This paper proposes a new hedging scheme of European derivatives under uncertain volatility environments, in which a weighted variance swap called the polynomial variance swap is added to the Black-Scholes delta hedging for managing exposure to volatility risk. In general, under these...

In the paper, we propose a new calculation scheme for American options in the framework of a forward backward stochastic differential equation (FBSDE). The well known decomposition of an American option price with that of a European option of the same maturity and the remaining early exercise...

This paper explores Bitcoin intraday technical trading based on artificial neural networks for the return prediction. In particular, our deep learning method successfully discovers trading signals through a seven layered neural network structure for given input data of technical indicators,...

This is an online appendix of "Sup-inf/inf-sup problem on choice of a probability measure by FBSDE approach". Particularly, we provide proofs of Propositions 1-3 and an example of FBSDEs, in which sgn(Z1); sgn(Z2) are determined by solving the FBSDEs explicitly, for Section III-B in the original...

This paper proposes a framework of robust technical trading with fuzzy knowledge-based systems (KBSs). Particularly, our framework consists of two modules, i.e.:(i) a module for preparing candidate investment proposals and,(ii) a module for their evaluation to construct a well-performed...

In this study, we investigate ordering patterns of different types of market participants in Tokyo Stock Exchange (TSE) by examining order records of the listed stocks. Firstly, we categorize the virtual servers in the trading system of TSE, each of which is linked to a single trading...

This paper proposes a new fuzzy logic (FL)-based expert system with particle filtering and anomaly detection to create high-performance investment portfolios. In particular, our FL system selects a portfolio with fine risk-return profiles from a number of candidates by integrating multilateral...