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.
Detects the backbone of Japanese credit market relationships over 30 years.
An analysis of the Japanese credit market in 2004 between banks and quoted firms is done in this paper using the tools of the networks theory. It can be pointed out that: (i) a backbone of the credit channel emerges, where some links play a crucial role; (ii) big banks privilege long-term contracts; the "minimal spanni…
Examines how extending home loan durations affects French households financially.
We present an analysis of the credit market of Japan. The analysis is performed by investigating the bipartite network of banks and firms which is obtained by setting a link between a bank and a firm when a credit relationship is present in a given time window. In our investigation we focus on a community detection alg…
Study on market integration of Japanese rice markets using telegraph and telephone policies.
Study finds varying market efficiency in prewar and wartime Japanese stock market.
This study evaluates prewar Japanese financial market efficiency using time-varying models.
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 …
Study examines asymmetry impacts on Japanese stock market volatility modeling and forecasting.
Study examines market reactions and spillovers in Japanese bank mergers using multiple methods.
Study on time-varying APT validity in Japanese stock market.
The persistence phenomenon is studied in the Japanese financial market by using a novel mapping of the time evolution of the values of shares quoted on the Nikkei Index onto Ising spins. The method is applied to historical end of day data from the Japanese stock market during 2002. By studying the time dependence of th…
We present a new approach to understanding credit relationships between commercial banks and quoted firms, and with this approach, examine the temporal change in the structure of the Japanese credit network from 1980 to 2005. At each year, the credit network is regarded as a weighted bipartite graph where edges corresp…
We investigated the temporally evolving network structures of the Japanese and Korean stock markets through the minimum spanning trees composed of listed stocks. We tested the validity of conventional grouping by industrial categories, and found a common trend of decrease for Japan and Korea. This phenomenon supports t…
Study improves Cox model for predicting stock trading signs using Japanese market data.
Quantum neural network and tensor network models outperform classical models in Japanese stock market predictions.
We apply Geometric Arbitrage Theory to obtain results in mathematical finance for credit markets, which do not need stochastic differential geometry in their formulation. We obtain closed form equations involving default intensities and loss given defaults characterizing the no-free-lunch-with-vanishing-risk condition …
This paper uses alternative data to forecast Japanese real estate performance.
We investigate scaling and memory effects in return intervals between price volatilities above a certain threshold for the Japanese stock market using daily and intraday data sets. We find that the distribution of return intervals can be approximated by a scaling function that depends only on the ratio between the …
Study finds no significant impact of US sovereign credit rating downgrade on equity market.
We perform an extended analysis of the distribution of drawdowns in the two leading exchange markets (US dollar against the Deutsmark and against the Yen), in the major world stock markets, in the U.S. and Japanese bond market and in the gold market, by introducing the concept of ``coarse-grained drawdowns,'' which all…
Paper uses AI to predict tail risks in US financial markets.
Develops a three-currency HJM framework for Brazilian credit markets, finding significant credit spread differences between indexed segments.
Model assesses loan profitability under changing credit conditions.
Private credit markets have expanded significantly, offering unique lending technology to private equity firms.
Over-the-counter derivatives have contributed significantly to the effectiveness and efficiency of the international financial system but also entail significant counterparty credit risk. Collateralization is one of the most important and widespread credit risk mitigation techniques used in derivatives transactions. Ho…
Revisits Jarrow & Turnbull model for credit and liquidity risk.
This paper explores using graph neural networks for stock market predictions, improving accuracy with richer data.
A new model uses a Levy-driven process to value credit index swaptions.
This work models GHG offset credit markets to find optimal strategies for market participants.
This study examines non-performing assets and cryptocurrencies in Japan.
We present a quantitative study of the markets and models evolution across the credit crunch crisis. In particular, we focus on the fixed income market and we analyze the most relevant empirical evidences regarding the divergences between Libor and OIS rates, the explosion of Basis Swaps spreads, and the diffusion of c…
New model prices collateralized financial derivatives considering bankruptcy laws.
We give a comprehensive review of credit term structure modeling methodologies. The conventional approach to modeling credit term structure is summarized and shown to be equivalent to a particular type of the reduced form credit risk model, the fractional recovery of market value approach. We argue that the corporate p…
Study explores financial market linkages between Japan and US markets.
In this paper we examine inefficiencies and information disparity in the Japanese stock market. By carefully analysing information publicly available on the internet, an `outsider' to conventional statistical arbitrage strategies--which are based on market microstructure, company releases, or analyst reports--can never…
This study examines the adaptive market hypothesis (AMH) in Japanese stock markets (TOPIX and TSE2). In particular, we measure the degree of market efficiency by using a time-varying model approach. The empirical results show that (1) the degree of market efficiency changes over time in the two markets, (2) the level o…
The market practice of extrapolating different term structures from different instruments lacks a rigorous justification in terms of cash flows structure and market observables. In this paper, we integrate our previous consistent theory for pricing under credit, collateral and funding risks into term structure modellin…
The sectoral synchronization observed for the Japanese business cycle in the Indices of Industrial Production data is an example of synchronization. The stability of this synchronization under a shock, e.g., fluctuation of supply or demand, is a matter of interest in physics and economics. We consider an economic syste…
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…
This paper examines the possibility of using derivative-implied risk premia to explain stock returns. The rapid development of derivative markets has led to the possibility of trading various kinds of risks, such as credit and interest rate risk, separately from each other. This paper uses credit default swaps and equi…
New model values CDS contracts considering multiple credit risks and collateralization.
Study shows how to better estimate credit provisions and economic capital.
In this paper, we quantitatively investigate the properties of a statistical ensemble of stock prices. We focus attention on the relative price defined as , where is the initial price. We selected approximately 3200 stocks traded on the Japanese Stock Exchange and formed a statistical ensem…
Investment strategy optimized for markets and credit risks.
Study amplifies systemic risk in interbank markets due to credit and liquidity shocks.
Axient creates a blockchain protocol for managing leveraged event markets, separating roles and formalizing capital management.
In this work we derive an approximated no-arbitrage market valuation formula for Constant Maturity Credit Default Swaps (CMCDS). We move from the CDS options market model in Brigo (2004), and derive a formula for CMCDS that is the analogous of the formula for constant maturity swaps in the default free swap market unde…