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.
This thesis applies RL to market making in China's commodity market.
This paper measures financial market resilience in China and identifies key uncertainties.
Study reveals dynamic linkage between Peanut and Soybean Oil futures markets.
Recent increases in basic food prices are severely impacting vulnerable populations worldwide. Proposed causes such as shortages of grain due to adverse weather, increasing meat consumption in China and India, conversion of corn to ethanol in the US, and investor speculation on commodity markets lead to widely differin…
The paper analyzes the crash of stock and commodity markets during COVID-19 using Topological Data Analysis.
We study here numerically the behavior of an ideal gas like model of markets having only one non-consumable commodity. We investigate the behavior of the steady-state distributions of money, commodity and total wealth, as the dynamics of trading or exchange of money and commodity proceeds, with local (in time) fluctuat…
We present a stochastic-local volatility model for derivative contracts on commodity futures able to describe forward-curve and smile dynamics with a fast calibration to liquid market quotes. A parsimonious parametrization is introduced to deal with the limited number of options quoted in the market. Cleared commodity …
The paper develops a new model for rough volatility in commodity markets.
Since 2002 when China first introduced QFII (Qualified Foreign Institutional Investors) system, QFII has been developing in China for 14 years, during when RQFII, Shanghai-Hongkong Stock Connect Program, Shanghai-London Stock Connect Program furthur broadened the avenue for foreign capital to invest in Chinese Security…
Sparse portfolio strategy from mutual funds' favorite stocks in China A share market.
This paper examines how the U.S.--China trade war affects stock markets, finding evidence of financial contagion and changes in risk channels.
Study reveals holiday effect on China's time-honored brands, especially alcoholic beverages.
We have studied here the self-organising features of the dynamics of a model market, where the agents `trade' for a single commodity with their money. The model market consists of fixed numbers of economic agents, money supply and commodity. We demonstrate that the model, apart from showing a self-organising behaviour,…
Study shows how China's stock market reflects economic demand changes during COVID-19.
Generic model for commodity derivatives pricing.
In this paper we analyzed dependencies in commodity markets investigating correlations of future contracts for commodities over the period 1998.09.01 - 2007.12.14. We constructed a minimal spanning tree based on the correlation matrix. The tree provides evidence for sector clusterization of investigated contracts. We a…
Trend following in cryptocurrencies yields high returns, similar to commodities.
Study shows COVID-19 increases stock market crash risk in China.
We consider a market model that consists of financial investors and producers of a commodity. Producers optionally store some production for future sale and go short on forward contracts to hedge the uncertainty of the future commodity price. Financial investors take positions in these contracts in order to diversify t…
Generative models improve commodity hedging using deep learning.
This study examines local co-movements in energy, agriculture, and metal markets using copulas.
A new HOM model improves forecasting of Indian base metal prices.
Paper uses Ricci curvature to measure and forecast China's stock market stability.
This paper compares two stock factor models in China's A-share market.
The MAXFLAT low-pass filter improves factor adjustment for better portfolio performance in China's stock market.
Recent works have shown that social media platforms are able to influence the trends of stock price movements. However, existing works have majorly focused on the U.S. stock market and lacked attention to certain emerging countries such as China, where retail investors dominate the market. In this regard, as retail inv…
Hierarchical graph learning for calendar spread strategies in commodity futures markets
Investor-driven information diffusion affects excess comovement in China and the U.S. markets.
Study strategic competition in commodity markets using impulse-switching controls.
The study finds solar terms significantly impact China's stock market returns and volatility.
The paper models natural gas futures prices and volatility, using Monte Carlo and reinforcement learning.
Price fluctuations of commodities like cotton and wheat are thought to display probability distributions of returns that follow a Lévy stable distribution. Recent analysis of stocks and foreign exchange markets show that the probability distributions are not Lévy stable, a plausible result since commodity markets have …
In this paper we investigate the adaptive market efficiency of the agricultural commodity futures market, using a sample of eight futures contracts. Using a battery of nonlinear tests, we uncover the nonlinear serial dependence in the returns series. We run the Hinich portmanteau bicorrelation test to uncover the momen…
In this model study of the commodity market, we present some evidence of competition of commodities for the status of money in the regime of parameters, where emergence of money is possible. The competition reveals itself as a rivalry of a few (typically two) dominant commodities, which take the status of money in turn…
There are more than eight hundred interest rates published in China bond market every day. Which are the benchmark interest rates that have broad influences on most interest rates is a major concern for economists. In this paper, multi-variable Granger causality test is developed and applied to construct a directed net…
We document a well-developed log-periodic power-law antibubble in China's stock market, which started in August 2001. We argue that the current stock market antibubble is sustained by a contemporary active unsustainable real-estate bubble in China. The characteristic parameters of the antibubble have exhibited remarkab…
Kriging predicts futures prices by accounting for trends and bid-ask spreads.
Proposes a new model to describe positive volatility-price correlation in commodity markets.
Study shows death ratio of COVID-19 deaths increases financial volatility.
We analyze the market efficiency of 25 commodity futures across various groups -- metals, energies, softs, grains and other agricultural commodities. To do so, we utilize recently proposed Efficiency Index to find that the most efficient of all the analyzed commodities is heating oil, closely followed by WTI crude oil,…
Considered an important macroeconomic indicator, the Purchasing Managers' Index (PMI) on Manufacturing generally assumes that PMI announcements will produce an impact on stock markets. International experience suggests that stock markets react to negative PMI news. In this research, we empirically investigate the stock…
Reverse-weighted portfolios outperform in commodity futures markets.
Hierarchical AI multi-agent framework optimizes equity portfolios in China's A-share market.
We study valuation of swing options on commodity markets when the commodity prices are driven by multiple factors. The factors are modeled as diffusion processes driven by a multidimensional Lévy process. We set up a valuation model in terms of a dynamic programming problem where the option can be exercised continuousl…
Study finds super-efficiency correlates more strongly with stock market valuation than ROA in Chinese banks.
This paper introduces an information-based model for the pricing of storable commodities such as crude oil and natural gas. The model uses the concept of market information about future supply and demand as a basis for valuation. Physical ownership of a commodity is taken to provide a stream of convenience dividends eq…
China Vanke Co. faced a hostile takeover by Baoneng Group, sparking controversy.
We introduce an agent-based model, in which agents set their prices to maximize profit. At steady state the market self-organizes into three groups: excess producers, consumers and balanced agents, with prices determined by their own resource level and a couple of macroscopic parameters that emerge naturally from the a…