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The recent downdraft in world equity markets has caused financial services firms and the government bodies that regulate them to take unprecedented actions to keep markets functioning and firms solven...
Model independent hedging strategies for variance swaps
hedging strategies variance swaps Pricing of Securities
2011/7/25
Abstract: A variance swap is a derivative with a path-dependent payoff which allows investors to take positions on the future variability of an asset. In the idealised setting of a continuously monito...
Strategies used as spectroscopy of financial markets reveal new stylized facts
spectroscopy Strategies financial markets
2011/7/25
Abstract: We propose a new set of stylized facts quantifying the structure of financial markets. The key idea is to study the combined structure of both investment strategies and prices in order to op...
Evaluating the performance of adapting trading strategies with different memory lengths
Minority game prediction performance
2010/10/29
We propose a prediction model based on the minority game in which traders continuously evaluate a complete set of trading strategies with di erent memory lengths using the strategies' past performance...
No Arbitrage Conditions For Simple Trading Strategies
Arbitrage Conditions Trading Strategies
2010/12/13
Strict local martingales may admit arbitrage opportunities with respect to the class of simple trading strategies. (Since there is no possibility of using doubling strategies in this framework, the lo...