[1] The Hybrid Forecast of S&P 500 Volatility ensembled from VIX, GARCH and LSTM models基于VIX、GARCH和LSTM模型的标准普尔500指数波动率混合预测来源:ARXIV_20240725[2] Automated Market Making and Decentralized Finance自动化做市和去中心化金融来源:ARXIV_20240725[3] Market Making with Exogenous Competition外生竞争下的市场开拓来源:ARXIV_20240725[4] Well-Diversified Arbitrage Portfolios through Attentional Autoencoder通过注意的自动编码器实现多样化的套利投资组合来源:SSRN_20240725[5] A neural network architecture for maximizing alpha in a market timing investment strategy一种用于在市场时机投资策略中最大化阿尔法的神经网络架构来源:SSRN_20240725
[1] The Hybrid Forecast of S&P 500 Volatility ensembled from VIX, GARCH and LSTM models
标题:基于VIX、GARCH和LSTM模型的标准普尔500指数波动率混合预测作者:Natalia Roszyk, Robert Ślepaczuk来源:ARXIV_20240725Abstract : Predicting the S&P 500 index volatility is crucial for investors and financial analysts as it helps assess market risk and make informed investment decisions. Volatility represents the level of uncertainty or risk related to the size of changes in a security s value, making it an essential indicator for financial planning. This study explores four methods to improve the accuracy of......(摘要翻译及全文见知识星球)Keywords :
[2] Automated Market Making and Decentralized Finance
标题:自动化做市和去中心化金融作者:Marcello Monga来源:ARXIV_20240725Abstract : Automated market makers (AMMs) are a new type of trading venues which are revolutionising the way market participants interact. At present, the majority of AMMs are constant function market makers (CFMMs) where a deterministic trading function determines how markets are cleared. Within CFMMs, we focus on constant product market makers (CPMMs) which implements the concentrated liquidity (CL) feature. In this thesis......(摘要翻译及全文见知识星球)Keywords :
[3] Market Making with Exogenous Competition
标题:外生竞争下的市场开拓作者:Robert Boyce, Martin Herdegen, Leandro Sánchez-Betancourt来源:ARXIV_20240725Abstract : We study liquidity provision in the presence of exogenous competition. We consider a reference market maker who monitors her inventory and the aggregated inventory of the competing market makers. We assume that the competing market makers use a rule of thumb to determine their posted depths, depending linearly on their inventory. By contrast, the reference market maker......(摘要翻译及全文见知识星球)Keywords :
[4] Well-Diversified Arbitrage Portfolios through Attentional Autoencoder
标题:通过注意的自动编码器实现多样化的套利投资组合作者:Mishel Qyrana来源:SSRN_20240725Abstract : This paper contributes to the field of asset pricing theory by leveraging autoencoder neural networks to identify arbitrage opportunities. This research applies an autoencoder-based asset pricing model to 228 surviving S&P 500 stocks, aiming to generate systematically excess returns looking at those anomalies. The methodology compresses stock data into a latent space, identifying undervalued basket of stocks with minimal shared information......(摘要翻译及全文见知识星球)Keywords : Asset Allocation, Numerical Stability, Autoencoder, Machine Learning, Arbitrage
[5] A neural network architecture for maximizing alpha in a market timing investment strategy
标题:一种用于在市场时机投资策略中最大化阿尔法的神经网络架构作者:Javier H. Ospina-Holguín,Ana Padilla Ospina来源:SSRN_20240725Abstract : In finance, assuming more risk often corresponds to the expectation of higher, compensating returns. In this setting, alpha stands out as one of the most prevalent and refined measures of risk-adjusted return ever postulated, allowing for the estimation of the excess return that cannot be explained by the risk factors impacting an asset. This article introduces a neural network architecture designed......(摘要翻译及全文见知识星球)Keywords : Alpha, Asset Pricing, Reinforcement Learning, Stock Returns, Investment Decisions, Random Walk Hypothesis, Market Timing, Machine Learning, Artificial Intelligence
