2 papers
q-fin.PM2026
Topological Risk Parity
Revant Nayar, Dnyanesh Kulkarni, El Mehdi Ainasse
We develop \emph{Topological Risk Parity} (TRP), a tree-based portfolio construction approach intended for long/short, market neutral, factor-aware portfolios. The method is motiva…
q-fin.ST2024
High-Frequency Volatility Estimation with Fast Multiple Change Points Detection
Greeshma Balabhadra, El Mehdi Ainasse, Pawel Polak
We propose a method for constructing sparse high-frequency volatility estimators that are robust against change points in the spot volatility process. The estimators we propose are…