Study benchmarks classical models over quantum in DeFi yield prediction.
problem Accurate yield and performance forecasting for DeFi liquidity allocation.
method Benchmarked six models on Curve Finance pools' historical data.
result Classical models, especially XGBoost, outperform quantum models.
New automated market makers for multi-asset trading.
problem Liquidity management in multi-asset trading.
method Derived from self-financing transactions and rebalancing principles.
result Constant product market maker as a special case.
Clarifies when solutions to stochastic PDEs stay near given subsets.
problem Understanding the proximity of solutions to stochastic PDEs to given subsets.
method Analyzes distance between closed sets and solutions to stochastic PDEs.
result Clarifies conditions for solutions to stay near given subsets.
This paper corrects an error in [Keller-Ressel, M. and Steiner T. "Yield curve shapes and the asymptotic short rate distribution in affine one-factor models." Finance and Stochastics 12.2 (2008): 149-172]. The error concerns the correct expression for the boundary between normal and humped yield curve behavior in affin…
Detects potential depegs in Curve's StableSwap pools to protect LPs.
problem Detecting and alerting LPs to potential depegs in Curve's StableSwap pools.
method Constructed metrics based on price and trading data, fine-tuned BOCD algorithm.
result Model detects USDC depeg 5 hours before price dip, with few false alarms.
Paper proposes efficient cost functions for automated market makers in DeFi.
problem Inefficient and computationally complex cost functions in DeFi.
method Proposes and analyzes constant circle/ellipse based cost functions.
result Proposed cost functions are computationally efficient and robust against attacks.
Novel method for multiclass ROC curves using multidimensional Gini index.
problem Multiclass performance evaluation, especially for imbalanced datasets.
method Extends ROC curve methodology to multiclass settings using multidimensional Gini index.
result Validated through case studies in health care and finance.
Adaptive market maker curves minimize arbitrage losses in DeFi.
problem Asset trading prices in AMMs trail behind centralized exchanges, causing LP losses.
method Adapts market maker bonding curves to trader behavior using a differential equation derived from the Glosten-Milgrom model.
result Optimal adaptive curves minimize arbitrage losses while remaining competitive.
FinRL automates trading in quantitative finance with deep reinforcement learning.
problem Steep development curve for traders to automate trading decisions.
method Open-source framework implementing DRL algorithms and reward functions.
result FinRL simplifies strategy design and reduces debugging workloads.
New dynamic curves improve cryptocurrency exchange liquidity.
problem Low liquidity and arbitrage opportunities in existing AMMs.
method Dynamic curves adjust AMM function based on market prices.
result Maintains liquidity and total LP value over wide market price ranges.
The abstract discusses financial irreversibility using quantum mechanics and projective geometry.
problem Financial irreversibility and its limitations in trading strategies.
method Projective geometry and Taylor expansion of directed distance in quantum systems.
result Fundamental asymmetry under state exchange is a key factor in financial irreversibility.
Study improves forecasting of aggregated curves in electricity markets.
problem Improving accuracy in predicting aggregated curves like demand and supply in electricity markets.
method Exploits hierarchical structure of aggregated curves, uses reconciliation methods (bottom-up, top-down, linear optimal, aggregated-down).
result Hierarchical reconciliation methods can significantly improve forecast accuracy of aggregated curves.
Study predicts startup outcomes like funding, patenting, IPOs using machine learning.
problem Forecasting startup success metrics like funding, patenting, IPOs.
method Developed interpretable machine learning framework, used preprocessing, class imbalance handling, and compared multiple models.
result Achieved high AUROC values for patent, funding, and exit predictions.
FinRL-Podracer accelerates DRL trading strategies in finance with high performance and scalability.
problem Challenges in applying deep reinforcement learning to finance trading models.
method Proposes an RLOps framework and high-performance cloud solution for DRL trading.
result FinRL-Podracer outperforms existing DRL libraries by 12-35% in annual return, 0.1-0.6 in Sharpe ratio, and 3-7 times in training time.
New method prices interest rate derivatives without Monte Carlo, achieving high accuracy and speed.
problem Arbitrage-free pricing of path-dependent interest rate derivatives using infinite-dimensional models.
method Casting the stochastic pricing problem as a deterministic PDE solved by FINNs, which minimize violations of the PDE and boundary conditions.
result FINNs achieve pricing accuracy within 0.04 to 0.07 cents per dollar of contract value compared to Monte Carlo benchmarks.
Yield curve forecasting is an important problem in finance. In this work we explore the use of Gaussian Processes in conjunction with a dynamic modeling strategy, much like the Kalman Filter, to model the yield curve. Gaussian Processes have been successfully applied to model functional data in a variety of application…
Silkswap models stablecoin trading with minimal price impact.
problem Efficient trading of fiat-pegged stablecoins with minimal price impact.
method Silkswap uses an invariant price impact curve for asymmetric trading, derived from a hybrid function.
result Silkswap outperforms Curve Finance in price impact for stablecoin trading.
Generating realistic asset-class scenarios from time series and curves
problem Simulating realistic trajectories for asset classes
method Combining parametric and resampling techniques
result More coherent and realistic simulations of yield-curve dynamics
In this paper we address three main objections of behavioral finance to the theory of rational finance, considered as anomalies the theory of rational finance cannot explain: Predictability of asset returns, The Equity Premium, (The Volatility Puzzle. We offer resolutions of those objections within the rational finance…
Credit scoring plays a vital role in the field of consumer finance. Survival analysis provides an advanced solution to the credit-scoring problem by quantifying the probability of survival time. In order to deal with highly heterogeneous industrial data collected in Chinese market of consumer finance, we propose a nonp…
Trade finance history traced from medieval origins to modern markets.
problem Evolution and standardization of trade finance products.
method Historical analysis of market structures and regulatory changes.
result Global trade finance market evolved from local to centralized, then decentralized.
Decentralized finance uses blockchain for $70B in assets, differing from traditional finance.
problem Ensuring compliance and security in decentralized finance.
method Systematic analysis of legal, economic, security, and privacy aspects.
result Decentralized finance offers unique economic effects and security features.
Yield curve modeling is an essential problem in finance. In this work, we explore the use of Bayesian statistical methods in conjunction with Nelson-Siegel model. We present the hierarchical Bayesian model for the parameters of the Nelson-Siegel yield function. We implement the MAP estimates via BFGS algorithm in rstan…
Alternative finance models from physics for non-equilibrium systems.
problem Inequities of classical finance models in physics-based perspective.
method Physics-based insights for non-equilibrium finance models.
result Alternative models for non-equilibrium finance systems.
This review covers AI in finance, challenges, techniques, and opportunities.
problem Challenges and opportunities in AI applications in finance.
method Comprehensive categorization and overview of AI research in finance over decades.
result A dense roadmap of AI challenges, techniques, and opportunities in finance.
Survival analysis in the presence of multiple possible adverse events, i.e., competing risks, is a pervasive problem in many industries (healthcare, finance, etc.). Since only one event is typically observed, the incidence of an event of interest is often obscured by other related competing events. This nonidentifiabil…
Experts predict significant adoption of decentralized finance by 2034, with traditional finance adapting.
problem Adoption and integration of decentralized finance (DeFi) in financial services.
method Survey analysis using New Institutional Economics and Dynamic Capabilities Theory.
result Experts expect adoption of DeFi to rise from negligible to 43% by 2034, with traditional finance likely to embrace it.
The objective of the note is to remind readers on how self-financing works in Quantitative Finance. The authors have observed continuing uncertainty on this issue which may be because it lies exactly at the intersection of stochastic calculus and finance. The concept of a self-financing trading strategy was originally,…
This paper compares token and equity financing for startups.
problem Understanding differences in return rates between token and equity financing.
method Developed a three-period model to analyze liquidity and return differences.
result Entrepreneurs can achieve higher payoffs by issuing tokens, especially for risk-averse investors with liquidity needs.
A new method in finance without probabilities or integrals.
problem Creating a model-free approach to continuous-time finance.
method Pathwise approach using causal functional calculus and transition principle of Isaacs.
result A fully non-linear path-dependent equation characterizes optimal solutions.
Paper classifies institutions based on credit, debit, and funding adjustment paradigms.
problem Classifying institutions based on credit, debit, and funding adjustment paradigms.
method Mathematical framework based on the principle of invariance.
result Improved solution of principle of invariance equations for accurate metrics calculation.
This study proves new financial market theorems breaking standard risk definitions.
problem Breaking standard risk definitions in financial markets.
method Presenting proofs for new financial market theorems.
result New definitions are richer and broader than standard ones considering shape.
This survey explores causal inference in banking, finance, and insurance.
problem Explaining decisions in banking, finance, and insurance using causal inference.
method Categorizes 37 papers on causal inference applications in banking, finance, and insurance.
result Causal inference is still in its infancy in banking and insurance sectors.
Study shows 'Belt and Road' node cities boost digital finance in China.
problem Impact of 'Belt and Road' node cities on digital inclusive finance.
method Descriptive analysis, literature review, theoretical model, differential differential method.
result Establishment of 'Belt and Road' node cities promotes digital inclusive finance in China, with Internet development as a mediating variable.
Blockchain disrupts corporate finance, but challenges remain.
problem Challenges in adopting blockchain for corporate finance.
method Exploring the impact of blockchain on corporate finance valuation and capital allocation.
result Blockchain offers new perspectives but faces regulatory, environmental, and legal challenges.
Study uses AI to predict changes in international public finances based on US markets.
problem Understanding correlations between US and international public finances.
method Artificial intelligence and neural networks to model and predict changes.
result Neural network model achieved MSE of 2.79, indicating significant correlation and impact of US market volatility on international markets.
AI helps simplify complex ship finance processes.
problem Complexity in ship finance due to data and regulatory requirements.
method Integrates large language models for document comprehension, information extraction, and workflow automation.
result AI-assisted systems can support maritime finance professionals in managing complex information and reporting requirements.
Theoretical framework for data augmentation in finance improves portfolio construction.
problem Improving portfolio construction in speculative markets.
method Developed a theoretical framework for data augmentation and regularization in deep learning for finance.
result A simple noise injection algorithm improves portfolio construction over no noise.
The paper analyzes CFMMs to ensure accurate price reporting.
problem Ensuring accurate price reporting for CFMMs.
method Analyzes CFMMs under general assumptions to incentivize correct price reporting.
result Agents are incentivized to correctly report asset prices in a computationally efficient way.
Study on women entrepreneurs' access to finance in France.
problem Inequalities in accessing external finance for women entrepreneurs in France.
method Quantitative approach using data from a representative sample of women entrepreneurs.
result Founder status affects access to external finance; increases success in fundraising but reduces bank finance.
This paper examines the quantitative finance aspects of AMMs in decentralized finance.
problem Understanding the mathematical and financial underpinnings of AMMs.
method Review of existing literature and analysis of mathematical aspects.
result Interesting relationship between AMMs and derivatives pricing and hedging.
We illustrate a problem in the self-financing condition used in the papers "Funding beyond discounting: collateral agreements and derivatives pricing" (Risk Magazine, February 2010) and "Partial Differential Equation Representations of Derivatives with Counterparty Risk and Funding Costs" (The Journal of Credit Risk, 2…
LLM Pro Finance Suite enhances financial NLP with instruction-tuned models.
problem Limited NLP capabilities for financial tasks in generalist models.
method Instruction-tuned large language models fine-tuned on financial data.
result Consistent improvement over state-of-the-art baselines in finance tasks.
Bayesian method tests Granger causality in functional time series.
problem Testing Granger causality between functional time series.
method Bayesian dynamic linear models (DLM) and Bayes Factor.
result Captures Granger causality between yield curves and weather conditions.
Several problems arising in Economics and Finance are analyzed using concepts and quantitative methods from Physics. Here is the abridged abstact: Chapter 1: By analogy with energy, the equilibrium probability distribution of money must follow the exponential Boltzmann-Gibbs law characterized by an effective temperatur…
Debt-financed collateral in DeFi increases stability risks.
problem Financial stability risks in DeFi ecosystems due to debt-financed collateral.
method Categorization and classification algorithm to measure debt-financed collateral.
result Wide-spread use of stablecoins as debt-financed collateral increases financial stability risks.
New optimal investment strategies for finance and insurance using Hawkes-based models.
problem Optimal investment strategies in finance and insurance for specific models.
method Solving Merton investment problems with Hawkes-based models.
result New optimal investment results for finance and insurance models.
New distribution resolves excess volatility puzzle in finance.
problem Excess volatility in equity prices not explained by rational finance theory.
method Empirical analysis of historical returns using a new distribution.
result Volatility puzzle disappears when using a more appropriate return distribution.