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.
Paper finds significant impact of stock market swings on equity risk premium predictability.
In this paper we apply evolutionary optimization techniques to compute optimal rule-based trading strategies based on financial sentiment data. The sentiment data was extracted from the social media service StockTwits to accommodate the level of bullishness or bearishness of the online trading community towards certain…
This article considers a model for alternative processes for securities prices and compares this model with actual return data of several securities. The distributions of returns that appear in the model can be Gaussian as well as non-Gaussian; in particular they may have two peaks. We consider a discrete Markov chain …
Imitative and contrarian behaviors are the two typical opposite attitudes of investors in stock markets. We introduce a simple model to investigate their interplay in a stock market where agents can take only two states, bullish or bearish. Each bullish (bearish) agent polls m "friends'' and changes her opinion to bear…
Behavioral finance has become an increasingly important subfield of finance. However the main parts of behavioral finance, prospect theory included, understand financial markets through individual investment behavior. Behavioral finance thereby ignores any interaction between participants. We introduce a socio-financia…
Hierarchical hidden Markov models predict market trends in financial time series.
We present a simple dynamical model of stock index returns which is grounded on the ability of the Cyclically Adjusted Price Earning (CAPE) valuation ratio devised by Robert Shiller to predict long-horizon performances of the market. More precisely, we discuss a discrete time dynamics in which the return growth depends…
In a recent comment (Johansen A 2003 An alternative view, Quant. Finance 3: C6-C7, cond-mat/0302141), Anders Johansen has criticized our methodology and has questioned several of our results published in [Sornette D and Zhou W-X 2002 The US 2000-2002 market descent: how much longer and deeper? Quant. Finance 2: 468-81,…
A remarkable similarity in the behavior of the US S&P500 index from 1996 to August 2002 and of the Japanese Nikkei index from 1985 to 1992 (11 years shift) is presented, with particular emphasis on the structure of the bearish phases. Extending a previous analysis of Johansen and Sornette [1999, 2000] on the Nikkei ind…
This paper reexamines the profitability of loser, winner and contrarian portfolios in the Chinese stock market using monthly data of all stocks traded on the Shanghai Stock Exchange and Shenzhen Stock Exchange covering the period from January 1997 to December 2012. We find evidence of short-term and long-term contraria…
In this paper, we investigate the cooling-off effect (opposite to the magnet effect) from two aspects. Firstly, from the viewpoint of dynamics, we study the existence of the cooling-off effect by following the dynamical evolution of some financial variables over a period of time before the stock price hits its limit. S…
This paper provides an innovative perspective on the role of gold as a hedge and safe haven. We use a quantile-on-quantile regression approach to capture the dependence structure between gold returns and changes in uncertainty under different gold market conditions, while considering the nuances of uncertainty levels. …
Robust MCVaR portfolio optimization using RKHS for risk management.
Enhances portfolio construction with tailored regime forecasts for individual assets.
Price limit trading rules are adopted in some stock markets (especially emerging markets) trying to cool off traders' short-term trading mania on individual stocks and increase market efficiency. Under such a microstructure, stocks may hit their up-limits and down-limits from time to time. However, the behaviors of pri…
A dynamical model is introduced for the formation of a bullish or bearish trends driving an asset price in a given market. Initially, each agent decides to buy or sell according to its personal opinion, which results from the combination of its own private information, the public information and its own analysis. It th…
Using a method rooted in information theory, we present results that have identified a large set of stocks for which social media can be informative regarding financial volatility. By clustering stocks based on the joint feature sets of social and financial variables, our research provides an important contribution by …
Modeling cryptocurrency volatility and jumps with SVCJ model.
Investors use various asset allocation strategies to meet financial goals.
During a speculative episode the price of an item jumps from an initial level p_1 to a peak level p_2 before more or less returning to level p_1. The ratio p_2/p_1 is referred to as the amplitude A of the peak. This paper shows that for a given market the peak amplitude is a linear function of the logarithm of the pric…
Applicability of the concept of financial log-periodicity is discussed and encouragingly verified for various phases of the world stock markets development in the period 2000-2010. In particular, a speculative forecasting scenario designed in the end of 2004, that properly predicted the world stock market increases in …
Study finds mixed evidence of monthly stock market anomalies in Turkey and US.
In this paper, we develop a theory of market crashes resulting from a deleveraging shock. We consider two representative investors in a market holding different opinions about the public available information. The deleveraging shock forces the high confidence investors to liquidate their risky assets to pay back their …
Building on similarities between earthquakes and extreme financial events, we use a self-organized criticality-generating model to study herding and avalanche dynamics in financial markets. We consider a community of interacting investors, distributed on a small-world network, who bet on the bullish (increasing) or bea…
We present a dynamical model for the price evolution of financial assets. The model is based in a two level structure. In the first stage one finds an agent-based model that describes the present state of the investors' beliefs, perspectives or strategies. The dynamics is inspired by a model for describing predator-pre…
Study shows tweets about COVID-19 can predict stock market performance.
Study models crypto markets using multi-agent reinforcement learning.
The paper improves cryptocurrency price forecasting using deep learning and NLP on financial, blockchain, and social media data.
The study identifies impactful news articles based on liquidity changes, improving asset return prediction.
A new clustering evaluation index based on density estimation.
Study on symmetric operators on non-compact manifolds, focusing on their index modulo 2.
New index formula connects numerical and -theoretic indices.
The paper explores global index formulas for one-dimensional holomorphic foliations.
Explain Arnold's proof of the Morse index theorem using Maslov index.
Paper introduces danceability index as a new bridge index definition.
The p-index improves investment performance for NYSE stocks but not for SSE stocks.
Study Whittle index learning algorithms for restless bandits with constant stepsizes.
A trading system uses LLMs to adapt to volatile crypto markets.
A new index rebalancing strategy reduces large constituent weights without undesirable effects.
We study bounded pseudoconvex domains in complex Euclidean space. We define an index associated to the boundary and show this new index is equivalent to the Diederich-Fornæss index defined in 1977. This connects the Diederich-Fornæss index to boundary conditions and refines the Levi pseudoconvexity. We also prove the $…
Study on symmetric braid index of ribbon knots, deriving bounds and characterizations.
Paper models market dynamics using bull and bear forces.
Study proves bridge and braid indices match for twist positive knots.
Minimal grid diagrams for 15,735 knots with 14 crossings and arc index 14.
Given a proper, cocompact action of a Lie groupoid, we define a higher index pairing between invariant elliptic differential operators and smooth groupoid cohomology classes. We prove a cohomological index formula for this pairing by applying the van Est map and algebraic index theory. Finally we discuss in examples th…
Proves the index of a Möbius band in 4D ball equals 5.
Finite index subgroups of relatively hyperbolic groups have equal index.
Enhanced indexation uses equity and index options for better performance.