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Recursive Portfolio Selection with Decision Trees

Andriyashin, Anton - 2017

A great proportion of stock dynamics can be explained using publicly available information. The relationship between dynamics and public information may be of nonlinear character. In this paper we offer an approach to stock picking by employing so-called decision trees and applying them to XETRA...

Persistent link: https://www.econbiz.de/10012966264

Recursive portfolio selection with decision trees

Andriyashin, Anton (contributor); … - 2008

Persistent link: https://www.econbiz.de/10003636039

Investing with cryptocurrencies : a liquidity constrained investment approach

Trimborn, Simon; Li, Mingyang; Härdle, Wolfgang - 2017

management. Since they have a low liquidity compared to traditional assets, one needs to take into account liquidity issues when … one puts them into the same portfolio. We propose use a Liquidity Bounded Risk-return Optimization (LIBRO) approach, which … is a combination of the Markowitz framework under the liquidity constraints. The results show that cryptocurrencies add …

Persistent link: https://www.econbiz.de/10011672439

Rise of the Machines? Intraday High-Frequency Trading Patterns of Cryptocurrencies

Petukhina, Alla - 2020

This research analyses high-frequency data of the cryptocurrency market in regards to intraday trading patterns. We study trading quantitatives such as returns, traded volumes, volatility periodicity, and provide summary statistics of return correlations to CRIX (CRyptocurrency IndeX), as well...

Persistent link: https://www.econbiz.de/10012838218

Investing with Cryptocurrencies - A Liquidity Constrained Investment Approach

Trimborn, Simon - 2019

management. Since they have a low liquidity compared to traditional assets, one needs to take into account liquidity issues when … adding them to the same portfolio. We propose a LIquidity Bounded Risk-return Optimization (LIBRO) approach, which is a … combination of risk-return portfolio optimization under liquidity constraints. In the application cryptocurrencies are included …

Persistent link: https://www.econbiz.de/10012901567

Financial Risk Meter based on Expectiles

Ren, Rui; Lu, Meng-Jou; Li, Yingxing; Härdle, Wolfgang - 2021

The Financial Risk Meter (FRM) is an established mechanism that, based on conditional Value at Risk (VaR) ideas, yields insight into the dynamics of network risk. Originally, the FRM has been composed via Lasso based quantile regression, but we here extend it by incorporating the idea of...

Persistent link: https://www.econbiz.de/10013235490

CDO surfaces dynamics

Choros-Tomczyk, Barbara; Härdle, Wolfgang; Okhrin, Ostap - 2013

Modelling the dynamics of credit derivatives is a challenging task in finance and economics. The recent crisis has shown that the standard market models fail to measure and forecast financial risks and their characteristics. This work studies risk of collateralized debt obligations (CDOs) by...

Persistent link: https://www.econbiz.de/10009763975

Investing with Cryptocurrencies – evaluating their potential for portfolio allocation strategies

Petukhina, Alla - 2020

-parity, and maximum-diversification strategies, as well as combined strategies. To account for low liquidity in CC markets, we … incorporate liquidity constraints via the LIBRO method. Our results show that CCs can improve the risk-return profile of …

Persistent link: https://www.econbiz.de/10012851042

Robustifying Markowitz

Klochkov, Yegor; Petukhina, Alla; Härdle, Wolfgang; … - 2021

Markowitz mean-variance portfolios with sample mean and covariance as inputparameters feature numerous issues in practice. They perform poorly out of sampledue to estimation error, they experience extreme weights together with high sensitivityto change in input parameters. The heavy-tail...

Persistent link: https://www.econbiz.de/10013310467

Long Memory Persistence in the Factor of Implied Volatility Dynamics

Härdle, Wolfgang - 2017

The volatility implied by observed market prices as a function of the strike and time to maturity form an Implied Volatility Surface (IV S). Practical applications require reducing the dimension and characterize its dynamics through a small number of factors. Such dimension reduction is...

Persistent link: https://www.econbiz.de/10012966247