4 papers
End-to-End Parametric Portfolio Policies for Cross-Asset Futures Timing: When Do AI Models Beat Simple Rules?
Austin Pollok, Kevin Robik
Timing-based tilts across asset classes can drive much of the risk and return of a diversified cross-asset portfolio. The standard approach forecasts returns and then optimizes wei…
Modeling Wallet-Level Behavioral Shifts Post-FTX Collapse: An XAI-Driven GLM Study on Ethereum Transactions
Benjamin Gillen, Rashmi Ranjan Bhuyan, Gourab Mukherjee +1
The Ethereum blockchain plays a central role in the broader cryptocurrency ecosystem, enabling a wide range of financial activity through the use of smart contracts. This paper inv…
Predicting Realized Variance Out of Sample: Can Anything Beat The Benchmark?
Austin Pollok
The discrepancy between realized volatility and the market's view of volatility has been known to predict individual equity options at the monthly horizon. It is not clear how this…
Kelly Criterion: From a Simple Random Walk to Lévy Processes
Sergey Lototsky, Austin Pollok
The original Kelly criterion provides a strategy to maximize the long-term growth of winnings in a sequence of simple Bernoulli bets with an edge, that is, when the expected return…