I. N. Shnurnikov | Searcharxiv

arXiv2024

Turnover of investment portfolio via covariance matrix of returns

An investment portfolio consists of $n$ algorithmic trading strategies, which generate vectors of positions in trading assets. Sign opposite trades (buy/sell) cross each other as strategies are combined in a portfolio. Then portfolio turnover becomes a non linear function of strategies turnover. It rises a problem of effective (quick and precise) portfolio turnover estimation. Kakushadze and Liew (2014) shows how to estimate turnover via covariance matrix of returns. We build a mathematical model for such estimations; prove a theorem which gives a necessary condition for model applicability; suggest new turnover estimations; check numerically the preciseness of turnover estimations for algorithmic strategies on USA equity market.

q-fin.PM↗

arXiv2012

On the number of connected components in complements to arrangements of submanifolds

We consider arrangements of n connected codimensional one submanifolds in closed d-dimensional manifold M. Let f be the number of connected components of the complement in M to the union of submanifolds. We prove the sharp lower bound for f via n and homology group H_{d-1}(M). The sets of all possible f-values for given n are studied for hyperplane arrangements in real projective spaces and for subtori arrangements in d-dimensional tori.

math.GT↗