arXiv research

CFM fee income is insufficient to hedge market risk, study finds.

DiffeoCFM efficiently generates realistic brain connectivity matrices using pullback metrics.

We propose the convex factorization machine (CFM), which is a convex variant of the widely used Factorization Machines (FMs). Specifically, we employ a linear+quadratic model and regularize the linear term with the $\ell_2$-regularizer and the quadratic term with the trace norm regularizer. Then, we formulate the CFM o…

Improved flow matching using Gaussian processes for better sample quality.

A new method reformulates Optimal Transport Conditional Flow Matching using proximal operators.

Interpretability has always been a major concern for fuzzy rule-based classifiers. The usage of human-readable models allows them to explain the reasoning behind their predictions and decisions. However, when it comes to Big Data classification problems, fuzzy rule-based classifiers have not been able to maintain the g…

Generative model disentangles dark matter halo properties.

Study finds cryptoasset markets inefficient due to capital reallocation frictions.

Study minimizes market inefficiency in systemic economies.

We study the effects of introducing information inefficiency in a model for a random linear economy with a representative consumer. This is done by considering statistical, instead of classical, economic general equilibria. Employing two different approaches we show that inefficiency increases the consumption set of a …

Study reveals inefficiencies in EU carbon trading market.

Social learning can make financial markets inefficient, but individual learning can fix this.

Hamiltonian Monte Carlo on ReLU networks is inefficient due to large local error.

Investors trade based on shifting prices, leading to market inefficiencies.

Inefficient markets allow investors to consistently outperform the market. To demonstrate that inefficiencies exist in sports betting markets, we created a betting algorithm that generates above market returns for the NFL, NBA, NCAAF, NCAAB, and WNBA betting markets. To formulate our betting strategy, we collected and …

I summarize the recent work on market (in)efficiency, highlighting key elements why financial markets will never be made efficient. My approach is not by adding more empirical evidence, but giving plausible reasons as to where inefficiency arises and why it's not rational to arbitrage it away.

TSFlow uses Gaussian processes to match priors for better time series forecasting.

The efficient market hypothesis has been considered one of the most controversial arguments in finance, with the academia divided between who claims the impossibility of beating the market and who believes that it is possible to gain over the average profits. If the hypothesis holds, it means, as suggested by Burton Ma…

Estimates self- and cross-impact concavity and decay patterns in financial markets.

CT-OT Flow estimates continuous-time dynamics from discrete snapshots.

We present some indications of inefficiency of the Brazilian stock market based on the existence of strong long-time cross-correlations with foreign markets and indices. Our results show a strong dependence on foreign markets indices as the S\&P 500 and CAC 40, but not to the Shanghai SSE 180, indicating an intricate i…

Market inefficiencies persist in DEXes, especially during high volatility.

In this paper we examine inefficiencies and information disparity in the Japanese stock market. By carefully analysing information publicly available on the internet, an `outsider' to conventional statistical arbitrage strategies--which are based on market microstructure, company releases, or analyst reports--can never…

We discuss the stationary states of a model economy in which $N$ heterogeneous adaptive consumers purchase commodity bundles repeatedly from $P$ sellers. The system undergoes a transition from an inefficient to an efficient state as the number of consumers increases. In the latter phase, however, price fluctuations may…

Training the deep convolutional neural network for computer vision problems is slow and inefficient, especially when it is large and distributed across multiple devices. The inefficiency is caused by the backpropagation algorithm's forward locking, backward locking, and update locking problems. Existing solutions for a…

Detecting adversarial examples is as hard as classifying them.

Study measures irreversibility in crypto trends using Kullback-Leibler divergence.

p-index approach shows efficient-contrarian strategy outperforms others in low-sentiment periods

Study analyzes EU ETS carbon market dynamics, revealing inefficiencies and anomalies.

This paper examines Bitcoin's price predictability, finding inefficiencies under certain conditions.

We introduce a stochastic price model where, together with a random component, a moving average of logarithmic prices contributes to the price formation. Our model is tested against financial datasets, showing an extremely good agreement with them. It suggests how to construct trading strategies which imply a capital g…

Myopic investors make suboptimal choices that benefit others, leading to market inefficiencies.

This work presents an asset pricing model that under rational expectation equilibrium perspective shows how, depending on risk aversion and noise volatility, a risky-asset has one equilibrium price that differs in term of efficiency: an informational efficient one (similar to Campbell and Kyle (1993)), and another one …

Study confirms mispricing in sportsbooks but finds data issues affect results.

Naive investors make riskier choices than optimal strategies in continuous-time finance.

In this paper, we propose a minimal model beyond geometric Brownian motion that aims to describe price actions with market inefficiency. From simple financial theory considerations, we arrive at a simple two-variable hidden Markovian time series model, with one of the variable entirely unobserved. Then, we analyze the …

The optimal (`equilibrium') macroscopic properties of an economy with $N$ industries endowed with different technologies, $P$ commodities and one consumer are derived in the limit $N\to\infty$ with $n=N/P$ fixed using the replica method. When technologies are strictly inefficient, a phase transition occurs upon increas…

New method improves efficiency analysis with big data.

Evolution Strategies (ES) emerged as a scalable alternative to popular Reinforcement Learning (RL) techniques, providing an almost perfect speedup when distributed across hundreds of CPU cores thanks to a reduced communication overhead. Despite providing large improvements in wall-clock time, ES is data inefficient whe…

Study confirms Indian stock market is weak form inefficient.

We study the behavior of simple models for financial markets with widely spread frequency either in the trading activity of agents or in the occurrence of basic events. The generic picture of a phase transition between information efficient and inefficient markets still persists even when agents trade on widely spread …

New asymptotic e-values improve inference by eliminating data-dependent scaling inefficiency.

The Moscow Stock Exchange was inefficient for most of 2012-2021.

New method improves combinatorial optimization by overcoming inefficient sampling.

The focal point of this paper is the issue of "drawdown" which arises in recursive betting scenarios and related applications in the stock market. Roughly speaking, drawdown is understood to mean drops in wealth over time from peaks to subsequent lows. Motivated by the fact that this issue is of paramount concern to co…

New method reduces CVA-VaR computation complexity.

Paper proposes DAC-ML, a cognitive architecture that learns quickly from few episodes.

Using the most comprehensive source of commercially available data on the US National Market System, we analyze all quotes and trades associated with Dow 30 stocks in 2016 from the vantage point of a single and fixed frame of reference. We find that inefficiencies created in part by the fragmentation of the equity mark…