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.
We explain a persistent cost-of-carry spread in EUA market and suggest ECB policy change.
New models analyze how ECB's unconventional policies affect stock market volatility.
The topological properties of interbank networks have been discussed widely in the literature mainly because of their relevance for systemic risk. Here we propose to use the Stochastic Block Model to investigate and perform a model selection among several possible two block organizations of the network: these include b…
Paper details how to smoothly transition from EONIA to ESTR without significant financial impact.
New model improves European inflation and interest rate predictions.
We develop a general term structure framework taking stochastic discontinuities explicitly into account. Stochastic discontinuities are a key feature in interest rate markets, as for example the jumps of the term structures in correspondence to monetary policy meetings of the ECB show. We provide a general analysis of …
We present a novel hierarchical distance-dependent Bayesian model for event coreference resolution. While existing generative models for event coreference resolution are completely unsupervised, our model allows for the incorporation of pairwise distances between event mentions -- information that is widely used in sup…
We study the role of co-jumps in the interest rate futures markets. To disentangle continuous part of quadratic covariation from co-jumps, we localize the co-jumps precisely through wavelet coefficients and identify statistically significant ones. Using high frequency data about U.S. and European yield curves we quanti…
Study compares empirical systemic risk with balance sheet risk in interbank networks.
Machine learning models predict housing prices using macroeconomic factors.
Machine learning models outperform traditional econometric methods for forecasting term structure of government bonds