On-device research index

arXiv research

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.

168,742 papers · 148 categories

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2 results for “EONIA”

No Fear of Discounting How to Manage the Transition from EONIA to ESTRq-fin.PR

Paper details how to smoothly transition from EONIA to ESTR without significant financial impact.

problem Transition from EONIA to ESTR impacts financial instruments, especially OTC derivatives.

method Detailed analysis of how clean discounting approach based on ESTR affects pricing of OIS, IRS, and XVAs.

result The transition to EONIA-free pricing framework is safe and consistent, ensuring complete elimination of EONIA.

Financial Benchmarks Reform EONIA ESTR OIS IRS

2025-03-09abs ↗pdf ↗

Timing Excess Returns A cross-universe approach to alphaq-fin.PM

Simple model uses time series momentum to outperform benchmarks in equity and bond markets.

problem Finding systematic excess returns in various markets.

method Time series momentum applied to multiple investable indices without complex parameter estimation.

result Significant outperformance in equity and bond markets, nearly doubling returns.

momentum cross-universe alpha excess returns time series

2020-02-11abs ↗pdf ↗