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Convex Analysisの二,三の進展について

In this book, Andrew Harvey sets out to provide a unified and comprehensive theory of structural time series models. Unlike the traditional ARIMA models, structural time series models consist explicitly of unobserved components, such as trends and seasonals, which have a direct interpretation. As a result the model selection methodology associated with structural models is much closer to econometric methodology. The link with econometrics is made even closer by the natural way in which the models can be extended to include explanatory variables and to cope with multivariate time series. From the technical point of view, state space models and the Kalman filter play a key role in the statistical treatment of structural time series models. The book includes a detailed treatment of the Kalman filter. This technique was originally developed in control engineering, but is becoming increasingly important in fields such as economics and operations research. This book is concerned primarily with modelling economic and social time series, and with addressing the special problems which the treatment of such series poses. The properties of the models and the methodological techniques used to select them are illustrated with various applications. These range from the modellling of trends and cycles in US macroeconomic time series to to an evaluation of the effects of seat belt legislation in the UK.

Forecasting, Structural Time Series Models and the Kalman Filter

Preface Prologue: The Exponential Function Chapter 1: Abstract Integration Set-theoretic notations and terminology The concept of measurability Simple functions Elementary properties of measures Arithmetic in [0, ] Integration of positive functions Integration of complex functions The role played by sets of measure zero Exercises Chapter 2: Positive Borel Measures Vector spaces Topological preliminaries The Riesz representation theorem Regularity properties of Borel measures Lebesgue measure Continuity properties of measurable functions Exercises Chapter 3: Lp-Spaces Convex functions and inequalities The Lp-spaces Approximation by continuous functions Exercises Chapter 4: Elementary Hilbert Space Theory Inner products and linear functionals Orthonormal sets Trigonometric series Exercises Chapter 5: Examples of Banach Space Techniques Banach spaces Consequences of Baire's theorem Fourier series of continuous functions Fourier coefficients of L1-functions The Hahn-Banach theorem An abstract approach to the Poisson integral Exercises Chapter 6: Complex Measures Total variation Absolute continuity Consequences of the Radon-Nikodym theorem Bounded linear functionals on Lp The Riesz representation theorem Exercises Chapter 7: Differentiation Derivatives of measures The fundamental theorem of Calculus Differentiable transformations Exercises Chapter 8: Integration on Product Spaces Measurability on cartesian products Product measures The Fubini theorem Completion of product measures Convolutions Distribution functions Exercises Chapter 9: Fourier Transforms Formal properties The inversion theorem The Plancherel theorem The Banach algebra L1 Exercises Chapter 10: Elementary Properties of Holomorphic Functions Complex differentiation Integration over paths The local Cauchy theorem The power series representation The open mapping theorem The global Cauchy theorem The calculus of residues Exercises Chapter 11: Harmonic Functions The Cauchy-Riemann equations The Poisson integral The mean value property Boundary behavior of Poisson integrals Representation theorems Exercises Chapter 12: The Maximum Modulus Principle Introduction The Schwarz lemma The Phragmen-Lindelof method An interpolation theorem A converse of the maximum modulus theorem Exercises Chapter 13: Approximation by Rational Functions Preparation Runge's theorem The Mittag-Leffler theorem Simply connected regions Exercises Chapter 14: Conformal Mapping Preservation of angles Linear fractional transformations Normal families The Riemann mapping theorem The class L Continuity at the boundary Conformal mapping of an annulus Exercises Chapter 15: Zeros of Holomorphic Functions Infinite Products The Weierstrass factorization theorem An interpolation problem Jensen's formula Blaschke products The Muntz-Szas theorem Exercises Chapter 16: Analytic Continuation Regular points and singular points Continuation along curves The monodromy theorem Construction of a modular function The Picard theorem Exercises Chapter 17: Hp-Spaces Subharmonic functions The spaces Hp and N The theorem of F. and M. Riesz Factorization theorems The shift operator Conjugate functions Exercises Chapter 18: Elementary Theory of Banach Algebras Introduction The invertible elements Ideals and homomorphisms Applications Exercises Chapter 19: Holomorphic Fourier Transforms Introduction Two theorems of Paley and Wiener Quasi-analytic classes The Denjoy-Carleman theorem Exercises Chapter 20: Uniform Approximation by Polynomials Introduction Some lemmas Mergelyan's theorem Exercises Appendix: Hausdorff's Maximality Theorem Notes and Comments Bibliography List of Special Symbols Index

Real and Complex Analysis. By W. Rudin. Pp. 412. 84s. 1966. (McGraw-Hill, New York.)

General Topology-I

The asymptotic behaviour of (Yn, n e N) is of fundamental importance in probability theory. Indeed, if the Xj have common mean fi and variance a, then by taking each an = n/u and b„ = n a, the celebrated Central Limit Theorem tells us that (Yn) converges in distribution to a standard normal. The class of random variables which appear as limits in distribution of (Yn) for more general (an) and (b„) are called the stable random variables and they have a number of elegant properties, such as the preservation of their distribution functions under convolution. A stochastic process is said to be stable if all its finite-dimensional distributions are themselves stable and it is the systematic study of such processes which is the aim of the present volume.

Stable non-Gaussian random processes , by G. Samorodnitsky and M. S. Taqqu. Pp. 632. £49.50. 1994. ISBN 0-412-05171-0 (Chapman and Hall).

Using a tractable extension of the model of Leland (1985), we study how a delta‐hedging strategy can realistically be implemented using market and limit orders in a centralized, automated market‐making desk that integrates trading and liquidity provision for both options and their underlyings. In the continuous‐time limit, the optimal limit‐order exposure can be computed explicitly by a pointwise maximization. It is determined by the relative magnitudes of adverse selection, bid–ask spreads, and volatilities. The corresponding option price—from which the option can be replicated using market and limit orders—is characterized via a nonlinear PDE. Our results highlight the benefit of tactical liquidity provision for contrarian trading strategies, even for a trading desk that is not a competitive market maker. More generally, the paper also showcases how reduced‐form models are competitive with “brute force” numerical approaches to market microstructure. Both the estimation of microstructure parameters and the simulation of the optimal trading strategy are made concrete and reconciled with real‐life high frequency data.

https://onlinelibrary.wiley.com/doi/pdfdirect/10.1111/mafi.12395

A Leland model for delta hedging in central risk books

We show that wealth processes in the block-shaped order book model of Obizhaeva/Wang converge to their counterparts in the reduced-form model proposed by Almgren/Chriss, as the resilience of the order book tends to infinity. As an application of this limit theorem, we explain how to reduce portfolio choice in highly-resilient Obizhaeva/Wang models to the corresponding problem in an Almgren/Chriss setup with small quadratic trading costs.

High-Resilience Limits of Block-Shaped Order Books

A small investor provides liquidity at the best bid and ask prices of a limit order market. For small spreads and frequent orders of other market participants, we explicitly determine the investor's optimal policy and welfare. In doing so, we allow for general dynamics of the mid price, the spread, and the order flow, as well as for arbitrary preferences of the liquidity provider under consideration.

Optimal Liquidity Provision

Using elementary arguments, we show how to derive $\mathbf{L}_p$-error bounds for the approximation of frictionless wealth process in markets with proportional transaction costs. For utilities with bounded risk aversion, these estimates yield lower bounds for the frictional value function, which pave the way for its asymptotic analysis using stability results for viscosity solutions. Using tools from Malliavin calculus, we also derive simple sufficient conditions for the regularity of frictionless optimal trading strategies, the second main ingredient for the asymptotic analysis of small transaction costs.

Simple Bounds for Utility Maximization with Small Transaction Costs

/pdf/portfolio-optimization-with-transaction-costs-2mph2ylfb5.pdf

Portfolio optimization with transaction costs

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