Catégorie

Analyse quantitative (économie)

Publications associées (50)

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Portfolio Construction with Hierarchical Momentum

Urban Ulrych

This article presents a portfolio construction approach that combines the hierarchical clustering of a large asset universe with the stock price momentum. On one hand, investing in high-momentum stocks enhances returns by capturing the momentum premium. On ...

Pageant Media Ltd2024

Mortgage-backed securities

Andreas Fuster

This paper reviews the mortgage-backed securities (MBS) market, with a particular emphasis on agency residential MBS in the United States. We discuss the institutional environment, security design, MBS risks and asset pricing, and the economic effects of m ...

Edward Elgar2023

uKharon: A Membership Service for Microsecond Applications

Rachid Guerraoui, Antoine Murat, Javier Picorel Obando, Athanasios Xygkis

Modern data center fabrics open the possibility of microsecond distributed applications, such as data stores and message queues. A challenging aspect of their development is to ensure that, besides being fast in the common case, these applications react fa ...

USENIX Association2023

Self-Exciting Point Processes: Identification and Control

Michael Mark

This thesis addresses theoretical and practical aspects of identification and subsequent control of self-exciting point processes. The main contributions correspond to four separate scientific papers.In the first paper, we address the challenge of robust i ...

EPFL2022

Hybrid Flock - Formation Control Algorithms

Alcherio Martinoli, Cyrill Silvan Baumann, Jonas Perolini, Emna Tourki

Two prominent categories for achieving coordinated multirobot displacement are flocking and navigation in formation. Both categories have their own body of literature and characteristics, including their respective advantages and disadvantages. While typic ...

2022

Trading mechanisms in over-the-counter markets

Sebastian Vogel

In the chapter ``When to Introduce Electronic Trading Platforms in Over-the-Counter Markets?'' An equilibrium in a market is determined in which traders have the choice between using an electronic platform with a request-for-quote protocol or calling a dea ...

EPFL2020

Slow Moving Capital and Trade Execution Costs: Evidence from a major trading Glitch

Pierre Collin Dufresne, Vincent Jean Bogousslavsky

We investigate the impact of an exogenous trading glitch at a high-frequency market-making firm on standard measures of stock liquidity (spreads, price impact, turnover, and depth) and institutional trading costs (implementation shortfall and VWAP slippage ...

2020

Market Structure and Transaction Costs of Index CDSs

Pierre Collin Dufresne, Jan Benjamin Junge

Despite regulatory efforts to promote all-to-all trading, the post-Dodd-Frank index credit default swap market remains two-tiered. Transaction costs are higher for dealer-to-client than interdealer trades, but the difference is explained by the higher, lar ...

WILEY2020

Liquidity regimes and optimal dynamic asset allocation

Pierre Collin Dufresne

We solve a portfolio choice problem when expected returns, covariances, and trading costs follow a regime-switching model. The optimal policy trades towards an aim portfolio given by a weighted-average of the conditional mean-variance-efficient portfolios ...

ELSEVIER SCIENCE SA2020

Pricing interest rate, dividend, and equity risk

Sander Félix M Willems

This thesis studies the valuation and hedging of financial derivatives, which is fundamental for trading and risk-management operations in financial institutions. The three chapters in this thesis deal with derivatives whose payoffs are linked to interest ...

EPFL2019