2 real negative results, null findings, and replication failures in Economics, Econometrics and Finance · Failed Experiment Report. Search the index →
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Damian Ślusarczyk, Robert Ślepaczuk · 2025 · Journal Of Big Data
We aim to answer whether using forecasted stock returns based on machine learning and time series models in a mean-variance portfolio framework yields better results than relying on historical returns. Nevertheless, the problem of…
View details →Aleksandar Mijatović, Mikhail Urusov · 2011 · arXiv
Modelling stock prices via jump processes is common in financial markets. In practice, to hedge a contingent claim one typically uses the so-called delta-hedging strategy. This strategy stems from the Black--Merton--Scholes model where it perfectly replicates contingent claims. From the theoretical viewpoint, there is no reason for this to hold in models with jumps. However in practice the delta-hedging strategy is widely used and its potential shortcoming in models with jumps is disregarded since such models are typically incomplete and hence most contingent claims are non-attainable. In this
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