3 papers
cs.CY2022
Quantinar: a blockchain p2p ecosystem for honest scientific research
Raul Bag, Bruno Spilak, Julian Winkel +1
Living in the Information Age, the power of data and correct statistical analysis has never been more prevalent. Academics and practitioners require nowadays an accurate applicatio…
q-fin.PM2022
Risk budget portfolios with convex Non-negative Matrix Factorization
Bruno Spilak, Wolfgang Karl Härdle
We propose a portfolio allocation method based on risk factor budgeting using convex Nonnegative Matrix Factorization (NMF). Unlike classical factor analysis, PCA, or ICA, NMF ensu…
q-fin.RM2020
Tail-risk protection: Machine Learning meets modern Econometrics
Bruno Spilak, Wolfgang Karl Härdle
Tail risk protection is in the focus of the financial industry and requires solid mathematical and statistical tools, especially when a trading strategy is derived. Recent hype dri…