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.
Spain uses DEA to select international markets for exports.
AMSAs adaptively manage crypto-currency trading by selecting multiple strategies based on market conditions.
The aim of this paper is to identify the determinants of international stock markets integration. Intuitively we selected a great number of factors linked to financial integration. Then, we developed an international asset-pricing model with time-varying degree of integration. This model is estimated for 30 countries (…
Optimized execution model using interbank and internal liquidity.
Investigates optimal strategies for market makers using internal liquidity.
This paper develops a non-Bayesian methodology to analyze the time-varying structure of international linkages and market efficiency in G7 countries. We consider a non-Bayesian time-varying vector autoregressive (TV-VAR) model, and apply it to estimate the joint degree of market efficiency in the sense of Fama (1970, 1…
Recurring international financial crises have adverse socioeconomic effects and demand novel regulatory instruments or strategies for risk management and market stabilization. However, the complex web of market interactions often impedes rational decisions that would absolutely minimize the risk. Here we show that, for…
Study uses AI to predict changes in international public finances based on US markets.
Trade finance history traced from medieval origins to modern markets.
Paper optimizes internal balancing of wind and hydropower to reduce intraday market volatility.
In today's increasingly international economy, return and volatility spillover effects across international equity markets are major macroeconomic drivers of stock dynamics. Thus, information regarding foreign markets is one of the most important factors in forecasting domestic stock prices. However, the cross-correlat…
Proposes a framework to adjust quotes for informational risk in markets with informed traders and price-revealing quotes.
The study reveals the hierarchical structure of the international FOREX market using currency fluctuation distribution similarities.
Generative neural networks improve insurance market risk modeling.
New model improves portfolio selection by analyzing tensor data.
In this paper, we model the impact of oil price volatility on Tehranstock and industry indices in two periods of international sanctions and post-sanction. To analyse the purpose of study, we use Feed-forward neural net-works. The period of study is from 2008 to 2018 that is split in two periods during international en…
This letter uses the Block Maxima Extreme Value approach to quantify catastrophic risk in international equity markets. Risk measures are generated from a set threshold of the distribution of returns that avoids the pitfall of using absolute returns for markets exhibiting diverging levels of risk. From an application t…
We investigated the network structures of the Japanese stock market through the minimum spanning tree. We defined grouping coefficient to test the validity of conventional grouping by industrial categories, and found a decreasing in trend for the coefficient. This phenomenon supports the increasing external influences …
This paper offers a framework for FX dealers to decide between internalizing and externalizing their market making to balance risk control and costs.
We investigate statistical properties of daily international market indices of seven countries, and high-frequency $S&P500$ and KOSDAQ data, by using the detrended fluctuation method and the surrogate test. We have found that the returns of international stock market indices of seven countries follow a universal power-…
The paper proposes a new algorithm for dealer markets that incorporates hedging and market impact.
This paper introduces a new process for portfolio rebalancing that is more equitable than existing methods.
Paper combines LSTM and Random Forest for better stock market predictions.
We show that some specific market risk measures implied by current international capital regulation (the Basel Accords and the Capital Adequacy Directive of the European Union) violate the obvious requirement of convexity in some regions in the space of portfolio weights.
Random feature maps improve forecasting with cheaper computation.
In this article, we investigate whether exchange rate risk is priced. We use a multivariate GARCH-in-Mean specification and test alternative conditional international CAPM versions. Our results support strongly the international asset-pricing model that includes exchange rate risk for both developed and emerging stock …
EXFormer predicts foreign exchange returns with high accuracy using a multi-scale self-attention mechanism and dynamic variable selection.
We educe a perspective on how best to regulate the bank of tomorrow in frames of debate launched by the International Centre for Financial Regulation and Financial Times. Our goal is to create a conceptual framework for policymakers and regulators to shape the international financial system in century of globalization …
ContestTrade uses competitive teams to improve LLM trading performance.
By monitoring the time evolution of the most liquid Futures contracts traded globally as acquired using the Bloomberg API from 03 January 2000 until 15 December 2014 we were able to forecast the S&P 500 index beating the Buy and Hold trading strategy. Our approach is based on convolution computations of 42 of the most …
Proposes a framework to predict stock movements by integrating multi-order and internal dynamics.
Interbank markets are often characterised in terms of a core-periphery network structure, with a highly interconnected core of banks holding the market together, and a periphery of banks connected mostly to the core but not internally. This paradigm has recently been challenged for short time scales, where interbank ma…
This article investigates the evolution of the Mexican stock market integration into the world market. First, we estimate the time-varying Mexican degree of market integration using an international conditional version of the CAPM with segmentation effects. Second, we study the structural breaks in this series. Finally…
A novel approach to analyzing time series generated by complex systems, such as markets, is presented. The basic idea of the approach is the {\it Law of Self-Similar Evolution}, according to which any complex system develops self-similarly. There always exist some internal laws governing the evolution of a system, say …
The study reveals asymmetries in US financial shocks' international impacts.
This paper reviews and proposes a new approach for evaluating internal cluster validation indices.
Startups is a popular phenomenon that has a significant impact on global economy growth, innovation and society development. However, there is still insufficient understanding about startups, particularly, how to start a new business in the relation to consequent performance. Toward this knowledge, we have performed an…
In this study, we establish a network structure of the Korean stock market, one of the emerging markets, with its minimum spanning tree through the correlation matrix. Base on this analysis, it is found that the Korean stock market doesn't form the clusters of the business sectors or of the industry categories. When th…
Hidden Markov model predicts profitable statistical arbitrage in Shanghai crude oil futures.
Paper predicts international trade flows using machine learning and factorization models.
The predictive power of neural networks often costs model interpretability. Several techniques have been developed for explaining model outputs in terms of input features; however, it is difficult to translate such interpretations into actionable insight. Here, we propose a framework to analyze predictions in terms of …
HybridCGAN improves portfolio analysis by balancing trend prediction and market uncertainty.
It is shown that absence of arbitrage opportunity in financial markets is a particular case of existence of uncertainty in decision system. Absence of arbitrage opportunity is considered in the sense of the Arrow-Debreu model of financial market with a riskless asset, while uncertainty (or ambiguity) is defined on the …
We demonstrate that the tail dependence should always be taken into account as a proxy for systematic risk of loss for investments. We provide the clear statistical evidence of that the structure of investment portfolios on a regulated market should be adjusted to the price of gold. Our finding suggests that the active…
New method for selecting clusters in residential electricity data.
Catastrophic events, though rare, do occur and when they occur, they have devastating effects. It is, therefore, of utmost importance to understand the complexity of the underlying dynamics and signatures of catastrophic events, such as market crashes. For deeper understanding, we choose the US and Japanese markets fro…
The Basel II Accords have sparked increased interest in the development of approaches based on internal ratings systems and have initiated the elaboration of models for remote ratings forecasts based on external ones as part of Risk Management and Early Warning Systems. This article evaluates the peculiarities of curre…
We present a broad agenda for meaningful banking regulation reform aiming the creation of evolutive competitive environment to maximize the effectiveness of international financial system through the introduction of fair competition process among the banks in free market capitalism. We assume that the international fin…