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Full-Text Articles in Physical Sciences and Mathematics
Delta Hedging Of Financial Options Using Reinforcement Learning And An Impossibility Hypothesis, Ronak Tali
Delta Hedging Of Financial Options Using Reinforcement Learning And An Impossibility Hypothesis, Ronak Tali
All Graduate Theses and Dissertations, Spring 1920 to Summer 2023
In this thesis we take a fresh perspective on delta hedging of financial options as undertaken by market makers. The current industry standard of delta hedging relies on the famous Black Scholes formulation that prescribes continuous time hedging in a way that allows the market maker to remain risk neutral at all times. But the Black Scholes formulation is a deterministic model that comes with several strict assumptions such as zero transaction costs, log normal distribution of the underlying stock prices, etc. In this paper we employ Reinforcement Learning to redesign the delta hedging problem in way that allows us …
A Bayesian Markov Chain Monte Carlo Approach To Uncertainty Quantification, Matthew Isaac
A Bayesian Markov Chain Monte Carlo Approach To Uncertainty Quantification, Matthew Isaac
All Graduate Theses and Dissertations, Spring 1920 to Summer 2023
Uncertainty quantification (UQ) is a framework used frequently in engineering analyses to understand how uncertainty in system inputs lead to uncertainty in the system output. An instability is observed in a UQ method proposed by Roy and Oberkampf and a Bayesian Markov Chain Monte Carlo approach to UQ is offered as an alternative. The Bayesian approach allows analysts to incorporate information from various available sources including observed measurements and expert opinion and to update the analysis and results as more information becomes available. An illustrative engineering example is provided as a platform to demonstrate the Bayesian UQ approach and to …
Applications Of Machine Learning In High-Frequency Trade Direction Classification, Jared E. Hansen
Applications Of Machine Learning In High-Frequency Trade Direction Classification, Jared E. Hansen
All Graduate Theses and Dissertations, Spring 1920 to Summer 2023
The correct assignment of trades as buyer-initiated or seller-initiated is paramount in many quantitative finance studies. Simple decision rule methods have been used for signing trades since many data sets available to researchers do not include the sign of each trade executed. By utilizing these decision rule methods, as well as engineering new variables from available data, we have demonstrated that machine learning models outperform prior methods for accurately signing trades as buys and sells, achieving state-of-the-art results. The best model developed was 4.5 percentage points more accurate than older methods when predicting onto unseen data. Since finance and economics …
'Lmshapemaker': Utilizing The 'Rmapshaper' R Package To Modify Shapefiles For Use In Linked Micromap Plots, Braden D. Probst
'Lmshapemaker': Utilizing The 'Rmapshaper' R Package To Modify Shapefiles For Use In Linked Micromap Plots, Braden D. Probst
All Graduate Theses and Dissertations, Spring 1920 to Summer 2023
In order to effectively create map-based visualizations, some map modifications need to be conducted to ensure the map is readable and interpretable. There are several issues that need to be addressed to achieve this. The boundaries of a country may be overly complex which is particularly true with coastal areas of countries. Regions may be small and not seen in the final plot, as is the case with many capital cities in the world’s countries such as Washington D.C. and the Federal District of Mexico City. In other countries, regions may geographically lie far away from the rest of the …