Serge Kassibrakis PhD

We develop a model for pricing tokens that can be used to get access to industrial production. Our model accounts for the possibility of multiple product lines and the evolution of industrial demand. We apply our model to pricing the ICO of a Swiss startup.

We introduce a framework to infer lead-lag networks between the states of elements of complex systems, determined at different timescales. As such networks encode the causal structure of a system, infering lead-lag networks for many pairs of timescales provides a global picture of the mutual influence between timescales. We apply our method to two trader-resolved FX data sets and document strong and complex asymmetric influence of timescales on the structure of lead-lag networks. Expectedly… Mehr anzeigen

We introduce a framework to infer lead-lag networks between the states of elements of complex systems, determined at different timescales. As such networks encode the causal structure of a system, infering lead-lag networks for many pairs of timescales provides a global picture of the mutual influence between timescales. We apply our method to two trader-resolved FX data sets and document strong and complex asymmetric influence of timescales on the structure of lead-lag networks. Expectedly, this asymmetry extends to trader activity: for institutional clients in our dataset, past activity on timescales longer than 3 hours is more correlated with future activity at shorter timescales than the opposite (Zumbach effect), while a reverse Zumbach effect is found for past timescales shorter than 3 hours; retail clients have a totally different, and much more intricate, structure of asymmetric timescale influence. The causality structures are clearly caused by markedly different behaviors of the two types of traders. Hence, market nanostructure, i.e., market dynamics at the individual trader level, provides an unprecedented insight into the causality structure of financial markets, which is much more complex than previously thought. Weniger anzeigen

We solve the problem of optimal risk management for an investor holding an illiquid, alpha generating fund and hedging his position with a liquid futures contract. When the investor is subject to a drawdown constraint, he is forced to reduce the total risk of his portfolio after a drawdown. In this case, he faces a tradeoff of either paying the transaction costs and deleveraging, or keeping his current position in the illiquid instrument and hedging away some of the risk while keeping the… Mehr anzeigen

We solve the problem of optimal risk management for an investor holding an illiquid, alpha generating fund and hedging his position with a liquid futures contract. When the investor is subject to a drawdown constraint, he is forced to reduce the total risk of his portfolio after a drawdown. In this case, he faces a tradeoff of either paying the transaction costs and deleveraging, or keeping his current position in the illiquid instrument and hedging away some of the risk while keeping the residual, unhedgeable risk on his balance sheet. We explicitly characterize this tradeoff and study its dependence on asset characteristics. In particular, we show that higher alpha and lower beta typically widen the no-trading zone, while the impact of volatility is ambiguous. Weniger anzeigen

We solve the problem of optimal inventory management for a CARA market-maker
who faces proportional transaction costs and marking to market. Our explicit solution
accommodates inventory shocks following an arbitrary compound Poisson process, and
allows us to explicitly link the optimal policy to the moment-generating function of
the shock distribution. We show that the no-trade region is always wider in the
presence of shocks, increases with the order imbalance, and usually… Mehr anzeigen

We solve the problem of optimal inventory management for a CARA market-maker
who faces proportional transaction costs and marking to market. Our explicit solution
accommodates inventory shocks following an arbitrary compound Poisson process, and
allows us to explicitly link the optimal policy to the moment-generating function of
the shock distribution. We show that the no-trade region is always wider in the
presence of shocks, increases with the order imbalance, and usually decreases with the
markups charged by the market-maker. We use our explicit solution to derive several
comparative statics results and calibrate our solution to inventory data of Forex clients
of a bank. Our ndings suggest that optimal accounting for inventory shocks leads to
signicant utility gains. Weniger anzeigen

Using trader-resolved data, we document lead-lag relationships between groups of investors in the foreign exchange market. Because these relationships are systematic and persistent, order flow is predictable from trader-resolved order flow. We thus propose a generic method to exploit trader lead-lag and predict the sign of the total order imbalance over a given time horizon. It first consists in an unsupervised clustering of investors according to their buy/sell/inactivity synchronization. The… Mehr anzeigen

Using trader-resolved data, we document lead-lag relationships between groups of investors in the foreign exchange market. Because these relationships are systematic and persistent, order flow is predictable from trader-resolved order flow. We thus propose a generic method to exploit trader lead-lag and predict the sign of the total order imbalance over a given time horizon. It first consists in an unsupervised clustering of investors according to their buy/sell/inactivity synchronization. The collective actions of these groups and their lagged values are given as inputs to machine learning methods. When groups of traders and when their lead-lag relationships are sufficiently persistent, highly successful out-of-sample order flow sign predictions are obtained Weniger anzeigen

In the Comment by Zumofen and Klafter (ZK) (Phys. Rev. E, preceding paper) the authors, comparing their results to those in a publication of ours [Benkadda, Kassibrakis, White, and Zaslavsky (BKWZ)] [Phys. Rev. E 55, 4909 (1997)], state that “disagreement is regarded as resulting from conceptual differences in the approaches rather than from numerical inaccuracies.” The papers discuss superdiffusion phenomena for the standard map. In fact, we will show here that the numerical results of ZK… Mehr anzeigen

In the Comment by Zumofen and Klafter (ZK) (Phys. Rev. E, preceding paper) the authors, comparing their results to those in a publication of ours [Benkadda, Kassibrakis, White, and Zaslavsky (BKWZ)] [Phys. Rev. E 55, 4909 (1997)], state that “disagreement is regarded as resulting from conceptual differences in the approaches rather than from numerical inaccuracies.” The papers discuss superdiffusion phenomena for the standard map. In fact, we will show here that the numerical results of ZK contradict neither the numerical results given in BKWZ nor the theory referenced there. At the same time we will indicate precisely why the theory used in ZK has restricted applicability and is not universal. We also provide additional analytical and numerical results in support of our conclusions. Weniger anzeigen

Anomalous transport is investigated near threshold in the standard map. Very long time flights, and
a large anomaly in the transport, are shown to be associated with a new form of multi-island
structures causing orbit sticking. The phase space structure of these traps, and the exponents of the
characteristic long time tails associated with them are determined. In general these structures are
very complex, but some cases, consisting of layers of islands, allow simple modeling. ©… Mehr anzeigen

Anomalous transport is investigated near threshold in the standard map. Very long time flights, and
a large anomaly in the transport, are shown to be associated with a new form of multi-island
structures causing orbit sticking. The phase space structure of these traps, and the exponents of the
characteristic long time tails associated with them are determined. In general these structures are
very complex, but some cases, consisting of layers of islands, allow simple modeling. © 1998
American Institute of Physics. @S1054-1500~98!01403-7# Weniger anzeigen

Assuming that returns are better described by a non Gaussian stable distribution,
this article demonstrates that due to their specific features, emerging stock markets vary
more sustantially from the normal distribution hypothesis than their counterparts in ...

Anomalous transport is investigated for the standard map. A chain of exact self-similar islands in the vicinity
of the period 5 accelerator island is found for a particular value of the map parameter. The transport is found
to be superdiffusive with an anomalous exponent related to the characteristic temporal and spatial scaling
parameters of the island chain. The value of the transport exponent is compared to the theory. The escape time
distribution and Poincare´ recurrence… Mehr anzeigen

Anomalous transport is investigated for the standard map. A chain of exact self-similar islands in the vicinity
of the period 5 accelerator island is found for a particular value of the map parameter. The transport is found
to be superdiffusive with an anomalous exponent related to the characteristic temporal and spatial scaling
parameters of the island chain. The value of the transport exponent is compared to the theory. The escape time
distribution and Poincare´ recurrence distribution are found to have powerlike tails and the corresponding
exponents are obtained and compared to the theory. @S1063-651X~97!03605-2# Weniger anzeigen