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Semimartingale price systems in models with transaction costs beyond efficient friction
A standing assumption in the literature on proportional transaction costs is efficient friction. Together with robust no free lunch with vanishing...
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Dynamic Equilibrium of Market Making with Price Competition
In this paper, we discuss the dynamic equilibrium of market making with price competition and incomplete information. The arrival of market sell/buy...
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New Moment Estimators of the Effective Spread Based on Daily High and Low Prices
This paper proposes five new simple moment estimators of the effective spread based on the covariance estimator of Roll (1984) and the High-Low...
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Optimal execution with stochastic delay
We show how traders use marketable limit orders (MLOs) to liquidate a position over a trading window when there is latency in the marketplace. MLOs...
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Strip** the Swiss discount curve using kernel ridge regression
We analyze and implement the kernel ridge regression (KR) method developed in Filipovic et al. (Strip** the discount curve—a robust machine...
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Limits of Limit-Order Books
Trading of financial instruments has largely moved away from floor trading and onto electronic exchanges. Orders to buy and sell are queued at these...
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Foreign Exchange Instruments
The FX (foreign exchange) market, also called Forex or currency market, facilitates the trading of currencies. It starts on Monday morning in...
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Prospective strict no-arbitrage and the fundamental theorem of asset pricing under transaction costs
In discrete-time markets with proportional transaction costs, Schachermayer (Math. Financ. 14:19–48,
2004 ) showed that robust no-arbitrage is...
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Impacts of CME Changing Mechanism for Allowing Negative Oil Prices on Prices and Trading Activities in the Crude Oil Futures Market
This study investigates and compares the effects of the Coronavirus disease 2019 (COVID-19) pandemic, the Chicago mercantile exchange (CME)’s...
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Impact of rough stochastic volatility models on long-term life insurance pricing
The Rough Fractional Stochastic Volatility (RFSV) model of Gatheral et al. (Quant Financ 18(6):933–949, 2014) is remarkably consistent with financial...
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Moral hazard with excess returns
We consider a public firm characterized by a moral hazard problem. A distinguished player is a CEO or activist shareholder who (i) is unrestricted to...
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Probabilistic Models and Statistics for Electronic Financial Markets in the Digital Age
The scope of this manuscript is to review some recent developments in statistics for discretely observed semimartingales which are motivated by...
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Forming an Agreement between Buyers of Frequencies for Open Access at a Spectrum Auction
AbstractThe problem of an unadvertised agreement between buyers of non-exclusive rights at a spectrum auction for the agreed formation of price bids...
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Negative selection—a new performance measure for automated order execution
Automated Order Execution is the dominant way of trading at stock markets. Performance of numerous execution algorithms is measured through slippage...
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Option Pricing and Stochastic Optimization
In thisShchestyuk, Nataliya Tyshchenko, Serhii paper we propose an approach to option pricing which is based on the solution of the investor problem....
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Portfolio construction as linearly constrained separable optimization
Mean–variance portfolio optimization problems often involve separable nonconvex terms, including penalties on capital gains, integer share...
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Market equilibria and money
By the first welfare theorem, competitive market equilibria belong to the core and hence are Pareto optimal . Letting money be a commodity, this paper...
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The Lagrangian, constraint qualifications and economics
Considering constrained choice, practitioners and theorists frequently invoke a Lagrangian to generate optimality conditions. Regular use of that...
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Incorporating statistical model error into the calculation of acceptability prices of contingent claims
The determination of acceptability prices of contingent claims requires the choice of a stochastic model for the underlying asset price dynamics....
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Intraday renewable electricity trading: advanced modeling and numerical optimal control
As an extension of (Progress in industrial mathematics at ECMI 2018, pp. 469–475,
2019 ), this paper is concerned with a new mathematical model for...