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.
The study tackles rough noise in high-frequency financial data using fractional Brownian motion.
The issue of giving an explicit description of the flow of information concerning the time of bankruptcy of a company (or a state) arriving on the market is tackled by defining a bridge process starting from zero and conditioned to be equal to zero when the default occurs. This enables to catch some empirical facts on …
The paper analyzes optimal execution strategies for traders with inventory processes influenced by Brownian motion.
Estimates returns for dollar cost averaging using geometric Brownian motion.
Study finds GBM model accurately predicts stock prices on Ghana Stock Exchange.
This paper provides sufficient conditions for the time of bankruptcy (of a company or a state) for being a totally inaccessible stopping time and provides the explicit computation of its compensator in a framework where the flow of market information on the default is modelled explicitly with a Brownian bridge between …
We investigate financial markets under model risk caused by uncertain volatilities. For this purpose we consider a financial market that features volatility uncertainty. To have a mathematical consistent framework we use the notion of G-expectation and its corresponding G-Brownian motion recently introduced by Peng (20…
Lazy, perfectly informed investors trade infrequently due to costs.
We derive a higher-order expansion for rough volatility models.
Developed a machine-checked Itô calculus for Brownian motion.
We study the mean escape time in a market model with stochastic volatility. The process followed by the volatility is the Cox Ingersoll and Ross process which is widely used to model stock price fluctuations. The market model can be considered as a generalization of the Heston model, where the geometric Brownian motion…
New method generates synthetic time series paths with more flexibility.
In this note we find a formula for the supremum distribution of spectrally positive or negative Lévy processes with a broken linear drift. This gives formulas for ruin probabilities in the case when two insurance companies (or two branches of the same company) divide between them both claims and premia in some specifie…
We developed efficient methods to compute gradients for Neural SDEs, improving training speed and accuracy.
A machine-checked Itô calculus for Brownian motion on
This article is devoted to the maximisation of HARA utilities of L{é}vy switching process on finite time interval via dual method. We give the description of all f-divergence minimal martingale measures in initially enlarged filtration, the expression of their Radon-Nikodym densities involving Hellinger and Kulback-Lei…
We study the set of marginal utility-based prices of a financial derivative in the case where the investor has a non-replicable random endowment. We provide an example showing that even in the simplest of settings - such as Samuelson's geometric Brownian motion model - the interval of marginal utility-based prices can …
An efficient conditioning technique, the so-called Brownian Bridge simulation, has previously been applied to eliminate pricing bias that arises in applications of the standard discrete-time Monte Carlo method to evaluate options written on the continuous-time extrema of an underlying asset. It is based on the simple a…
Optimal strategy for liquidating portfolios under discrete time intervals.
New method forecasts stock option prices accurately.
In an incomplete continuous-time securities market with uncertainty generated by Brownian motions, we derive closed-form solutions for the equilibrium interest rate and market price of risk processes. The economy has a finite number of heterogeneous exponential utility investors, who receive partially unspanned income …
Option contracts are a type of financial derivative that allow investors to hedge risk and speculate on the variation of an asset's future market price. In short, an option has a particular payout that is based on the market price for an asset on a given date in the future. In 1973, Black and Scholes proposed a valuati…
This paper proposes a novel model of financial prices where: (i) prices are discrete; (ii) prices change in continuous time; (iii) a high proportion of price changes are reversed in a fraction of a second. Our model is analytically tractable and directly formulated in terms of the calendar time and price impact curve. …
We develop a second-order model for limit order books in a single scaling regime.
Sig-DEG speeds up diffusion models by distilling them into faster approximations.
Researchers created a continuous Markov martingale that mimics Brownian motion but lacks the strong Markov property.
Study on determinants of unitary Brownian motion and their asymptotic laws.
We model continuous-time information flows generated by a number of information sources that switch on and off at random times. By modulating a multi-dimensional Lévy random bridge over a random point field, our framework relates the discovery of relevant new information sources to jumps in conditional expectation mart…
Study refracted skew Brownian motion, find densities and asymptotics.
We introduce the notion of strip complex. A strip complex is a special type of complex obtained by gluing "strips" along their natural boundaries according to a given graph structure. The most familiar example is the one dimensional complex classically associated with a graph, in which case the strips are simply copies…
New model uses generalized fractional Brownian motion for stock price prediction.
Study Brownian loops on hyperbolic surfaces, linking to Selberg zeta function.
Develops a new class of forward performance processes for investment pools.
A simple analytically solvable model exhibiting a 1/f spectrum in an arbitrarily wide frequency range was recently proposed by Kaulakys and Meskauskas (KM). Signals consisting of a sequence of pulses show that inherent origin of the 1/f noise is Brownian fluctuations of the average intervent time between subsequent pul…
Paper defines multi-dimensional fractional Brownian motion under volatility uncertainty.
Proves CLT for Brownian paths on pinched negative curvature manifolds.
Geodesic walks converge to Brownian motion on Finsler manifolds.
We study a parsimonious but non-trivial model of the latent limit order book where orders get placed with a fixed displacement from a center price process, i.e.\ some process in-between best bid and best ask, and get executed whenever this center price reaches their level. This mechanism corresponds to the fundamental …
Universal approximation for stochastic processes using Brownian motion.
New SDEs use -Brownian motion, extending mean-field models.
The paper connects Riemann surface length spectra to Brownian loop measures.
This paper derives the non-analytic solution to the Fokker-Planck equation of fractional Brownian motion using the method of Laplace transform. Sequentially, by considering the fundamental solution of the non-analytic solution, this paper obtains the transition probability density function of the random variable that i…
Replacing Black-Scholes' driving process, Brownian motion, with fractional Brownian motion allows for incorporation of a past dependency of stock prices but faces a few major downfalls, including the occurrence of arbitrage when implemented in the financial market. We present the development, testing, and implementatio…
The discrete sum of geometric Brownian motions plays an important role in modeling stochastic annuities in insurance. It also plays a pivotal role in the pricing of Asian options in mathematical finance. In this paper, we study the probability distributions of the infinite sum of geometric Brownian motions, the sum of …
The paper studies the question of whether the classical mirror and synchronous couplings of two Brownian motions minimise and maximise, respectively, the coupling time of the corresponding geometric Brownian motions. We establish a characterisation of the optimality of the two couplings over any finite time horizon and…
The book explores stochastic areas and heat kernels on manifolds.
Modeling financial markets with memory using fractional calculus and Brownian motion.
Estimates spectral gap for Brownian motion on sticky-reflecting domains.