Data-driven models & mathematical finance: apposition or opposition?

Thesis

The aftermath of the financial crisis of 2009 as well as the multiple Flash Crashes of the early 2010s resulted in social uproars in the general population and ethical malaises in the scientific community [15, 9, 11, 10] which triggered noticeable changes in Quantitative Finance (QF).

More specifically, QF was instructed to change [16, 17, 18] and become more realistic as opposed to more convenient. The concurrent rise of Big Data (BD) [19] and Data Science (DS) [20] contributed ...

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Authors: Mahdavi Damghani, B

• Type of award: DPhil
• Level of award: Doctoral
• Awarding institution: University of Oxford
• Language: English
• Keywords: Multi-Agents Systems; High Frequency Trading; Generative Adversarial Networks; Clustering; GAN; SMC; Systemic Risk; Sequential Monte Carlo Methods; High Frequency Financial Funnel; Volatility; Stochastic Volatility; SVI; Predator Prey Models; LSTM; Implied Volatility Parametrisation; Trading; Arbitrage Free Volatility Surface; HFFF; HFTE; Cointelation; FRTB; IVP; Agent Based Systems; MTT; Fundamental Review of the Trading Book; Multi-Target Tracking; Deep Learning; Pairs Trading; High Frequency Trading Ecosystem; Portfolio Optimization
• Subjects: Quantitative Finance; Machine learning; Financial Mathematics; Statistics