Viewed as a promising application of neural networks, financial time series forecasting was studied in the literature of neural nets and machine learning. The recently developed Temporal Factor Analysis (TFA) model mainly targeted at further study of the Arbitrage Pricing Theory (APT) is found to have potential application in the prediction of stock price and index. In this paper, we aim to ill...

The arbitrage pricing theory (APT) attributes differences in expected returns to exposure systematic risk factors, which are typically assumed be strong. In this paper we consider two aspects of the APT. Firstly relate factors statistical factor model a theoretically consistent set defined by their conditional covariation with stochastic discount (mt) used price securities within inter-temporal...

This paper provides a short introduction into the mathematical foundations of the theory of valuing derivative securities. We discuss the mathematical setting of option price theory and derive the relationship between no-arbitrage and mar-tingales. We provide examples how this theory can be applied to equity and foreign-exchange derivatives. We also explain how the theory can be applied to inte...

We introduce a first theory of price impact in the presence an interest rate term structure. explain how one can formulate instantaneous and transient on zero-coupon bonds with different maturities, including cross that is endogenous to connect introduced classic no-arbitrage for markets, showing be embedded pricing measure no arbitrage preserved. extend setup coupon-bearing further show implem...