This paper applies return-on-equity networks to portfolio optimization, integrating DuPont analysis and graph theory. Portfolio diversification is interpreted with the network structure, where an inter-cluster relationship diversifies business models, and an inner-cluster relationship variegates...

Hawkes Processes have been finding more applications in diverse areas of science, engineering and quantitative finance. In multi-frequency finance, various phenomena have been observed, such as shocks, crashes, volatility clustering, turbulent flows and contagion. Hawkes processes have been...

The purpose of this paper is to advance a geometric representation of knowledge spaces and demonstrate their utility in the field of epistemology visualization using the epistemology diagrams (epistemigrams) framework as a prototype. In the presence of excessive mutations of scientific fields...

This paper introduces a new methodology for an alternative calculation of market volatility index based on a multinomial tree approximation of a stochastic volatility model. The estimation is performed by constructing synthetic options with consistent properties. Several variants of this index...

In this work we present a methodology to detect rare events which are defined as large price movements relative to the volume traded. We analyze the behavior of equity after the detection of these rare events. We provide methods to calibrate trading rules based on the detection of these events...

We propose a joint distribution that decomposes asset returns into two independent components: an elliptical innovation (Gaussian) and a systematic non-elliptical latent process. The paper provides a tractable approach to estimate the underlying parameters and, hence, the assets' exposures to...

Although copula modeling has been applied in a growing number of financial applications, high-dimensional copula modeling is still in its early stages. Vine copula modeling not only has the advantage of extending to higher dimensions easily, but also provides a more flexible measure to capture...