The Black Litterman (BL) model for portfolio optimization combines investors' expectations with the Markowitz framework. The BL model is designed for investors with private information or with knowledge of market behavior. In this paper I propose a method where investors' expectations are based...

We discuss the results of the statistical tolerance test of the General Administration Management component of the Capital Expenditure of the Bangalore Municipal Corporation which carries ahead our two previous connected studies (A. Sathyavathi (2023(a)), Analysis of the General Administration...

We introduce a model-free approach based on {\it excursions} of trading signals for analyzing the risk and return for a broad class of dynamic trading strategies, including pairs trading and other statistical arbitrage strategies. We propose a mathematical framework for the risk analysis of such...

In continuation of our previous study (A. Sathyavathi (2023). Analysis of the General Administration Management Expenditure of the Bangalore Municipal Corporation https://www.ssrn.com/abstract=4403863 ; http://dx.doi.org/10.2139/ssrn.4403863 ) we propose to further analyze the sample of the...

In this study, we present an empirical comparison of statistical models and machine learning models for daily electricity price forecasting in the New Zealand electricity market. We demonstrate the effectiveness of GARCH and SV models and their t-distribution variants when paired with feature...

A Hidden Markov Model (HMM) is used to model the VIX (the Cboe Volatility Index). A 4- state Gaussian mixture is fitted to the VIX price history from 1990 to 2022. Using a growing window of training data, the price of the S&P500 is predicted and two trading algorithms are presented, based on the...

In this very first paper of a series of forthcoming research papers of ours, which we propose to bring out in near future regarding the detailed statistical and mathematical analysis of the financial resources and the budget of the Bangalore Municipal Corporation (more appropriately now called...

We propose a nonparametric method for simulating the dynamics of a limit order book using Generative Adversarial Networks (GAN) to learn the conditional distribution of the future state of the order book given its current state from time series of the limit order book. Our method yields a...

This article introduces a very flexible framework for causal and predictive market views and stress-testing. The framework elegantly combines Bayesian networks (BNs) and Entropy Pooling (EP). In the new framework, BNs are used to generate a finite set of joint causal views / stress-tests for the...

Italian Abstract: Presentiamo un modello stocastico multivariato, per sviluppare stress test finalizzati a valutare l'adeguatezza patrimoniale delle banche e il loro grado di fragilità finanziaria. L'articolo fornisce una descrizione teorica del metodo e delle caratteristiche essenziali del...