Liquidity Jump, Liquidity Diffusion, and Portfolio of Assets with Extreme Liquidity

By Qi Deng, Zhong-guo Zhou

Published 2024-03-26

Everscope rating

1623.2

Relevance to quantitative trading

9 / 10

Implementation complexity

8 / 10

Reproducibility

4 / 5

About this paper

Methodology: Liquidity-Adjusted VECM-DCC/ADCC-BL. Problem types: Portfolio Optimization, Time Series Forecasting.

arXiv:2407.00813 · Paper rankings

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