2 citations · 5 across the 10 of their papers we have counts for
11 papers
Black-Litterman and ESG Portfolio Optimization
Aviv Alpern, Svetlozar Rachev
We introduce a simple portfolio optimization strategy using ESG data with the Black-Litterman allocation framework. ESG scores are used as a bias for Stein shrinkage estimation of…
Long-Range Dependence in Financial Markets: Empirical Evidence and Generative Modeling Challenges
Yifan He, Svetlozar Rachev
This study provides an empirical investigation of long-range dependence (LRD) in financial markets and evaluates the ability of deep generative models to reproduce such temporal st…
Risk-Adjusted Performance of Random Forest Models in High-Frequency Trading
Akash Deep, Abootaleb Shirvani, Chris Monico +2
Because of the theoretical challenges posed by the Efficient Market Hypothesis to technical analysis, the effectiveness of technical indicators in high-frequency trading remains in…
Beyond the Bid-Ask: Strategic Insights into Spread Prediction and the Global Mid-Price Phenomenon
Yifan He, Abootaleb Shirvani, Barret Shao +2
This research extends the conventional concepts of the bid--ask spread (BAS) and mid-price to include the total market order book bid--ask spread (TMOBBAS) and the global mid-price…
The Financial Market of Environmental Indices
Thisari K. Mahanama, Abootaleb Shirvani, Svetlozar Rachev +1
This paper introduces the concept of a global financial market for environmental indices, addressing sustainability concerns and aiming to attract institutional investors. Risk mit…
Exploring Implied Certainty Equivalent Rates in Financial Markets: Empirical Analysis and Application to the Electric Vehicle Industry
Yifan He, Svetlozar Rachev
In this paper, we mainly study the impact of the implied certainty equivalent rate on investment in financial markets. First, we derived the mathematical expression of the implied…
Exploring Dynamic Asset Pricing within Bachelier Market Model
Nancy Asare Nyarko, Bhathiya Divelgama, Jagdish Gnawali +3
This paper delves into the dynamics of asset pricing within Bachelier market model, elucidating the representation of risky asset price dynamics and the definition of riskless asse…
Bachelier's Market Model for ESG Asset Pricing
Svetlozar Rachev, Nancy Asare Nyarko, Blessing Omotade +1
Environmental, Social, and Governance (ESG) finance is a cornerstone of modern finance and investment, as it changes the classical return-risk view of investment by incorporating a…
The Implied Views of Bond Traders on the Spot Equity Market
Yifan He, Yuan Hu, Svetlozar Rachev
This study delves into the temporal dynamics within the equity market through the lens of bond traders. Recognizing that the riskless interest rate fluctuates over time, we leverag…
The Financial Market of Indices of Socioeconomic Wellbeing
Thilini V. Mahanama, Abootaleb Shirvani, Svetlozar Rachev
The financial industry should be involved in mitigating the risk of downturns in the financial wellbeing indices around the world by implementing well-developed financial tools suc…
A Natural Disasters Index
Thilini V. Mahanama, Abootaleb Shirvani
Natural disasters, such as tornadoes, floods, and wildfire pose risks to life and property, requiring the intervention of insurance corporations. One of the most visible consequenc…