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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.

168,695 papers · 148 categories

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0111 · Mar 201719922001200920172026
4 results for “Flight-to-safety”
Equity Tail Risk in the Treasury Bond Marketq-fin.PR

The paper assesses how equity tail risk impacts US Treasury bond returns.

problem The effects of equity tail risk on the US government bond market.
method Estimating equity tail risk using option-implied stock market volatility and assessing its predictive power in reduced-form regressions and a term structure model.
result Equity tail risk significantly predicts one-month excess returns on Treasuries.
Equity tail riskTreasury bond marketOption-implied volatilityPredictive powerFlight-to-safety
2020-07-12abs ↗pdf ↗
Are Trump and Bitcoin Good Partners?q-fin.GN

During times of extreme market turmoil, it is acknowledged that there is a tendency towards "flight to safety". A strong (weak) safe haven is defined as an asset that has a significant positive (negative) return in periods where another asset is in distress, while hedge has to be negatively correlated (uncorrelated) on…

2017-03-01abs ↗pdf ↗
No Questions Asked: Effects of Transparency on Stablecoin Liquidity During the Collapse of Silicon Valley Bankq-fin.TR

Stablecoin liquidity was affected by the SVB collapse, with USDC's transparency leading to market reactions.

problem Impact of stablecoin transparency on liquidity during market turmoil.
method Adapted MCI measure to Uniswap, Difference-in-Differences analysis on MCI and TVL, measured liquidity concentration.
result USDC's transparency led to swift market reactions, while USDT's opacity provided a safety net.
stablecoinstransparencyliquiditySVBmarket shocks
2024-07-16abs ↗pdf ↗
Predicting Stock Market Crash with Bayesian Generalised Pareto Regressionq-fin.ST

Bayesian GPR model predicts extreme stock market losses.

problem Forecasting rare but impactful extreme negative returns in equity markets.
method Developed a Bayesian Generalised Pareto Regression model linking scale parameter to market volatility.
result The Cauchy prior provides the best balance between predictive accuracy and model simplicity.
Bayesian GPRExtreme Value TheoryTail RiskStock Market CrashVolatility
2025-06-21abs ↗pdf ↗