Synthetic data generation
The generation of realistic symulated data is of considerable importance in a large set of reaserch areas. In finance and economics, the use of simulated data goes from senario generatio for streess tests, asset pricing and risk control to name a few. The following article intruduces a novel algorithm to generate artificial data applied to the S&P500.
Math formulation of trading strategies
Time-series momentum (trend-following)
Proposed prototipical trend-following strategy which average performance and standard deviation admits a close form solution.
Traditional momentum involves a portfolio of assets therefore cross-correlation between assets is important. We are looking into formulations that describe such correlations and their significance.
Sample of older published research
Stochastic resonance and the trade arival of stocks. The preprint can be found here
Stochastic volatility of financial markets as the fluctuating rate of trading: An empirical study. The preprint can be found here
Exponential distribution of financial returns at mesoscopic time lags: a new stylized fact. This work was also presented at the University of Leiden Lorentz Center Workshop Volatility of financial markets: theoretical models, forecasting and trading