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.
Theory of price impact on bond term structure.
New method uses impact IRR to assess impact investments.
ICON-OCnet solves optimal execution problems with neural networks and few examples.
This study explores how examples influence ICL in LLMs.
Proposes a new model to measure trade impact and information content in fluctuating markets.
This paper is a continuation of Ishitani and Kato (2015), in which we derived a continuous-time value function corresponding to an optimal execution problem with uncertain market impact as the limit of a discrete-time value function. Here, we investigate some properties of the derived value function. In particular, we …
CCVA adjusts for climate change impacts on financial valuation.
In this study, we extend the optimal execution problem with convex market impact function studied in Kato (2014) to the case where the market impact function is S-shaped, that is, concave on and convex on for some . We study the corresponding Hamilton-Jacobi-…
Paper introduces impact curves for evaluating binarized regression models with varying costs.
We provide the asymptotic distribution of the major indexes used in the statistical literature to quantify disparate treatment in machine learning. We aim at promoting the use of confidence intervals when testing the so-called group disparate impact. We illustrate on some examples the importance of using confidence int…
In this paper are presented methods of impact analysis on informatics system security accidents, qualitative and quantitative methods, starting with risk and informational system security definitions. It is presented the relationship between the risks of exploiting vulnerabilities of security system, security level of …
Market impact is reduced when orders are filled with concentrated counterparts.
In this paper, we assume that the permanent market impact of metaorders is linear and that the price is a martingale. Those two hypotheses enable us to derive the evolution of the price from the dynamics of the flow of market orders. For example, if the market order flow is assumed to follow a nearly unstable Hawkes pr…
Recent efforts show that neural networks are vulnerable to small but intentional perturbations on input features in visual classification tasks. Due to the additional consideration of connections between examples (\eg articles with citation link tend to be in the same class), graph neural networks could be more sensiti…
For a market impact model, price manipulation and related notions play a role that is similar to the role of arbitrage in a derivatives pricing model. Here, we give a systematic investigation into such regularity issues when orders can be executed both at a traditional exchange and in a dark pool. To this end, we focus…
We study an optimal execution problem in a continuous-time market model that considers market impact. We formulate the problem as a stochastic control problem and investigate properties of the corresponding value function. We find that right-continuity at the time origin is associated with the strength of market impact…
XVA is a material component of a trade valuation and hence it must impact the decision to exercise options within a given netting set. This is true for both unsecured trades and secured / cleared trades where KVA and MVA play a material role even if CVA and FVA do not. However, this effect has frequently been ignored i…
Deep learning models, which are increasingly being used in the field of medical image analysis, come with a major security risk, namely, their vulnerability to adversarial examples. Adversarial examples are carefully crafted samples that force machine learning models to make mistakes during testing time. These maliciou…
We assume a continuous-time price impact model similar to Almgren-Chriss but with the added assumption that the price impact parameters are stochastic processes modeled as correlated scalar Markov diffusions. In this setting, we develop trading strategies for a trader who desires to liquidate his inventory but faces pr…
We solve the superhedging problem for European options in an illiquid extension of the Black-Scholes model, in which transactions have transient price impact and the costs and the strategies for hedging are affected by physical or cash settlement requirements at maturity. Our analysis is based on a convenient choice of…
We introduce a multivariate Hawkes process that accounts for the dynamics of market prices through the impact of market order arrivals at microstructural level. Our model is a point process mainly characterized by 4 kernels associated with respectively the trade arrival self-excitation, the price changes mean reversion…
The paper introduces a new metric to quantify uncertainty's impact on multiple objectives.
Convolutional Neural Networks and Deep Learning classification systems in general have been shown to be vulnerable to attack by specially crafted data samples that appear to belong to one class but are instead classified as another, commonly known as adversarial examples. A variety of attack strategies have been propos…
This article considers the pricing and hedging of a call option when liquidity matters, that is, either for a large nominal or for an illiquid underlying asset. In practice, as opposed to the classical assumptions of a price-taking agent in a frictionless market, traders cannot be perfectly hedged because of execution …
The aim of this paper is to explain how parameters adjustments can be integrated in the design or the control of automates of trading. Typically, we are interested by the online estimation of the market impacts generated by robots or single orders, and how they/the controller should react in an optimal way to the infor…
New algorithm for bandits with delayed action effects, reducing regret.
Unified framework for word embedding models using noise examples.
Paper analyzes dynamics of nonholonomic systems with collisions using variational techniques.
We describe notions of tautness that arise in the study of foliations, or smoother foliations, and in geometry. We give examples to show that these notions are different, and discuss how these differences impact some classical foliation results. We construct examples of smoothly taut foli…
We consider a model for linear transient price impact for multiple assets that takes cross-asset impact into account. Our main goal is to single out properties that need to be imposed on the decay kernel so that the model admits well-behaved optimal trade execution strategies. We first show that the existence of such s…
The paper studies projections of asset prices under equivalent martingale measures.
This article asks how planning scholarship may effectively gain impact in planning practice through media exposure. In liberal democracies the public sphere is dominated by mass media. Therefore, working with such media is a prerequisite for effective public impact of planning research. Using the example of megaproject…
We study a single risky financial asset model subject to price impact and transaction cost over an infinite horizon. An investor needs to execute a long position in the asset affecting the price of the asset and possibly incurring in fixed transaction cost. The objective is to maximize the discounted revenue obtained b…
This paper explores the use of adversarial examples in training speech recognition systems to increase robustness of deep neural network acoustic models. During training, the fast gradient sign method is used to generate adversarial examples augmenting the original training data. Different from conventional data augmen…
Study on energy storage's impact on electricity prices and profitability.
Study optimal stock purchases under fluctuating market resilience.
When learning a new concept, not all training examples may prove equally useful for training: some may have higher or lower training value than others. The goal of this paper is to bring to the attention of the vision community the following considerations: (1) some examples are better than others for training detector…
Combines dynamic programming and neural networks for optimal portfolio execution in regime-switching markets.
Few-shot classification is the task of predicting the category of an example from a set of few labeled examples. The number of labeled examples per category is called the number of shots (or shot number). Recent works tackle this task through meta-learning, where a meta-learner extracts information from observed tasks …
This research examines how data transformations affect adversarial robustness in recurrent neural networks.
In this comment we discuss the problem of reconciling the linear efficiency of price returns with the long-memory of supply and demand. We present new evidence that shows that efficiency is maintained by a liquidity imbalance that co-moves with the imbalance of buyer vs. seller initiated transactions. For example, duri…
Clustering is a central approach for unsupervised learning. After clustering is applied, the most fundamental analysis is to quantitatively compare clusterings. Such comparisons are crucial for the evaluation of clustering methods as well as other tasks such as consensus clustering. It is often argued that, in order to…
Investment strategies in financial markets can lead to instability due to market impacts.
This research examines rare spurious correlations in neural networks and their impact on accuracy and privacy.
Deep learning frameworks leverage GPUs to perform massively-parallel computations over batches of many training examples efficiently. However, for certain tasks, one may be interested in performing per-example computations, for instance using per-example gradients to evaluate a quantity of interest unique to each examp…
We solve a complex trade execution problem by simplifying it into a known LQ control problem.
Study on adversarial attacks on user identification systems using motion sensors.
Machine learning analyzed peer reviews to find differences in quality by journal impact factor.