Behind its principals, GlimmAnalytics is supported by a team of approximately one dozen scientists

Author: Young Shin Kim, August 13, 2020

Portfolio Optimization the Dispersion Risk and the Asymmetric Tail Risk

In this paper, we propose a market model with returns assumed to follow a multivariate normal tempered stable distribution defined by a mixture of the multivariate normal distribution and the tempered stable subordinator.

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Author: Abigail Hsu, Ryan Kaufman, Hyunkyung Lim and James Glimm, August 10, 2020

Glimm Analytics Overnight Risk Model: A Unique Capability

We present a novel risk measurement model capable of capturing overnight risk i.e. the risk encountered between the closing time of the previous day and the opening time of the next day.

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