3 papers
q-fin.MF2018
Robust risk aggregation with neural networks
Stephan Eckstein, Michael Kupper, Mathias Pohl
We consider settings in which the distribution of a multivariate random variable is partly ambiguous. We assume the ambiguity lies on the level of the dependence structure, and tha…
q-fin.TR2018
Theoretical and empirical analysis of trading activity
Mathias Pohl, Alexander Ristig, Walter Schachermayer +1
Understanding the structure of financial markets deals with suitably determining the functional relation between financial variables. In this respect, important variables are the t…
q-fin.TR2017
The amazing power of dimensional analysis: Quantifying market impact
Mathias Pohl, Alexander Ristig, Walter Schachermayer +1
This note complements the inspiring work on dimensional analysis and market microstructure by Kyle and Obizhaeva [18]. Following closely these authors, our main result shows by a s…