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...

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...

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...

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...

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...