4 papers
Failure of Fourier pricing techniques to approximate the Greeks
Tobias Behrens, Gero Junike, Wim Schoutens
The Greeks Delta and Gamma of plain vanilla options play a fundamental role in finance, e.g., in hedging or risk management. These Greeks are approximated in many models such as th…
Nowcasting Stock Implied Volatility with Twitter
Thomas Dierckx, Jesse Davis, Wim Schoutens
In this study, we predict next-day movements of stock end-of-day implied volatility using random forests. Through an ablation study, we examine the usefulness of different sources…
Market Making via Reinforcement Learning in China Commodity Market
Junshu Jiang, Thomas Dierckx, Duxiang Xiao +1
Market makers play an essential role in financial markets. A successful market maker should control inventory and adverse selection risks and provide liquidity to the market. As an…
Using Machine Learning and Alternative Data to Predict Movements in Market Risk
Thomas Dierckx, Jesse Davis, Wim Schoutens
Using machine learning and alternative data for the prediction of financial markets has been a popular topic in recent years. Many financial variables such as stock price, historic…