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.
Caratheodory's axiom limits arbitrage in resource-limited systems.
Modeling stochastic arbitrage bubbles in Black-Scholes framework.
New algorithm finds more arbitrage opportunities in DEXs.
We formalize how markets aggregate via arbitrage and quantify liquidity loss.
A blockchain replaces central counterparties with time-consuming consensus protocols to record the transfer of ownership. This settlement latency slows cross-exchange trading, exposing arbitrageurs to price risk. Off-chain settlement, instead, exposes arbitrageurs to costly default risk. We show with Bitcoin network an…
New method finds arbitrage opportunities in fluctuating asset bands.
Study calculates arbitrage gains between two markets with limited liquidity.
We investigate triangular arbitrage within the spot foreign exchange market using high-frequency executable prices. We show that triangular arbitrage opportunities do exist, but that most have short durations and small magnitudes. We find intra-day variations in the number and length of arbitrage opportunities, with la…
The purpose of this work is to explore the role that random arbitrage opportunities play in pricing financial derivatives. We use a non-equilibrium model to set up a stochastic portfolio, and for the random arbitrage return, we choose a stationary ergodic random process rapidly varying in time. We exploit the fact that…
In this work, we identify the most general measure of arbitrage for any market model governed by Itô processes. We show that our arbitrage measure is invariant under changes of numéraire and equivalent probability. Moreover, such measure has a geometrical interpretation as a gauge connection. The connection has zero cu…
Study examines how arbitrage between ETF and futures affects market liquidity during crashes.
Paper compares ETF and futures carry rates in segmented Bitcoin markets.
This study optimizes currency arbitrage using quantum computing methods.
We show that coherent risk measures are ineffective in curbing the behaviour of investors with limited liability or excessive tail-risk seeking behaviour if the market admits statistical arbitrage opportunities which we term -arbitrage for a risk measure . We show how to determine analytically whether such -ar…
This paper studies the optimal investment problem with random endowment in an inventory-based price impact model with competitive market makers. Our goal is to analyze how price impact affects optimal policies, as well as both pricing rules and demand schedules for contingent claims. For exponential market makers prefe…
The paper analyzes arbitrage opportunities in a large investor market with common stock noises.
We introduce a regularization approach to arbitrage-free factor-model selection. The considered model selection problem seeks to learn the closest arbitrage-free HJM-type model to any prespecified factor-model. An asymptotic solution to this, a priori computationally intractable, problem is represented as the limit of …
We extend the "No-dynamic-arbitrage and market impact"-framework of Jim Gatheral [Quantitative Finance, 10(7): 749-759 (2010)] to the multi-dimensional case where trading in one asset has a cross-impact on the price of other assets. From the condition of absence of dynamical arbitrage we derive theoretical limits for t…
The paper develops general, discrete, non-probabilistic market models and minmax price bounds leading to price intervals for European options. The approach provides the trajectory based analogue of martingale-like properties as well as a generalization that allows a limited notion of arbitrage in the market while still…
Microstructure of market dynamics is studied through analysis of tick price data. Linear trend is introduced as a tool for such analysis. Trend arbitrage inequality is developed and tested. The inequality sets limiting relationship between trend, bid-ask spread, market reaction and average update frequency of price inf…
Constant price impact functions, much used in financial literature, are shown to give rise to paradoxical outcomes since they do not allow for proper predictability removal: for instance the exploitation of a single large trade whose size and time of execution are known in advance to some insider leaves the arbitrage o…
This paper analyzes arbitrage opportunities in Polymarket's NBA markets.
DCNN improves volatility smile and skewness calibration without arbitrage constraints.
Modeling price dynamics in AMMs with fees using geometric Brownian motion.
Quant strategies lost during market selloff.
A consistency criterion for price impact functions in limit order markets is proposed that prohibits chain arbitrage exploitation. Both the bid-ask spread and the feedback of sequential market orders of the same kind onto both sides of the order book are essential to ensure consistency at the smallest time scale. All t…
This paper introduces strategies to maximize arbitrage profits in decentralized exchanges.
Study upper hedging prices for contingent claims in models with various types of arbitrage.
No universal trading strategy exists due to mathematical impossibilities.
The paper explores arbitrage in financial markets under uncertainty using Wasserstein distance.
The paper investigates cyclic arbitrage opportunities in decentralized exchanges.
This note develops an arbitrage theory for a discrete-time market model without the assumption of the existence of a numéraire asset. Fundamental theorems of asset pricing are stated and proven in this context. The distinction between the notions of investment-consumption arbitrage and pure-investment arbitrage provide…
We construct and study market models admitting optimal arbitrage. We say that a model admits optimal arbitrage if it is possible, in a zero-interest rate setting, starting with an initial wealth of 1 and using only positive portfolios, to superreplicate a constant c>1. The optimal arbitrage strategy is the strategy for…
We generalize the Arbitrage Pricing Theory (APT) to include the contribution of virtual arbitrage opportunities. We model the arbitrage return by a stochastic process. The latter is incorporated in the APT framework to calculate the correction to the APT due to the virtual arbitrage opportunities. The resulting relatio…
New formula calculates loss from arbitrage in blockchain liquidity pools.
No-arbitrage constraints on implied variance slope are weak, leading to almost guaranteed arbitrage in many cases.
In this paper we extend the theory of option pricing to take into account and explain the empirical evidence for asset prices such as non-Gaussian returns, long-range dependence, volatility clustering, non-Gaussian copula dependence, as well as theoretical issues such as asymmetric information and the presence of limit…
We have embedded the classical theory of stochastic finance into a differential geometric framework called Geometric Arbitrage Theory and show that it is possible to: --Write arbitrage as curvature of a principal fibre bundle. --Parameterize arbitrage strategies by its holonomy. --Give the Fundamental Theorem of Asset …
We apply Geometric Arbitrage Theory to obtain results in mathematical finance for credit markets, which do not need stochastic differential geometry in their formulation. We obtain closed form equations involving default intensities and loss given defaults characterizing the no-free-lunch-with-vanishing-risk condition …
New method finds better arbitrage opportunities in AMMs.
In this work a relation between a measure of short-term arbitrage in the market and the excess growth of portfolios as a notion of long-term arbitrage is established. The former originates from "Geometric Arbitrage Theory" and the latter from "Stochastic Portfolio Theory". Both aim to describe non-equilibrium effects i…
We explore the role that random arbitrage opportunities play in hedging financial derivatives. We extend the asymptotic pricing theory presented by Fedotov and Panayides [Stochastic arbitrage return and its implication for option pricing, Physica A 345 (2005), 207-217] for the case of hedging a derivative when arbitrag…
Deep learning models reconstruct volatility surfaces from noisy data under no-arbitrage constraints.
In frictionless financial markets, no-arbitrage is a local property in time. This means that a discrete time model is arbitrage-free if and only if there does not exist a one-period-arbitrage. With capital gains taxes, this equivalence fails. For a model with a linear tax and one non-shortable risky stock, we introduce…
We obtain a deterministic characterisation of the \emph{no free lunch with vanishing risk}, the \emph{no generalised arbitrage} and the \emph{no relative arbitrage} conditions in the one-dimensional diffusion setting and examine how these notions of no-arbitrage relate to each other.
A stock market is called diverse if no stock can dominate the market in terms of relative capitalization. On one hand, this natural property leads to arbitrage in diffusion models under mild assumptions. On the other hand, it is also easy to construct diffusion models which are both diverse and free of arbitrage. Can o…
Reflected geometric Brownian motion models are not arbitrage-free.
Develops a deep learning approach for statistical arbitrage.