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.

169,291 papers · 148 categories

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10 results for “EURUSD”

Diffusive and arrested-like dynamics in currency exchange marketsq-fin.ST

This study finds similarities between currency exchange dynamics and supercooled systems.

problem Understanding the dynamics of currency exchange markets.

method Comparing EURUSD price fluctuations to colloidal dynamics and using models for arrested physical systems.

result EURUSD price fluctuations exhibit two-step dynamics similar to supercooled systems.

currency exchange EURUSD colloidal dynamics supercooled arrested systems

2017-03-09abs ↗pdf ↗

Currency Forecasting using Multiple Kernel Learning with Financially Motivated Featuresq-fin.ST

Multiple Kernel Learning (MKL) is used to replicate the signal combination process that trading rules embody when they aggregate multiple sources of financial information when predicting an asset's price movements. A set of financially motivated kernels is constructed for the EURUSD currency pair and is used to predict…

2010-11-28abs ↗pdf ↗

The Three-Dimensional Decomposition of Volatility Memoryq-fin.MF

Unified model explains volatility memory in stocks and forex.

problem Understanding the components of volatility memory in financial markets.

method Developed a three-dimensional decomposition of volatility memory into level, shape, and tempo.

result Unified model shows that volatility memory is state-dependent, with different gates prevailing in equities and forex.

volatility memory three-dimensional decomposition level shape tempo

2025-12-01abs ↗pdf ↗

Calibration of Local-Stochastic and Path-Dependent Volatility Models to Vanilla and No-Touch Optionsq-fin.MF

Proposes a calibration method for various volatility models.

problem Calibrating local-stochastic and path-dependent volatility models to options.

method Generic calibration framework using forward PIDE and particle method.

result Calibration well within market no-touch bid--ask range.

volatility models calibration particle method Heston model path-dependent

2019-11-03abs ↗pdf ↗

Fast-excursion limit of the Heston modelq-fin.MF

New model captures fast price excursions in finance.

problem Capturing fast price excursions in financial models.

method Heston model with fast-reversion limit.

result Model shows significant hitting probabilities for barrier options.

Heston model fast-reversion stochastic volatility price excursions hitting probabilities

2026-06-04abs ↗pdf ↗

Curved Greeks: A Geometric Layer for Option P&L Adjustmentsq-fin.MF

Proposes a new framework for invariant quadratic P&L predictions in option books.

problem Inconsistent second-order P&L predictions across different factor parameterizations.

method Local, model-agnostic framework using covariant Hessian defined by an affine connection.

result Coordinate-invariant quadratic P&L predictions that match desk targets.

Option Pricing Geometric Greeks P&L Invariance Affine Connections Hedge Greeks

2026-03-15abs ↗pdf ↗

Combining Deep Learning on Order Books with Reinforcement Learning for Profitable Tradingq-fin.CP

Combines deep learning and reinforcement learning for profitable trading.

problem Analytical methods fail to fully capture market dynamics.

method Deep learning on order books combined with reinforcement learning.

result Successful trading models for multiple financial instruments.

high-frequency trading reinforcement learning deep learning order flow imbalance financial instruments

2023-10-24abs ↗pdf ↗

Decomposable Reward Modeling and Realistic Environment Design for Reinforcement Learning-Based Forex Tradingq-fin.GN

Paper presents a modular RL framework for Forex trading, addressing limitations of prior studies.

problem Challenges in applying RL to Forex trading, including unrealistic environments, simplified rewards, and restricted action spaces.

method Integrates three components: a friction-aware execution engine, a decomposable reward architecture, and a discrete action interface.

result Empirical evaluation shows strong non-monotonic reward interactions and optimal Sharpe ratio with the full reward configuration.

Reinforcement Learning Forex Trading Realistic Environment Reward Modeling Action Space

2026-03-20abs ↗pdf ↗

Analytic estimation of parameters of stochastic volatility diffusion models with exponential-affine characteristic function for currency option pricingq-fin.MF

Novel method for estimating currency option parameters with improved accuracy.

problem Improving currency option pricing accuracy and calibration process.

method Develops approximate formulas for two parameters in stochastic volatility models with exponentially-affine characteristic functions.

result Superior accuracy in parameter estimation for currency options.

currency options stochastic volatility exponentially-affine parameter estimation OUOU model

2025-07-16abs ↗pdf ↗

The Efficient Market Hypothesis for Bitcoin in the context of neural networksq-fin.ST

Study finds Bitcoin market efficient, no exploitable inefficiencies with neural networks.

problem Investigating market inefficiencies in Bitcoin using neural networks.

method Used a feedforward neural network with various asset-related input features.

result Adding more features does not improve prediction accuracy, and one feature set outperforms a buy-and-hold strategy.

Bitcoin Efficient Market Hypothesis Neural Networks Machine Learning Cryptocurrency

2022-06-25abs ↗pdf ↗