Publications associées à Does information drive trading in option strategies?

Machine Learning for Modeling Stock Returns

Throughout history, the pace of knowledge and information sharing has evolved into an unthinkable speed and media. At the end of the XVII century, in Europe, the ideas that would shape the "Age of Enlightenment" were slowly being developed in coffeehouses, ...

EPFL2024

How Integrated are Credit and Equity Markets? Evidence from Index Options

Pierre Collin Dufresne, Jan Benjamin Junge

We study the extent to which credit index (CDX) options are priced consistent with S&P 500 (SPX) equity index options. We derive analytical expressions for CDX and SPX options within a structural credit-risk model with stochastic volatility and jumps using ...

Wiley2024

Fly-Swat or Cannon? Cost-Effective Language Model Choice via Meta-Modeling

Maxime Jean Julien Peyrard, Robert West, Marija Sakota

Generative language models (LMs) have become omnipresent across data science. For a wide variety of tasks, inputs can be phrased as natural language prompts for an LM, from whose output the solution can then be extracted. LM performance has consistently be ...

Assoc Computing Machinery2024

CO2 Capture and Management Strategies for Decarbonizing Secondary Aluminium Production

François Maréchal, Daniel Alexander Florez Orrego, Meire Ellen Gorete Ribeiro Domingos, Réginald Germanier

The production of aluminium largely depends on the use of fossil fuels, resulting in the emission of significant amounts of greenhouse gases. As the aluminium industry is working towards decreasing its environmental burdens, the elimination of direct emiss ...

2024

Neutrino Signal from a Population of Seyfert Galaxies

Andrii Neronov

IceCube Collaboration has previously reported evidence for a neutrino signal from a Seyfert galaxy NGC 1068. This may suggest that all Seyfert galaxies emit neutrinos. To test this hypothesis, we identify the best candidate neutrino sources among nearby Se ...

Amer Physical Soc2024

Thermal Conditions in Indoor Environments: Exploring the Reasoning behind Standard-Based Recommendations

Dolaana Khovalyg

Professionals in the building design and operation fields typically look at standards and guidelines as a reliable source of information and guidance with regard to procedural, contractual, and legal scope and requirements that are relevant to accountabili ...

2023

Exchange options with stochastic liquidity risk

Puneet Pasricha

In this article, we account for the liquidity risk in the underlying assets when pricing European exchange options, which has not been considered in the literature. An Ornstein-Uhlenbeck process with the mean -reversion property is selected to model the ma ...

PERGAMON-ELSEVIER SCIENCE LTD2023

Modeling and Optimization of Ridesplitting Operations

Caio Vitor Beojone

Ridesourcing has driven a lot of attention in recent years with the expansion of companies like Uber, Lift, and many others around the world. Companies use mobile applications connected through the internet to match drivers and their passengers real-time. ...

EPFL2023

When do Minimax-fair Learning and Empirical Risk Minimization Coincide?

Volkan Cevher

Minimax-fair machine learning minimizes the error for the worst-off group. However, empirical evidence suggests that when sophisticated models are trained with standard empirical risk minimization (ERM), they often have the same performance on the worst-of ...

2023

Adapting Haptic Feedback for Guided Meditation

Nicolas Henchoz, Cédric Duchene, Andreas Sonderegger, Romain Simon Collaud, Emily Clare Groves, Yoann Pierre Douillet

Technology supporting meditation is a multimillion-dollar market that continues to grow. There is also strong academic interest to understand and improve the impact technology can have for the user experience of practitioners. However, little work investig ...

2023

Learning Transformations To Reduce the Geometric Shift in Object Detection

Mathieu Salzmann, Martin Pierre Engilberge, Vidit Vidit

The performance of modern object detectors drops when the test distribution differs from the training one. Most of the methods that address this focus on object appearance changes caused by, e.g., different illumination conditions, or gaps between syntheti ...

Ieee Computer Soc2023

Predicting party switching through machine learning and open data

Silvestro Micera, Emanuele Rossi

Parliament dynamics might seem erratic at times. Predicting future voting patterns could support policy design based on the simulation of voting scenarios. The availability of open data on legislative activities and machine learning tools might enable such ...

CELL PRESS2023

Closed form approximation methods for portfolio valuation and risk management

Lotfi Boudabsa

In this thesis we present three closed form approximation methods for portfolio valuation and risk management. The first chapter is titled ``Kernel methods for portfolio valuation and risk management'', and is a joint work with Damir Filipovi'c (SFI and ...

EPFL2023

Extension, validation, and optimization of Serpent/DYN3D/ATHLET code system for SFR applications

Vincenzo Anthony Di Nora

The sequence of codes Serpent/DYN3D has been developed by the Helmholtz-Zentrum Dresden-Rossendorf and successfully applied to core static and transient analyses of sodium-cooled fast reactors (SFRs). The successful application of the sequence to SFRs was ...

EPFL2023

Ricca's factors as mobile proteinaceous effectors of electrical signaling

Jian Wang, Satyam Tiwari

Leaf-feeding insects trigger high-amplitude, defense-inducing electrical signals called slow wave potentials (SWPs). These signals are thought to be triggered by the long-distance transport of low molecular mass elicitors termed Ricca's factors. We sought ...

CELL PRESS2023

Search for dark photon decays to μ+μ- at NA62

Radoslav Marchevski, Alina Kleimenova

The NA62 experiment at CERN, designed to study the ultra-rare decay K+ -> pi(+) nu(nu) over bar, has also collected data in beam-dump mode. In this configuration, dark photons may be produced by protons dumped on an absorber and reach a decay volume beginn ...

Springer Nature2023

Targeting the Progesterone Receptor in Breast Cancer: Mind the Short Form!

Cathrin Brisken, Carlos Henrique Venturi Ronchi

The presurgical window of opportunity trial (WOT) MIPRA provides evidence that neoadjuvant treatment with the prog-esterone receptor (PR) antagonist mifepristone (RU486) may benefit patients with estrogen receptor-positive (ER+) breast cancer characterized ...

AMER ASSOC CANCER RESEARCH2023

Atomistic modeling of C-S-H: bulk and surface

Ziga Casar

By replacing part of Portland cement with so-called supplementary cementitious materials (SCMs) it is possible to reduce the CO2 footprint of the cement industry. These SCMs are commonly limestone, calcined clay, slag and fly ash. While doing so the early ...

EPFL2023

Influence of channel geomorphic units on bedload transport and river morphology during low‐magnitude bed‐forming floods coupled with sediment augmentation

Giovanni De Cesare, Severin Stähly, Christian Mörtl, Robin Schroff

In this study, we map different types of channel geomorphic units in a sediment-starved, residual-flow reach before and after an artificial flood. Bedload particles of a previous sediment augmentation measure are tracked with passive integrated transponder ...

2023

Dataset for the article "Frequency regulation with storage: On losses and profits"

François Richard Vuille, Dirk Lauinger, Daniel Kuhn

This dataset complements the article "Frequency regulation with storage: On losses and profits" by Dirk Lauinger, François Vuille, and Daniel Kuhn, available at https://arxiv.org/abs/2306.02987. The dataset contains the following files: 1.

Zenodo2023