2 citations · 2 across the 8 of their papers we have counts for
8 papers
Innovative Extensions to Option Pricing: Asymmetric Brownian Motion and Random Walk Approaches
Jagdish Gnawali, Abootaleb Shirvani, Dilmi C. W. Hettiachchi-Halpe-Kankanamalage +3
Classical option pricing models, such as Bachelier and Black--Scholes--Merton, postulate symmetric Brownian diffusion, which limits their capacity to reflect empirical phenomena in…
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…
Dynamic Asset Pricing in a Unified Bachelier-Black-Scholes-Merton Model
W. Brent Lindquist, Svetlozar T. Rachev, Jagdish Gnawali +1
We present a unified, market-complete model that integrates both the Bachelier and Black-Scholes-Merton frameworks for asset pricing. The model allows for the study, within a unifi…
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…
Portfolio Optimization with Relative Tail Risk
Young Shin Kim
This paper proposes analytic forms of portfolio CoVaR and CoCVaR on the normal tempered stable market model. Since CoCVaR captures the relative risk of the portfolio with respect t…