4 papers
Advancing Portfolio Optimization: Adaptive Minimum-Variance Portfolios and Minimum Risk Rate Frameworks
Ayush Jha, Abootaleb Shirvani, Ali Jaffri +2
This study presents the Adaptive Minimum-Variance Portfolio (AMVP) framework and the Adaptive Minimum-Risk Rate (AMRR) metric, innovative tools designed to optimize portfolios dyna…
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…
An Empirical Implementation of the Shadow Riskless Rate
Davide Lauria, JiHo Park, Yuan Hu +3
We address the problem of asset pricing in a market where there is no risky asset. Previous work developed a theoretical model for a shadow riskless rate (SRR) for such a market in…
Beyond the Traditional VIX: A Novel Approach to Identifying Uncertainty Shocks in Financial Markets
Ayush Jha, Abootaleb Shirvani, Svetlozar T. Rachev +1
We introduce a new identification strategy for uncertainty shocks to explain macroeconomic volatility in financial markets. The Chicago Board Options Exchange Volatility Index (VIX…