data that are available for both traditional and algorithmic trading. There
The ongoing Russia-Ukraine conflict between two major agricultural powers has posed significant threats and challenges to the global food system and world food security. Focusing on the impact of the conflict on the global agricultural market, we propose a new analytical framework for tail dependenc
This chapter presents a comparative study of the three portfolio optimization methods, MVP, HRP, and HERC, on the Indian stock market, particularly focusing on the stocks chosen from 15 sectors listed on the National Stock Exchange of India. The top stocks of each cluster are identified based on the
This paper introduces a novel approach to financial risk assessment by incorporating topological data analysis (TDA), specifically cohomology groups, into the evaluation of equities portfolios. The study aims to go beyond traditional risk measures like Value at Risk (VaR) and Conditional Value at Ri
This paper shows a novel machine learning model for realized volatility (RV) prediction using a normalizing flow, an invertible neural network. Since RV is known to be skewed and have a fat tail, previous methods transform RV into values that follow a latent distribution with an explicit shape and t
Time irreversibility in neuronal dynamics has recently been demonstrated to correlate with various indicators of cognitive effort in living systems. Using Landauer’s principle, which posits that time-irreversible information processing consumes energy, we establish a thermodynamically consistent mea
This communication reports on a study carried out in the context of the collaborative FOEHN project (Human and Organizational Factors in Non-Destructive Evaluation) supported by the French National Research Agency. The motivation of this project comes from the observation that human and Organization
Given the marginal distribution information of the underlying asset price at two future times $T_1$ and $T_2$, we consider the problem of determining a model-free upper bound on the price of a class of American options that must be exercised at either $T_1$ or $T_2$. The model uncertainty consistent
Perpetual swaps are derivative contracts that allow traders to speculate on, or hedge, the price movements of cryptocurrencies. Unlike futures contracts, perpetual swaps have no settlement or expiration in the traditional sense. The funding rate acts as the mechanism that tethers the perpetual swap
Modern portfolio optimization is centered around creating a low-risk portfolio with extensive asset diversification. Following the seminal work of Markowitz, optimal asset allocation can be computed using a constrained optimization model based on empirical covariance. However, covariance is typicall
Constant function market makers(CFMMS) are a popular market design for decentralized exchanges(DEX). Liquidity providers(LPs) supply the CFMMs with assets to enable trades. In exchange for providing this liquidity, an LP receives a token that replicates a payoff determined by the trading function us
We study how to unwind stochastic order flow with minimal transaction costs. Stochastic order flow arises, e.g., in the central risk book (CRB), a centralized trading desk that aggregates order flows within a financial institution. The desk can warehouse in-flow orders, ideally netting them against
This paper introduces a dynamic minimum variance portfolio (MVP) model using nonlinear volatility dynamic models, based on high-frequency financial data. Specifically, we impose an autoregressive dynamic structure on MVP processes, which helps capture the MVP dynamics directly. To evaluate the dynam
We develop a numerical method for the martingale analogue of the Benamou-Brenier optimal transport problem, which seeks a martingale interpolating two prescribed marginals which is closest to the Brownian motion. Recent contributions have established existence and uniqueness for the optimal martinga
In this paper we tackle the problem of point and probabilistic forecasting by describing a blending methodology of machine learning models that belong to gradient boosted trees and neural networks families. These principles were successfully applied in the recent M5 Competition on both Accuracy and
We initiate a novel approach to explain the predictions and out of sample performance of random forest (RF) regression and classification models by exploiting the fact that any RF can be mathematically formulated as an adaptive weighted K nearest-neighbors model. Specifically, we employ a recent res
Insurers usually turn to generalized linear models for modeling claim frequency and severity data. Due to their success in other fields, machine learning techniques are gaining popularity within the actuarial toolbox. Our paper contributes to the literature on frequency-severity insurance pricing wi
The problem of asset liability management (ALM) is a classic problem of the financial mathematics and of great interest for the banking institutions and insurance companies. Several formulations of this problem under various model settings have been studied under the Mean-Variance (MV) principle per