2 papers
q-fin.MF2026
Negative Oil & Nickel Squeeze: A Feedback Model for Extreme Commodity Futures Prices
Iosif Zimbidis, Ronnie Sircar
On April 20, 2020, the May front-month WTI oil futures contract, one day before its expiration date, opened near barrel and dropped far below zero in a single trading day, r…
q-fin.CP2025
Optimal Trading under Instantaneous and Persistent Price Impact, Predictable Returns and Multiscale Stochastic Volatility
Patrick Chan, Ronnie Sircar, Iosif Zimbidis
We consider a dynamic portfolio optimization problem that incorporates predictable returns, instantaneous transaction costs, price impact, and stochastic volatility, extending the…