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Articles by Erik Schlögl
Implementing Neural SDEs for Data-Driven Dynamics of the Bitcoin Option Surface
You are already at the latest version This paper presents a full implementation of data-driven modelling of the dynamics of the options on Bitcoin, using high-frequency data from the Deribit exchange. To this end, we provide a synthesis of methods established in prior papers, namely the works involving “neural SDE market models,” to build a pipeline to go from raw options quotes to a functioning non-parametric model.
Modifying Sequential Monte Carlo Optimisation for Index Tracking to Allow for Transaction Costs
1. Introduction Index tracking, also known as index replication, is a passive investment strategy that has gained popularity due to the higher costs associated with active investing and scepticism regarding the ability of active funds to outperform the market (see e.g., Rompotis (2013), Barber and Odean (2000)). Financial indices track the performance of a collection of financial assets or an overall market.
Is there a negative trend in abundance of the weedy seadragon (Phyllopteryx taeniolatus) discernible in survey data summarised in Edgar et al. (2023)?
Abstract Decadal changes in abundance of marine organisms along the Australian coastline were reported in a recent Nature paper by Edgar et al. (2023). We reexamine the data used in that paper, and show that the conclusion of a 59% decline in weedy seadragons (Phyllopteryx taeniolatus) cannot be justified based on these data. The data are too sparse, especially for the final survey years of 2020 and 2021, and it is this sparsity in combination with particular modelling choices made by Edgar et al.
Sequential Monte Carlo Optimization for Index Tracking with Transaction Costs
Preprint Article Version 1 This version is not peer-reviewed Version 1 : Received: 14 March 2024 / Approved: 14 March 2024 / Online: 14 March 2024 (15:15:15 CET) Hamilton-Russell, L.; O’Callaghan, T.M.; Savin, D.; Schlögl, E. Sequential Monte Carlo Optimization for Index Tracking with Transaction Costs. Preprints 2024, 2024030859. https://doi.org/10.20944/preprints202403.0859.v1 Hamilton-Russell, L.; O’Callaghan, T.M.; Savin, D.; Schlögl, E.
SOFR term structure dynamics-Discontinuous short rates and stochastic volatility forward rates
1 INTRODUCTION As the Secured Overnight Funding Rate (SOFR) is now the key risk-free rate (RFR) benchmark in US dollars, interest rate term structure models need to be updated to reflect this.
A Hyperbolic Bid Stack Approach to Electricity Price Modelling
This is an early access version, the complete PDF, HTML, and XML versions will be available soon.
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