no code implementations • 7 Mar 2024 • David Itkin, Martin Larsson
In the framework of stochastic portfolio theory we introduce rank volatility stabilized models for large equity markets over long time horizons.
1 code implementation • 10 Feb 2023 • Ilayda Yaman, Guoda Tian, Martin Larsson, Patrik Persson, Michiel Sandra, Alexander Dürr, Erik Tegler, Nikhil Challa, Henrik Garde, Fredrik Tufvesson, Kalle Åström, Ove Edfors, Steffen Malkowsky, Liang Liu
The dataset includes color images, corresponding depth maps, inertial measurement unit (IMU) readings, channel response between a 5G massive multiple-input and multiple-output (MIMO) testbed and user equipment, audio recorded by 12 microphones, and accurate six degrees of freedom (6DOF) pose ground truth of 0. 5 mm.
no code implementations • 28 Nov 2022 • David Itkin, Benedikt Koch, Martin Larsson, Josef Teichmann
We consider an asymptotic robust growth problem under model uncertainty and in the presence of (non-Markovian) stochastic covariance.
no code implementations • 26 Oct 2021 • David Itkin, Martin Larsson
Our approach combines open markets, where trading is confined to the top $N$ capitalized stocks as well as the market portfolio consisting of all $d$ assets, with a parametric family of models which we call hybrid Jacobi processes.
no code implementations • 17 Sep 2020 • David Itkin, Martin Larsson
In addition to the general results outlined above, we propose the use of a broad class of models for the volatility matrix $c(x)$, which can be calibrated to data and, under which, we obtain explicit formulas of the optimal unconstrained portfolio for any invariant density.
no code implementations • 30 Mar 2020 • Martin Larsson, Johannes Ruf
We characterize the minimal time horizon over which any equity market with $d \geq 2$ stocks and sufficient intrinsic volatility admits relative arbitrage with respect to the market portfolio.
no code implementations • 21 Oct 2019 • Hamid Behjat, Martin Larsson
The human cortical layer exhibits a convoluted morphology that is unique to each individual.
no code implementations • 21 Nov 2017 • Damir Filipović, Martin Larsson
We develop a comprehensive mathematical framework for polynomial jump-diffusions in a semimartingale context, which nest affine jump-diffusions and have broad applications in finance.