In this paper, the authors develop a computational method to find a unique, corrected Cornish–Fisher distribution efficiently for a wide range of skewnesses and kurtoses.
Waning power of quant approach could be a reason for trend following’s malaise
This paper analyzes the risk premium in the base-load monthly futures contracts traded on the Iberian electricity market (MIBEL) between July 1, 2006 and March 31, 2017.
This paper investigates the distributional characteristics of stock market returns and analyzes the significance of higher moments.
The authors investigate the underperformance of delta-hedged option portfolios in relation to ex ante moments of the stock market’s return distribution.
Johnson-Omega could change the way financial firms measure portfolio performance
Naive treatment of interaction between skew and correlation means writers of best-middle-worst options will face huge hedging losses, says top quant
The flash crash was statistically distinct from other market panics, and can be understood with a little help from the physics of supercool magnets