Liquidity Stress Testing using Optimal Portfolio Liquidation

具有随机持有期的流动性调整市场风险度量

Liquidity-adjusted Market Risk Measures with Stochastic Holding Period

在风险整合的背景下，我们引入了风险度量的随机持有期（SHP）模型。这样做是为了获得一个“流动性调整的风险计量”，其特点是没有固定的时间范围。基本的假设是，由于市场流动性条件的变化，人们按照清算市场投资组合的损益过程所指的“操作时间”进行操作。这个框架导致投资组合收益的混合分布，可能允许偏态，重尾和极端情况。我们分析了小水电可能的分配选择的影响。在多变量环境中，我们暗示可能引入相关的SHP过程，这可能导致损益过程之间的非线性相关性，因此导致投资组合中资产之间的尾部相关性，尽管这可能需要对SHP分布进行激烈的选择。我们还发现，通过常见的SHP的肯德尔的tau测量的依赖性增加似乎是不可行的。最后，我们讨论了未来市场数据可用性的潜在发展。

Liquidity Stress Testing in Asset Management -- Part 3. Managing the Asset-Liability Liquidity Risk

This article is part of a comprehensive research project on liquidity risk in asset management, which can be divided into three dimensions. The first dimension covers the modeling of the liability liquidity risk (or funding liquidity), the second dimension is dedicated to the modeling of the asset liquidity risk (or market liquidity), whereas the third dimension considers the management of the asset-liability liquidity risk (or asset-liability matching). The purpose of this research is to propose a methodological and practical framework in order to perform liquidity stress testing programs, wh…

Hedging with Bitcoin Futures: The Effect of Liquidation Loss Aversion and Aggressive Trading

We consider the hedging problem where a futures position can be automatically liquidated by the exchange without notice. We derive a semi-closed form for an optimal hedging strategy with dual objectives - to minimise both the variance of the hedged portfolio and the probability of liquidations due to insufficient collateral. The optimal solution depends on the statistical characteristics of the spot and futures extreme returns and parameters that characterise the hedger by loss aversion, choice of leverage and collateral management. An empirical analysis of bitcoin shows that the optimal strat…

使用马尔可夫决策过程的多期债券组合优化与交易成本

Multiperiod bond portfolio optimization with transaction costs using a Markov Decision process

针对银行国库券组合在利率风险和交易成本下的多期优化问题，提出基于动态Nelson-Siegel和马尔可夫决策过程的模拟框架，通过逆向归纳求解最优策略，并量化截断误差的影响。

确定银行的破产区域：一种整合流动性和信用风险的随机动态方法

Determining Insolvency Regions in Banks: A Stochastic Dynamic Approach Integrating Liquidity and Credit Risk

该研究开发连续时间结构动态模型，通过纳入巴塞尔协议III要求，用HJB方程求解银行精确破产边界，推导验证近似函数，利用伊朗银行业数据校准，揭示非线性阈值效应，为监管者提供工具，为新兴市场金融摩擦提供见解和风险管理框架。

中盘股投资组合管理中的市场中性策略：多空股票的数据驱动方法

Market-Neutral Strategies in Mid-Cap Portfolio Management: A Data-Driven Approach to Long-Short Equity

本研究提出针对中盘股的多空股票数据驱动方法，利用2013-2023年WRDS数据实现市场中性策略，测试夏普比率达2.132，证明中盘股兼具透明度与优异表现。

Simplicial persistence of financial markets: filtering, generative processes and portfolio risk

We introduce simplicial persistence, a measure of time evolution of network motifs in subsequent temporal layers. We observe long memory in the evolution of structures from correlation filtering, with a two regime power law decay in the number of persistent simplicial complexes. Null models of the underlying time series are tested to investigate properties of the generative process and its evolutional constraints. Networks are generated with both TMFG filtering technique and thresholding showing that embedding-based filtering methods (TMFG) are able to identify higher order structures througho…

金融对冲与风险压缩：从线性回归到神经网络的旅程

Financial Hedging and Risk Compression, A journey from linear regression to neural network

本文提出用正则化技术和共同因子分析（含改进的beta变分自编码器）解决线性回归在对冲比率估计中的局限性，以降低对冲成本并压缩风险，并通过数值示例验证性能。

深度对冲

Deep Hedging

本文提出利用深度强化学习应对市场摩擦的衍生品对冲框架，展示约束交易策略可近似最优解，且在高维情形下具有高效计算性能。