In February 2018, the VIX index has seen its largest ever increase and has lead to significant losses for some major volatility-related products. Despite many efforts, the precise underlying reasons are yet to be discovered. We study the role of linear causality in the VIX index and its...

This course on "The Art of Portfolio Management" explores the intersection of finance, mathematics, business, computer science, and economics in the context of portfolio management. The course is designed to provide the audience with a comprehensive understanding of the theoretical foundations,...

In this era of rapid digital revolution within the financial sector, our paper offers a cutting-edge approach to the intricacies of share buyback programs by employing Genetic Algorithms (GAs). Navigating the complexity of financial market operations, we leverage artificial intelligence to craft...

Blockchain technology is a distributed ledger system that allows multiple parties to record and verify transactions in a secure and transparent manner. However, blockchain networks are vulnerable to anomalies and frauds that can have serious consequences for the integrity and security of these...

This primer is an introduction to time series analysis using the R programming language. Time series analysis is a technique used to analyze and forecast data that is collected over time, and is widely used in fields such as finance, economics, and meteorology. Time series data can be...

This primer provides a comprehensive overview of the applications of Artificial Intelligence (AI) and Machine Learning (ML) in the financial services industry. It covers the various use cases of AI and ML, including fraud detection, customer behavior analysis, loan underwriting, investment...

This article exclusively formulates and presents three innovative hypotheses related to the execution of share buybacks, employing Genetic Algorithms (GAs) and mathematical optimization techniques. Drawing on the foundational contributions of scholars such as Osterrieder, Seigne, Masters, and...

This research brief delves into the intricate domain of share buyback execution, particularly focusing on the temporal optionality aspect, which has been overlooked in traditional execution practices. Using a novel dataset sourced from regulatory filings on share buybacks, we employ Monte Carlo...

This research brief delves into the intricate domain of share buyback execution, particularly focusing on the temporal optionality aspect, which has been overlooked in traditional execution practices. Using a novel dataset sourced from regulatory filings on share buybacks, we employ Monte Carlo...