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.
The paper tests stock return models and uses LSTM to predict stock returns.
Through a long-period analysis of the inter-temporal relations between the French markets for credit default swaps (CDS), shares and bonds between 2001 and 2008, this article shows how a financial innovation like CDS could heighten financial instability. After describing the operating principles of credit derivatives i…
Study analyzes Disney stock market performance using machine learning.
Study tests if equity factors explain Bitcoin's risk and returns.
This study revisits Fama-French models using sample innovations to address misinterpretation of high R-squared values.
Paper introduces a specialized text classification system for French Open Banking transactions.
Study examines stock price reactions to Texas winter storm power outages.
Empirical study of CAPM and Fama-French model in Chinese A-share market.
The paper examines the stability of Fama-French multi-factor models over time.
The article prices exchange options using variance gamma-like models.
Study on time-zero efficiency of European power derivatives markets using statistical tests and trading rules.
The Capital Asset Pricing Model (CAPM) is one of the original models in explaining risk-return relationship in the financial market. However, when applying the CAPM into reality, it demonstrates a lot of shortcomings. While improving the performance of the model, many studies, on one hand, have attempted to apply diffe…
Market trade-routes can support infectious-disease transmission, impacting biological populations and even disrupting causal trade. Epidemiological models increasingly account for reductions in infectious contact, such as risk-aversion behaviour in response to pathogen outbreaks. However, market dynamics clearly differ…
Examines how extending home loan durations affects French households financially.
We find that the CAPM fails to explain the small firm effect even if its non-parametric form is used which allows time-varying risk and non-linearity in the pricing function. Furthermore, the linearity of the CAPM can be rejected, thus the widely used risk and performance measures, the beta and the alpha, are biased an…
We present extensive evidence that ``risk premium'' is strongly correlated with tail-risk skewness but very little with volatility. We introduce a new, intuitive definition of skewness and elicit an approximately linear relation between the Sharpe ratio of various risk premium strategies (Equity, Fama-French, FX Carry,…
The MAXFLAT low-pass filter improves factor adjustment for better portfolio performance in China's stock market.
In the standard equilibrium and/or arbitrage pricing framework, the value of any asset is uniquely specified from the belief that only the systematic risks need to be remunerated by the market. Here, we show that, even for arbitrary large economies when the distribution of the capitalization of firms is sufficiently he…
The study compares VaR and ES models for tail risk of electricity futures, finding AR(1)-GARCH(1,1) with Student-t distribution best.
In Biology, all motor enzymes operate on the same principle: they trap favourable brownian fluctuations in order to generate directed forces and to move. Whether it is possible or not to copy one such strategy to play the market was the starting point of our investigations. We found the answer is yes. In this paper we …
Measuring information value in markets using covariance of price changes and order flow.
We introduce a new system of stochastic differential equations which models dependence of market beta and unsystematic risk upon size, measured by market capitalization. We fit our model using size deciles data from Kenneth French's data library. This model is somewhat similar to generalized volatility-stabilized model…
We give a general overview of the influence of William Thurston on the French mathematical school and we show how some of the major problems he solved are rooted in the French mathematical tradition. At the same time, we survey some of Thurston's major results and their impact. The final version of this paper will appe…
Nostradamus links climate and stock market performance.
This paper investigates the time-varying risk-premium relation of the Chinese stock markets within the framework of cross-sectional momentum and contrarian effects by adopting the Capital Asset Pricing Model and the French-Fama three factor model. The evolving arbitrage opportunities are also studied by quantifying the…
Proposes a diagnostic method to evaluate factor models using cap-axis integrals.
Proposes a diagnostic method to evaluate factor models using cap-axis integrals.
The paper presents a neural machine translation system for Wolof.
A new model decomposes equity returns and volatilities into memory components.
Crowding is most likely an important factor in the deterioration of strategy performance, the increase of trading costs and the development of systemic risk. We study the imprints of \emph{crowding} on both anonymous market data and a large database of metaorders from institutional investors in the U.S. equity market. …
We propose and investigate two model classes for forward power price dynamics, based on continuous branching processes with immigration, and on Hawkes processes with exponential kernel, respectively. The models proposed exhibit jumps clustering features. Models of this kind have been already proposed for the spot price…
Motivated by the increasing integration among electricity markets, in this paper we propose two different methods to incorporate market integration in electricity price forecasting and to improve the predictive performance. First, we propose a deep neural network that considers features from connected markets to improv…
The paper models battery valuation in intraday electricity markets, incorporating liquidity costs.
Unified model combines shrinkage, views, and factor models for better portfolio selection.
The recent liberalization of the electricity and gas markets has resulted in the growth of energy exchanges and modelling problems. In this paper, we modelize jointly gas and electricity spot prices using a mean-reverting model which fits the correlations structures for the two commodities. The dynamics are based on Or…
The paper introduces a machine learning method to forecast market direction using efficient frontier coefficients.
Modeling financial crises and cryptocurrency shocks using copulae clustering.
Decomposes financial networks to reveal cause-effect hierarchies during crises.
Multi-language speech datasets are scarce and often have small sample sizes in the medical domain. Robust transfer of linguistic features across languages could improve rates of early diagnosis and therapy for speakers of low-resource languages when detecting health conditions from speech. We utilize out-of-domain, unp…
The objective of this article is to analyze the impact of capital structure on profitability. This impact can be explained by three essential theories: signaling theory, tax theory and the agency costs theory. A sample of 1846 French industrial firms are taken over the period 1999-2006, as a dynamic panel study by usin…
Study examines market reactions and spillovers in Japanese bank mergers using multiple methods.
Study assesses additional factors for identifying persistent alpha in pension funds.
A limit order book provides information on available limit order prices and their volumes. Based on these quantities, we give an empirical result on the relationship between the bid-ask liquidity balance and trade sign and we show that liquidity balance on best bid/best ask is quite informative for predicting the futur…
Intangible investment becomes a strong predictor of stock returns over time.
Current study aims to provide new empirical evidence on the impact of debt on corporate profitability. This impact can be explained by three essential theories: signaling theory, tax theory and the agency cost theory. Using panel data sample of 2240 French non listed companies of service sector during 1999-2006. By uti…
Model shows government incentives boost green bond investment.
The object of this contribution is to present the ideas behind the thinking of the French economist Pierre-Joseph Proudhon (1809-1865) in relation to the causes and effects of Stock market speculation. It is based upon the works of this author but particularly on his "Manuel du spéculateur à la Bourse" (Stock Market Sp…
Improved language model for French clinical reports achieves state-of-the-art performance in medical NLP tasks.