Starting from a no-dynamic-arbitrage principle that imposes that trading costs should be non-negative on average and a simple model for the evolution of market prices, we demonstrate a relationship between the shape of the market impact function describing the average response of the market...

The motivation for this paper is to investigate the use of alternative novel neural network architectures when applied to the task of forecasting and trading the Euro/Dollar (EUR/USD) exchange rate. This is done by benchmarking three different neural network designs representing a Higher Order...

We model the volatility of a single risky asset using a multifactor (matrix) Wishart affine process, recently introduced in finance by Gourieroux and Sufana. As in standard Duffie and Kan affine models the pricing problem can be solved through the Fast Fourier Transform of Carr and Madan. A...