Index

Central index for all Concrete research reports

Title	Authors	Year	Tags	Category
Short-Term Volatility Prediction Using Deep CNNs Trained on Order Flow	Mingyu Hao, Artem Lenskiy	2023	Machine learningVolatility forecast	Significant
Mitigating Decentralized Finance Liquidations with Reversible Call Options	Kaihua Qin, Liyi Zhou, Jens Ernstberger, Philipp Jovanovik, Arthur Gervais	2023	DerivativesBalance sheet	Key
Technological Shocks and Stock Market Volatility Over a Century: A GARCH-MIDAS Approach	Afees Salisu, Riza Demirer, Rangan Gupta	2023	Volatility forecast	Significant
Assessing the Credit Risk of Crypto Assets Using Daily Range Volatility Models	Dean Fantazzini	2023	Price forecast	Additive
A network-based strategy of price correlations for optimal cryptocurrency portfolios	Ruixue Jing, Luis Rocha	2023	Balance sheet	Additive
A Multilevel Stochastic Approximation Algorithm for Value-at-Risk and Expected Shortfall Estimation	Stephane Crepey, Noufel Frikha, Azar Louzi	2023	Balance sheet	Additive

Tag legend

• Machine learning Work related to AI/ML methods or techniques (ex. convolutional neural networks).

• Volatility forecasting Work related to implied volatility forecasting (ex. 1-day volatility forecast generation).

• Price forecast Work related to asset price forecasting methods (ex. probability of token death).

• Derivatives Work related to the creation or analysis of derivatives including perpetuals and options (ex. derivation of implied volatility from perpetual pricing).

• Insurance Work related to insurance-related applications/modeling (ex. Cramer Lundberg based models).

• Balance sheet Work related to hedging and internal risk management (ex. value at risk).