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…