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 paper develops a method to select a reference contract for multi-contract quoting to minimize execution risk.
Study factors affecting liquidity on decentralized exchanges, introducing new metrics.
We empirically analyze the price and liquidity responses to trade signs, traded volumes and signed traded volumes. Utilizing the singular value decomposition, we explore the interconnections of price responses and of liquidity responses across the whole market. The statistical characteristics of their singular vectors …
Unified framework for optimal liquidation with small market impact and semimartingale strategies.
Study on liquidity dynamics in Uniswap v3 pools using statistical methods.
Study asset price bubbles using random matching and stochastic factors.
We present a large-scale study of commonality in liquidity and resilience across assets in an ultra high-frequency (millisecond-timestamped) Limit Order Book (LOB) dataset from a pan-European electronic equity trading facility. We first show that extant work in quantifying liquidity commonality through the degree of ex…
This paper proposes a parametric approach for stochastic modeling of limit order markets. The models are obtained by augmenting classical perfectly liquid market models by few additional risk factors that describe liquidity properties of the order book. The resulting models are easy to calibrate and to analyze using st…
We refine toxicity bounds for dynamic liquidation incentives in CP-AMM systems.
We present new computations of tight shapes obtained using the constrained gradient descent code RIDGERUNNER for 544 composite knots with 12 and fewer crossings, expanding our dataset to 943 knots and links. We use the new data set to analyze two outstanding conjectures about tight knots, namely that the ropelengths of…
Connected sum and trivalent vertex sum are natural operations on genus 2 spatial graphs and, as with knots, tunnel number behaves in interesting ways under these operations. We prove sharp Scharlemann-Schultens type bounds for the tunnel number of a composite genus 2 spatial graph. For the tunnel number of a composite …
This research proposes methods to model and assess liability liquidity risk in asset management.
Study finds it hard to establish common factor pricing in corporate bonds.
The common wisdom argues that, in general, large trades cause large price changes, while small trades cause small price changes. However, for extremely large price changes, the trade size and news play a minor role, while the liquidity (especially price gaps on the limit order book) is a more influencing factor. Hence,…
The kind of realized mission inflows the sensitivity to risk. Among other factors, the risk results from decision about liquid assets investment level and liquid assets financing. The higher the risk exposure, the higher the level of liquid assets. If the specific risk exposure is smaller, the more aggressive could be …
Using recent advances in the econometrics literature, we disentangle from high frequency observations on the transaction prices of a large sample of NYSE stocks a fundamental component and a microstructure noise component. We then relate these statistical measurements of market microstructure noise to observable charac…
Study analyzes factors affecting profits in crypto liquidity provision.
New findings show disentangled latent representations are not enough for robust compositional generalization.
Study finds no significant short-term impact on liquidity supply after protocol fees were reduced.
We study an optimal liquidation problem under the ambiguity with respect to price impact parameters. Our main results show that the value function and the optimal trading strategy can be characterized by the solution to a semi-linear PDE with superlinear gradient, monotone generator and singular terminal value. We also…
The paper uses option theory to estimate corporate bond liquidity spreads.
Adaptive pricing framework for perpetual contracts using liquidity curves and oracles.
A justification of the Basel liquidity formula for risk capital in the trading book is given under the assumption that market risk-factor changes form a Gaussian white noise process over 10-day time steps and changes to P&L are linear in the risk-factor changes. A generalization of the formula is derived under the more…
The p-index improves investment performance for NYSE stocks but not for SSE stocks.
The study finds a liquidity premium in stock returns, but only after correcting for microstructure noise.
Novel method reconstructs liquidity data for CLMMs, optimizing dynamic liquidity strategies.
We present an enhanced prime decomposition theorem for knots that gives the isotopy classes of composite knots that can be constructed from a given list of prime factors (allowing for the mirroring and orientation reversing for each factor). Underlying the theorem is an algebraic construction that also allows for the c…
This paper analyzes liquidations in DeFi protocols, showing how price volatility can lead to significant losses.
Optimal fees for G3Ms align LP value with market accuracy.
Visual objects are composed of a recursive hierarchy of perceptual wholes and parts, whose properties, such as shape, reflectance, and color, constitute a hierarchy of intrinsic causal factors of object appearance. However, object appearance is the compositional consequence of both an object's intrinsic and extrinsic c…
Paper proves achiral Lefschetz fibrations from non-orientable Lefschetz fibrations.
New game theory approach to bond market liquidity and participant behavior.
Study improves HOMFLY polynomial coefficients for positive braid links.
Study adapts liquidity model to equity auctions, revealing accelerated event rates and reduced price impact.
In this paper, we mainly prove a theorem with a corollary establishing two characterizations of the Calabi composition of hyperbolic hyperspheres, where the second characterization (i.e., the corollary) has been given via a dual correspondence theorem earlier but now we would like to use a very direct method. Note that…
We propose a multi-factor polynomial framework to model and hedge long-term electricity contracts with delivery period. This framework has several advantages: the computation of forwards, risk premium and correlation between different forwards are fully explicit, and the model can be calibrated to observed electricity …
Study analyzes optimal execution under uncertain volatility and liquidity.
Paper proposes iLPA for solving DC composite optimization problems, with applications to matrix completion with outliers.
The composition of natural liquidity has been changing over time. An analysis of intraday volumes for the S&P500 constituent stocks illustrates that (i) volume surprises, i.e., deviations from their respective forecasts, are correlated across stocks, and (ii) this correlation increases during the last few hours of the …
We propose a 4-factor model for overnight returns and give explicit definitions of our 4 factors. Long horizon fundamental factors such as value and growth lack predictive power for overnight (or similar short horizon) returns and are not included. All 4 factors are constructed based on intraday price and volume data a…
In this paper, we explicitly construct the Calabi composition of multiple affine hyperspheres possibly including some points viewing as 0-dimensional hypersheres. Then we compute all the basic affine invariants of the composed affine hyperspheres, proving that the composed affine hypersphere is symmetric one if and onl…
Paper solves robust convex problems with heavy-tailed noise.
Model calculates optimal trading time for derivatives orders.
This paper introduces a novel recurrent model for music composition that is tailored to the structure of polyphonic music. We propose an efficient new conditional probabilistic factorization of musical scores, viewing a score as a collection of concurrent, coupled sequences: i.e. voices. To model the conditional distri…
FLAIR measures LP competitiveness in AMMs, improving LP performance evaluations.
The paper examines how cheaper and faster chains affect Uniswap v3 liquidity and profitability.
Improved subgradient method tackles ill-conditioned composite optimization problems.
We develop a model to predict effects of sequential interventions, clarifying their combined impact.