Quant Letter: April 2024, Week-3

Weekly (42nd Edition)

SSRN

Recently Published

Quantitative

Exposure Hedging Strategy: The paper presents a model for optimizing a dealer's hedging strategy in foreign exchange fixings, suggesting smaller exposures are fully hedged in the short term, while larger ones are hedged over a longer period. (2024-04-16, shares: 73.0)

Implied Volatility in Defi Pools: The article introduces a breakeven implied volatility for decentralized finance pools, which aligns with a previous definition based on a market impact rule in traditional finance. (2024-04-11, shares: 7.0)

EPS Impact on Capital Structure: The study reveals that firms adjust their capital structures based on earnings per share (EPS) levels, with the impact of EPS becoming more significant after the Sarbanes-Oxley Act in 2002. (2024-04-12, shares: 6.0)

Deep Learning for Cryptocurrency Trends: The research presents a new data preprocessing technique and a Convolutional Neural Networks (CNN) model for predicting Bitcoin market trends using 15-minute candlestick data. (2024-04-16, shares: 2.0)