Optimal Security Liquidation Algorithms

This paper develops trading strategies for liquidation of a financial security, which maximize the expected return. The problem is formulated as a stochastic programming problem that utilizes the scenario representation of possible returns. Two cases are considered, a case with no constraint on risk and a case when the risk of losses associated with trading strategy is constrained by Conditional Value-at-Risk (CVaR) measure. In the first case, two algorithms are proposed; one is based on linear programming techniques, and the other uses dynamic programming to solve the formulated stochastic program. The third proposed algorithm is obtained by adding the risk constraints to the linear program. The algorithms provide path-dependent strategies, i.e., the fraction of security sold depends upon price sample-path of the security up to the current moment. The performance of the considered approaches is tested using a set of historical sample-paths of prices.     

A General Stochastic Calculus Approach to Insider Trading

The purpose of this paper is to present a general stochastic calculus approach to insider trading. We consider a market driven by a standard Brownian motion $B(t)$ on a filtered probability space $\displaystyle (\Omega,\F,\left\{\F\right\}_{t\geq 0},P)$ where the coefficients are adapted to a filtration ${\Bbb G}=\left\{\G_t\right\}_{0\leq t\leq T}$, with $\F_t\subset\G_t$ for all $t\in [0,T]$, $T>0$ being a fixed terminal time. By an {\it insider} in this market we mean a person who has access to a filtration (information) $\displaystyle{\Bbb H}=\left\{\H_t\right\}_{0\leq t\leq T}$ which is strictly bigger than the filtration $\displaystyle{\Bbb G}=\left\{\G_t\right\}_{0\leq t\leq T}$. In this context an insider strategy is represented by an $\H_t$-adapted process $\phi(t)$ and we interpret all anticipating integrals as the forward integral defined in [23] and [25]. We consider an optimal portfolio problem with general utility for an insider with access to a general information $\H_t \supset\G_t$ and show that if an optimal insider portfolio $\pi^*(t)$ of this problem exists, then $B(t)$ is an $\H_t$-semimartingale, i.e. the enlargement of filtration property holds. This is a converse of previously known results in this field. Moreover, if $\pi^*$ exists we obtain an explicit expression in terms of $\pi^*$ for the semimartingale decomposition of $B(t)$ with respect to $\H_t$. This is a generalization of results in [16], [20] and [2].     

关于随机动力系统的Fatou－Julia猜测

设Ｆ＝｛ｆ１，…，ｆＭ｝是一个次数大于１的多项式集合。我们证明了在一定条件下Ｆａｔｏｕ集Ｆ（Ｆ）没有游荡区域。更确切地说，对于Ｆ（Ｆ）的每一个分支Ω，存在整数ｍ≥０，ｎ≥０，ｍ≠ｎ和λ∈∑Ｍ使得Ｗｍα（Ω）和Ｗｎα（Ω）落入Ｆ（Ｆ）的同一分支     

Dynamic spanning without probabilities

The paper presents a non-probabilistic approach to continuous-time trading where, in analogy to the binomial option-pricing model, terminal payoffs resulting from a given trading strategy are meaningful ‘state-by-state’, i.e., path-by-path. In particular, we obtain results of the form: “If a certain trading strategy is applied and if the realized price trajectory satisfies a certain analytical property, then the terminal payoff is.…” This way, derivation of the Black and Scholes formula and its extension become an exercise in the analysis of a certain class of real functions. While results of the above forms are of great interest if the analytical property in question is believed to be satisfied for almost all realized price trajectories (for example, if the price is believed to follow a certain stochastic process which has this property with probability 1), they are valid regardless of the stochastic process which presumably generates the possible price trajectories or the probability assigned to the set of all paths having this analytical property.     

On finiteness conditions for Rees matrix semigroups

Let T=[S; I; J; P] be a Rees matrix semigroup where S is a semigroup, I and J are index sets, and P is a J × I matrix with entries from S, and let U be the ideal generated by all the entries of P. If U has finite index in S, then we prove that T is periodic (locally finite) if and only if S is periodic (locally finite). Moreover, residual finiteness and having solvable word problem are investigated.     

Inverse spectral theory for Jacobi matrices and their almost periodicity

In this paper we consider the inverse problem for bounded Jacobi matrices with nonempty absolutely continuous spectrum and as an application show the almost periodicity of some random Jacobi matrices. We do the inversion in two different ways. In the general case we use a direct method of reconstructing the Green functions. In the special case where we show the almost periodicity, we use an alternative method using the trace formula for points in the orbit of the matrices under translations. This method of reconstruction involves analyzing the Abel-Jacobi map and solving of the Jacobi inversion problem associated with an infinite genus Riemann surface constructed from the spectrum.     

Remarks on a conjecture on certain integer sequences

Summary The periodicity of sequences of integers <InlineEquation ID=IE"3"><EquationSource Format="TEX"><![CDATA[<InlineEquation ID=IE"4"><EquationSource Format="TEX"><![CDATA[<InlineEquation ID=IE"5"><EquationSource Format="TEX"><![CDATA[<InlineEquation ID=IE"6"><EquationSource Format="TEX"><![CDATA[<InlineEquation ID=IE"7"><EquationSource Format="TEX"><![CDATA[<InlineEquation ID=IE"8"><EquationSource Format="TEX"><![CDATA[<InlineEquation ID=IE"9"><EquationSource Format="TEX"><![CDATA[<InlineEquation ID=IE"10"><EquationSource Format="TEX"><![CDATA[$]]></EquationSource></InlineEquation>]]></EquationSource></InlineEquation>]]></EquationSource></InlineEquation>]]></EquationSource></InlineEquation>]]></EquationSource></InlineEquation>]]></EquationSource></InlineEquation>]]></EquationSource></InlineEquation>]]></EquationSource></InlineEquation>(a_{n})_{n\in\mathbb Z}$ satisfying the inequalities <InlineEquation ID=IE"1"><EquationSource Format="TEX"><![CDATA[<InlineEquation ID=IE"2"><EquationSource Format="TEX"><![CDATA[$$]]></EquationSource></InlineEquation>]]></EquationSource></InlineEquation> 0 \le a_{n-1}+\lambda a_n +a_{n+1} < 1 \ (n \in {\mathbb Z}) $$ is studied for real $ \lambda $ with $|\lambda|< 2$. Periodicity is proved in case $ \lambda $ is the golden ratio; for other values of $ \lambda $ statements on possible period lengths are given. Further interesting results on the morphology of periods are illustrated. The problem is connected to the investigation of shift radix systems and of Salem numbers.     

网络借贷收窄利率定价区间的影响研究——基于倾向性分数匹配法

随着网络借贷的发展,学术界对网络借贷的研究逐渐深入。利率定价机制是网络借贷机制设计的核心,体现了金融的本质——对风险的定价,并逐渐成为学术研究的话题。Wei和Lin^[1]曾记录和分析了美国网络借贷机制变更的过程。本文选用国内一家代表性的网络借贷平台数据,用倾向性分数匹配法对其利率定价机制变化前后的交易行为进行研究,发现当平台收窄了利率区间且降低了合格借款人的审核通过率,违约率反而更高。狭窄的利率区间降低了利率区分度,而利率区分度是投资人判断具体贷款所处风险水平的重要依据,实际上恶化了信息不对称,影响投资人投资行为,具体表现为满标时间延长、单笔贷款投标占比减少,并且投资人羊群行为加重。本文以期限利率周度标准差为利率区间的代理变量,解释了上述变化产生的原因。平台收窄利率区间,降低了贷款质量优劣的区分度,使得平台和投资人风险识别效率降低,未能达到平台运营优化的结果。本文丰富了网络借贷的学术研究,为网络借贷利率定价机制的发展提供参考。     

Qualitative theory for Volterra difference equations

We investigate l^p boundedness, the topological structure of solutions set and the asymptotic periodicity of Volterra functional difference equations. The theoretical results are complemented with a set of applications.     

A simple comparison between Skorokhod & Russo-Vallois integration for insider trading

We consider a simplified version of the problem of insider trading in a financial market. We approach it by means of anticipating stochastic calculus and compare the use of the Skorokhod and the Russo-Vallois forward integrals within this context. We conclude that, while the forward integral yields results with a clear financial meaning, the Skorokhod integral does not provide a suitable formulation for this problem.