On-device research index

arXiv research

A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.

168,657 papers · 148 categories

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← all fields·7 papers on “factor models” in Quant Finance · 1 month

Any Axes Are Allowed: A Characteristic-Axis Integral Diagnosis of Factor Modelsq-fin.GN

The paper diagnoses factor-model pricing errors using characteristic axes and bridge-alpha curves.

problem Tackles systematic sign reversals and overcorrections in factor-model pricing errors.

method Extends cap-axis integral diagnostic to characteristic axes, measures pricing errors as bridge-alpha curves, and uses a predetermined characteristic order to generate zero-curve restrictions.

result Axis-level pricing errors are nearly orthogonal to maximum-Sharpe gains, showing significant sign reversals and overcorrections.

factor models pricing errors characteristic axes bridge-alpha curves sign reversals

2026-07-06abs ↗pdf ↗

Any Axes Are Allowed: A Characteristic-Axis Integral Diagnosis of Factor Modelsq-fin.GN

The paper diagnoses factor models using characteristic axes and zero-curve restrictions.

problem Tackles systematic sign reversals and overcorrections in factor model pricing errors.

method Extends cap-axis integral diagnostic to general characteristic axes, measuring pricing errors as bridge-alpha curves.

result Axis-level pricing errors are nearly orthogonal to maximum-Sharpe gains, showing systematic sign reversals and overcorrections.

factor models characteristic axes zero-curve restrictions pricing errors sign reversals

2026-07-06abs ↗pdf ↗

Any Axes Are Allowed: A Characteristic-Axis Integral Diagnosis of Factor Modelsq-fin.GN

This paper diagnoses factor-model pricing errors using a new method.

problem Measuring pricing errors in factor models with general characteristic axes.

method Developed a method to measure factor-model pricing errors as bridge-alpha curves, using a predetermined characteristic order and prefix portfolios.

result Adding a counterpart factor flips the curve's sign on every axis, but only HML and CMA overcorrect enough to be rejected.

factor models pricing errors characteristic axes integral diagnosis CRSP data

2026-07-06abs ↗pdf ↗

A Cap-Axis Integral Diagnostic of Factor Modelsq-fin.GN

Proposes a diagnostic method to evaluate factor models using cap-axis integrals.

problem Improving factor model evaluation in low-dimensional spaces.

method Lifts pricing errors into a bridge-alpha curve along the market-capitalization rank axis.

result The cap-axis norm is distinct from Sharpe gain and size exposure.

factor models cap-axis integral pricing errors market-capitalization rank zero-alpha violations

2026-07-02abs ↗pdf ↗

A Cap-Axis Integral Diagnostic of Factor Modelsq-fin.GN

Proposes a diagnostic method to evaluate factor models using cap-axis integrals.

problem Improving factor model evaluation for low-dimensional models.

method Lifts pricing errors into a bridge-alpha curve along the market-capitalization rank axis.

result The cap-axis norm is distinct from Sharpe gain and size exposure.

factor models cap-axis integral pricing errors market-capitalization rank zero-alpha violations

2026-07-02abs ↗pdf ↗

Anatomy of the Market: A Body-Tail Test of Factor Modelsq-fin.GN

Study decomposes market portfolio into body and tail legs, revealing systematic differences.

problem Understanding the relationship between body and tail components in market portfolios.

method Decomposes CRSP market portfolio into body and tail legs, analyzes their recombination identity.

result Recombination identity holds for all models but not for all, indicating systematic differences.

market portfolio body-tail decomposition recombination identity Sharpe ratio factor models

2026-06-22abs ↗pdf ↗

Anatomy of the Market: A Body-Tail Test of Factor Modelsq-fin.GN

Tests factor models by decomposing market into body and tail legs, revealing inconsistent results.

problem Inconsistency between factor models and market behavior.

method Decomposes market into body and tail legs, testing factor models at daily and monthly frequencies.

result q5 model shows inconsistent results, with negative body and positive tail alphas at all split ratios.

factor models market decomposition inconsistency body-tail test Sharpe ratio

2026-06-22abs ↗pdf ↗