Can market volumes reveal traders' rationality and a new risk premium?

By Francesca Mariani, Maria Cristina Recchioni, Tai-Ho Wang, Roberto Giacalone

Published 2024-06-09

Everscope rating

1511.7

Relevance to quantitative trading

8 / 10

Implementation complexity

7 / 10

Reproducibility

3 / 5

About this paper

Methodology: Empirical analysis based on Merton dynamics. Problem types: Time Series Forecasting, Portfolio Optimization, Risk Management.

arXiv:2406.05854 · Paper rankings

Open the interactive Everscope explorer for full analysis, charts, and paper battles.