Financial Applications of Random Matrix Theory: a short review

We discuss the applications of Random Matrix Theory in the context of financial markets and econometric models, a topic about which a considerable number of papers have been devoted to in the last decade. This mini-review is intended to guide the reader through various theoretical results (the Marcenko-Pastur spectrum and its various generalisations, random SVD, free matrices, largest eigenvalue statistics, etc.) as well as some concrete applications to portfolio optimisation and out-of-sample risk estimation.Comment: To appear in the "Handbook on Random Matrix Theory", Oxford University Pres

The semireactive bargaining set of a cooperative game

bargaining;cooperative games

Two centuries of trend following

We establish the existence of anomalous excess returns based on trend following strategies across four asset classes (commodities, currencies, stock indices, bonds) and over very long time scales. We use for our studies both futures time series, that exist since 1960, and spot time series that allow us to go back to 1800 on commodities and indices. The overall t-stat of the excess returns is $\approx 5$ since 1960 and $\approx 10$ since 1800, after accounting for the overall upward drift of these markets. The effect is very stable, both across time and asset classes. It makes the existence of trends one of the most statistically significant anomalies in financial markets. When analyzing the trend following signal further, we find a clear saturation effect for large signals, suggesting that fundamentalist traders do not attempt to resist "weak trends", but step in when their own signal becomes strong enough. Finally, we study the performance of trend following in the recent period. We find no sign of a statistical degradation of long trends, whereas shorter trends have significantly withered.Comment: 17 pages, 9 figures, 9 table

Implementation and utilization of hypofractionation for breast cancer

© 2018 The Authors Purpose: Hypofractionation (HF) of whole breast irradiation has become a standard treatment regimen because randomized trials continue to demonstrate equivalence in survival and local control compared with conventional fractionation. In 2011, the American Society for Radiation Oncology (ASTRO) adopted clinical guidelines on the proper selection of HF. Nevertheless, utilization remains lower than predicted. We evaluate the effects of clinical directives that serve as default treatment decisions and prospective contouring rounds on the implementation of HF in a large, multicenter radiation oncology department. Methods and materials: In 2010, we implemented consensus-driven and evidence-based clinical directives to guide treatment decisions. Five directives were available for adjuvant breast cancer treatment, including conventional fractionation and HF approaches, and were selected on the basis of disease specifics and clinical judgment. In 2012, we instituted prospective contouring rounds wherein the treating physicians presented their directive selection and patient contours for peer-review and consensus opinion. For this study, charts for patients with early stage breast cancer were reviewed. A total of 1043 cases of breast cancer were identified. Patients receiving HF were analyzed on the basis of the ASTRO 2011 guidelines and adherence to our more inclusive clinical directives. Results: For the ASTRO-endorsed group (n = 685), 49% of patients received HF in 2011, and 80% received HF in 2015. For the directives-endorsed group (n = 1042), 47% of patients received HF in 2011, and 73% received HF in 2015. Conclusions: HF is underutilized despite equivalent local control, superior toxicity profile, and noninferior late effects. Our study demonstrates the possibility of achieving high levels of utilization in a large, multisite, outpatient setting. Factors responsible may include default rules established through the development of consensus-based treatment directives, peer review by faculty, and strong financial leadership to implement HF when indicated. To our knowledge, this is the first example of combining both consensus-based treatment directives and prospective contouring rounds in an attempt to change practice patterns

Back to basics: historical option pricing revisited

We reconsider the problem of option pricing using historical probability distributions. We first discuss how the risk-minimisation scheme proposed recently is an adequate starting point under the realistic assumption that price increments are uncorrelated (but not necessarily independent) and of arbitrary probability density. We discuss in particular how, in the Gaussian limit, the Black-Scholes results are recovered, including the fact that the average return of the underlying stock disappears from the price (and the hedging strategy). We compare this theory to real option prices and find these reflect in a surprisingly accurate way the subtle statistical features of the underlying asset fluctuations.Comment: 14 pages, 2 .ps figures. Proceedings, to appear in Proc. Roy. So