Research

Multiscale Analysis & Volatility Asymmetry of Cryptocurrency Prices

Sep 1, 2022

Empirical studies and market observations suggest that asset prices are driven by multiscale factors, ranging from long-term market regimes to rapid fluctuations

Leveraged ETFs — Price Dynamics and Options Valuation

Jun 11, 2022

The ETF industry now consists of more than 2,000 funds with well over $4 trillion in assets. Within the ETF universe, some funds are designed to replicate a constant multiple (called leverage ratio) of the daily returns of a reference index. These relatively new financial products are called leveraged ETFs (LETFs).

Examining the Drawdown Risk of Sector ETFs —  2022

Apr 24, 2022

A drawdown measures the distance (in %) of the portfolio value from its peak, reflecting its downside risk. If a portfolio had previously reached a peak of $100 and subsequently dropped to $90, then the portfolio experienced a 10% drawdown.

Optimal Execution for High Frequency Trading

Apr 22, 2022

In high-frequency trading, large buy (or sell) orders may cause other traders to raise (or lower) their offered price. This additional implementation cost due to short-term liquidity demand is often called market impact.

Modern Trends in Financial Engineering

May 17, 2022

Modern Trends in Financial Engineering, publishes monographs on important contemporary topics in theory and practice of Financial Engineering.

Stochastic Storage Cost Model for Grains Futures

Mar 13, 2022

The world is experiencing the biggest supply shock to global grains markets in recent history. Prices of various crops, including wheat, soy, and corn, have skyrocketed. Take wheat as an example, the futures prices have jumped to record high in March.

Dynamic Estimation of Stochastic Gold Exposure

Feb 9, 2022

Gold is often viewed as a safe haven asset or a hedge against market turmoil, currency depreciation, and other economic or political events. At the beginning of the COVID pandemic, S&P 500 experienced a sharp drop before returning to pre-COVID level several months later. At the same time, SPDR Gold Shares (GLD) had gained more than 25% from February to August 2020.

Encoding Market View via a Randomized Brownian Bridge

Nov 3, 2021

Trading decisions often depend on the trader’s subjective belief of the distribution of the asset price on a given future date. For example, if a trader anticipates a big price movement for a company stock after its earnings announcement, then perhaps a long straddle position makes sense.

Multiscale Decomposition and Analysis of Sector ETF Price Dynamics

Oct 19, 2021

Asset prices are driven by factors of different timescales, ranging from long-term market regimes to short-term fluctuations, and they often exhibit nonstationary behaviors, such as time-varying volatility and trends.

Dynamic Futures Portfolio in a Regime-Switching Market

Aug 24, 2021

Asset prices are often seen as being dependent on market conditions. Market regimes may change suddenly and persist for a period of time. The unpredictability of the timing of regime changes also means that associated risks are almost impossible to hedge.

Dynamic Futures Portfolio Under a Multifactor Gaussian Framework

Aug 16, 2021

Futures are standardized exchange-traded bilateral contracts of agreement to buy or sell an asset at a pre-determined price at a pre-specified time in the future. At the Chicago Mercantile Exchange (CME), futures trading volume averages over 15 million contracts per day.

Multiscale Financial Signal Processing

May 8, 2021

Market observations and empirical studies have shown that asset prices are often driven by multiscale factors, ranging from long-term economic cycles to rapid fluctuations in the short term. This suggests that financial time series are potentially embedded with different timescales.

Cardinality-Constrained Portfolios: Optimization Approach & Algorithm

Feb 7, 2021

Every portfolio can be partitioned into multiple asset groups defined by asset classes, sectors, styles, and other features. A cardinality-constrained portfolio caps the number of stocks to be traded within each of these groups.

MS Degree in Computational Finance & Risk Management (CFRM)

Dec 23, 2020

The Master of Science in Computational Finance and Risk Management (MS-CFRM), housed within the Applied Math Department at University of Washington — Seattle, addresses the demand in the financial services profession for advanced skills in quantitative analytics and financial data science.

Employee Stock Options — Exercise Timing, Hedging, and Valuation

Nov 14, 2020

Book Title: Employee Stock Options Exercise Timing, Hedging, and Valuation

An Optimization Algorithm for Sparse Mean-Reverting Portfolio Selection

Oct 21, 2020

Motivated by the industry practice of pairs trading and long/short equity strategies, we study an approach that combines statistical learning and optimization to construct portfolios.

The Drawdown Risk and Portfolio Concentration of Sector ETFs

Oct 8, 2020

A drawdown measures the distance (in %) of the portfolio value from its peak, reflecting its downside risk. If a portfolio had previously reached a peak of $100 and subsequently dropped to $90, then the portfolio experienced a 10% drawdown.

More from Tim Leung

Mispriced Municipal Bonds Cost Mutual Fund Shareholders And Taxpayers Billions Of Dollars

Dec 5, 2022

The municipal bond market’s lack of trade data and lack of digitized financial data cause mispricing and lost value, costing mutual fund shareholders and taxpayers alike billions of dollars.

Municipal Bonds And ESG: All Hat, No Cattle

Nov 14, 2022

For all of the municipal bond market's bluster about the importance of ESG risk in credit and value, it doesn't show up when it counts the most—in trade prices.

Relief For The Digital Data-Starved $3.9 Trillion Municipal Bond Market

Nov 7, 2022

The $3.9 trillion municipal bond market has no digital financial data.

Small Muni Issuers See A Potential 620% Windfall For Their Taxpayers

Oct 27, 2022

The Financial Data Transparency Act offers a lottery-sized windfall for small muni issuers by digitizing their financial reporting.

Stocks Versus Gold: Which Is A Better Investment? The Answer May Surprise You

Nov 9, 2020

Gold bugs like to point out that gold has outperformed the S&P 500 over the last 40 years. Not so fast.

More from Barnet Sherman

ESG: A panacea for market power?

With Doron Levit

Equilibrium of product/labor markets when firms adopt ESG. And equilibrium in ESG policies. Focuses on the S part of ESG.

Automation, financial frictions, and the long-run labor share

With Lukas Kremens

Does automation benefit or harm workers? Will complete automation drive the labor share to zero?

Buying high and selling low: Stock repurchases and persistent asymmetric information

With Hongda Zhong

Analyzes a dynamic version of Myers and Majluf's classic model. Equilibria feature repurchases, even though all firms want to raise cash. Some firms strictly profit from the repurchase transaction.

Ordering information content using the quantile function.

Lehmann's (1988) information ordering is equivalent to single-crossing of the quantile function.

The real effects of financial markets

With Alex Edmans and Itay Goldstein, 2012, volume 4, pages 339-360, Annual Review of Financial Economics.

Lehmann's (1988) information ordering is equivalent to single-crossing of the quantile function.

Predatory mortgage lending

With David Musto and Bilge Yilmaz

Predatory lending can arise even in the absence of lender fraud and borrower confusion.

The Labor Market for Bankers and Regulators

With Vincent Glode

Who becomes a financial regulator and who becomes a banker?

Contracting in the presence of judicial agency

Judges have agency conflicts too. How does this affect contracting?

More from Philip Bond