180 citations · 623 across the 15 of their papers we have counts for
7 papers · 1 filter
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…
An AI approach to measuring financial risk
Lining Yu, Wolfgang Karl Härdle, Lukas Borke +1
AI artificial intelligence brings about new quantitative techniques to assess the state of an economy. Here we describe a new measure for systemic risk: the Financial Risk Meter (F…
Pricing Cryptocurrency Options
Ai Jun Hou, Weining Wang, Cathy Y. H. Chen +1
Cryptocurrencies, especially Bitcoin (BTC), which comprise a new digital asset class, have drawn extraordinary worldwide attention. The characteristics of the cryptocurrency/BTC in…
CRIX an index for cryptocurrencies
Simon Trimborn, Wolfgang Karl Härdle
The cryptocurrency market is unique on many levels: Very volatile, frequently changing market structure, emerging and vanishing of cryptocurrencies on a daily level. Following its…
Model-driven statistical arbitrage on LETF option markets
Sergey Nasekin, Wolfgang Karl Härdle
In this paper, we study the statistical properties of the moneyness scaling transformation by Leung and Sircar (2015). This transformation adjusts the moneyness coordinate of the i…
A Mortality Model for Multi-populations: A Semi-Parametric Approach
Lei Fang, Wolfgang K. Härdle, Juhyun Park
Mortality is different across countries, states and regions. Several empirical research works however reveal that mortality trends exhibit a common pattern and show similar structu…