16 citations · 39 across the 12 of their papers we have counts for
15 papers
Entropic Value-at-Risk parity for tempered stable returns
Jaehyung Choi
We develop Entropic Value-at-Risk (EVaR) parity for tempered stable returns. EVaR-based inverse risk parity (IRP) and equal risk contribution (ERC) portfolios are constructed using…
Entropic Value-at-Risk portfolio optimization for tempered stable Lévy processes
Jaehyung Choi
We develop parametric Entropic Value-at-Risk (EVaR) portfolio optimization for tempered stable Lévy returns. We derive portfolio cumulant-generating functions and weight-dependent…
Information geometry of Lévy processes and financial models
Jaehyung Choi
We develop the information geometry of Lévy processes. The -divergence is derived directly in terms of the Lévy triplets, and the corresponding Fisher information matrix and …
Hyperbolic decomposition of Dirichlet distance for ARMA models
Jaehyung Choi
We investigate the hyperbolic decomposition of the Dirichlet norm and distance between autoregressive moving average (ARMA) models. With the Kähler information geometry of linear s…
Information geometry of tempered stable processes
Jaehyung Choi
We derive the information geometry of tempered stable processes. We first compute the -divergence between two tempered stable processes. From the divergence, we obtain the Fishe…
Deep Calibration With Artificial Neural Network: A Performance Comparison on Option Pricing Models
Young Shin Kim, Hyangju Kim, Jaehyung Choi
This paper explores Artificial Neural Network (ANN) as a model-free solution for a calibration algorithm of option pricing models. We construct ANNs to calibrate parameters for two…
Kähler information manifolds of signal processing filters in weighted Hardy spaces
Jaehyung Choi
We extend the framework of Kähler information manifolds for complex-valued signal processing filters by introducing weighted Hardy spaces and smooth transformations of transfer fun…
Diversified reward-risk parity in portfolio construction
Jaehyung Choi, Hyangju Kim, Young Shin Kim
We introduce diversified risk parity embedded with various reward-risk measures and more generic allocation rules for portfolio construction. We empirically test the proposed rewar…
Application of Kähler manifold to signal processing and Bayesian inference
Jaehyung Choi, Andrew P. Mullhaupt
We review the information geometry of linear systems and its application to Bayesian inference, and the simplification available in the Kähler manifold case. We find conditions for…
Geometric shrinkage priors for Kählerian signal filters
Jaehyung Choi, Andrew P. Mullhaupt
We construct geometric shrinkage priors for Kählerian signal filters. Based on the characteristics of Kähler manifolds, an efficient and robust algorithm for finding superharmonic…
Kählerian information geometry for signal processing
Jaehyung Choi, Andrew P. Mullhaupt
We prove the correspondence between the information geometry of a signal filter and a Kähler manifold. The information geometry of a minimum-phase linear system with a finite compl…
Maximum drawdown, recovery, and momentum
Jaehyung Choi
We empirically test predictability on asset price by using stock selection rules based on maximum drawdown and its consecutive recovery. In various equity markets, monthly momentum…
Reward-risk momentum strategies using classical tempered stable distribution
Jaehyung Choi, Young Shin Kim, Ivan Mitov
We implement momentum strategies using reward-risk measures as ranking criteria based on classical tempered stable distribution. Performances and risk characteristics for the alter…
Physical approach to price momentum and its application to momentum strategy
Jaehyung Choi
We introduce various quantitative and mathematical definitions for price momentum of financial instruments. The price momentum is quantified with velocity and mass concepts origina…
Spontaneous symmetry breaking of arbitrage
Jaehyung Choi
We introduce the concept of spontaneous symmetry breaking to arbitrage modeling. In the model, the arbitrage strategy is considered as being in the symmetry breaking phase and the…