arXiv research

This paper presents generalized momentum mappings for covariant Hamiltonian field theories. The new momentum mappings arise from a generalization of symplectic geometry to $L_VY$, the bundle of vertically adapted linear frames over the bundle of field configurations $Y$. Specifically, the generalized field momentum obs…

In this note, we study the ultimate ruin probabilities of a real-valued L{é}vy process X with light-tailed negative jumps. It is well-known that, for such L{é}vy processes, the probability of ruin decreases as an exponential function with a rate given by the root of the Laplace exponent, when the initial value goes to …

This article is devoted to the maximisation of HARA utilities of L{é}vy switching process on finite time interval via dual method. We give the description of all f-divergence minimal martingale measures in initially enlarged filtration, the expression of their Radon-Nikodym densities involving Hellinger and Kulback-Lei…

In this paper, we study the ruin problem with investment in a general framework where the business part X is a L{é}vy process and the return on investment R is a semimartingale. We obtain upper bounds on the finite and infinite time ruin probabilities that decrease as a power function when the initial capital increases…

The Wiener-Hopf factorization is obtained in closed form for a phase type approximation to the CGMY Lévy process. This allows, for the approximation, exact computation of first passage times to barrier levels via Laplace transform inversion. Calibration of the CGMY model to market option prices defines the risk neutral…

We introduce a class of interest rate models, called the $α$-CIR model, which gives a natural extension of the standard CIR model by adopting the $α$-stable L{é}vy process and preserving the branching property. This model allows to describe in a unified and parsimonious way several recent observations on the sovereign …

Let $M$ be a manifold, $V$ be a vector field on $M$, and $B$ be a Banach space. For any fixed function $f:M\rightarrow B$ and any fixed complex number $λ$, we study Hyers-Ulam stability of the global differential equation $Vy=λy+f$.

Modeling financial markets with a novel order flow model.

The distribution of trade sizes and trading volumes are investigated based on the limit order book data of 22 liquid Chinese stocks listed on the Shenzhen Stock Exchange in the whole year 2003. We observe that the size distribution of trades for individual stocks exhibits jumps, which is caused by the number preference…

In this paper, we provide a representation theorem for dynamic capital allocation under It{ô}-L{é}vy model. We consider the representation of dynamic risk measures defined under Backward Stochastic Differential Equations (BSDE) with generators that grow quadratic-exponentially in the control variables. Dynamic capital …

We prove that a compact stratied space satises the Riemannian curvature-dimension condition RCD(K, N) if and only if its Ricci tensor is bounded below by K $\in$ R on the regular set, the cone angle along the stratum of codimension two is smaller than or equal to 2$π$ and its dimension is at most equal to N. This gives…

Many recent papers address reading comprehension, where examples consist of (question, passage, answer) tuples. Presumably, a model must combine information from both questions and passages to predict corresponding answers. However, despite intense interest in the topic, with hundreds of published papers vying for lead…

Constructs supermartingale couplings with full marginals constraints.

We provide an empirical investigation aimed at uncovering the statistical properties of intricate stock trading networks based on the order flow data of a highly liquid stock (Shenzhen Development Bank) listed on Shenzhen Stock Exchange during the whole year of 2003. By reconstructing the limit order book, we can extra…

Study optimizes market making in Chinese stock market with stochastic control and scenario analysis.

Open markets are a subset of equity markets with fixed top stocks, changing over time.

Study applies market microstructure to Cuban informal currency market, finding market makers improve liquidity.

Study finds varying market efficiency in prewar and wartime Japanese stock market.

Study uses Kalman-Filter to assess market efficiency in major stock markets.

Recent innovations in Information and Communication Technologies (ICT) provide new opportunities and challenges for integration of distributed energy resources (DERs) into the energy supply system as active market players. By increasing integration of DERs, novel market platform should be designed for these new market …

We study the effect of globalization on the Korean market, one of the emerging markets. Some characteristics of the Korean market are different from those of the mature market according to the latest market data, and this is due to the influence of foreign markets or investors. We concentrate on the market network stru…

Study shows informed traders harm market makers but price discovery benefits outweigh costs.

We investigate the possibility of statistical evaluation of the market completeness for discrete time stock market models. It is known that the market completeness is not a robust property: small random deviations of the coefficients convert a complete market model into a incomplete one. The paper shows that market inc…

This thesis applies RL to market making in China's commodity market.

Research predicts money market volume based on capital market and bank rates ratio.

The possibility of statistical evaluation of the market completeness and incompleteness is investigated for continuous time diffusion stock market models. It is known that the market completeness is not a robust property: small random deviations of the coefficients convert a complete market model into a incomplete one.…

This study examines how DMMs affect market liquidity and competition.

AI learns market manipulation through simulation, suggesting regulation.

Optimal market making strategy for electronic markets with persistent order flows.

The paper finds that bear markets cause recessions and bull markets cause expansions, with bull markets having a stronger causal effect.

PRIME models cryptocurrency exchange market impact.

Article examines NFT market microstructure and trading risks.

In a stock market, the numeraire portfolio, if it exists, is the portfolio with the highest expected logarithmic growth rate at all times. A numeraire market is a stock market for which the market portfolio is the numeraire portfolio. We study open markets, markets comprising the higher capitalization stocks within a b…

This study evaluates prewar Japanese financial market efficiency using time-varying models.

ABM simulates OTC government bond market dynamics, enhancing liquidity and stability.

This study examines how market makers balance risk and impact in foreign exchange markets.

Study shows how market efficiency changes during the pandemic.

Two markets should be considered isomorphic if they are financially indistinguishable. We define a notion of isomorphism for financial markets in both discrete and continuous time. We then seek to identify the distinct isomorphism classes, that is to classify markets. We classify complete one-period markets. We define …

We investigate the relative market efficiency in financial market data, using the approximate entropy(ApEn) method for a quantification of randomness in time series. We used the global foreign exchange market indices for 17 countries during two periods from 1984 to 1998 and from 1999 to 2004 in order to study the effic…

The structure of return spillovers is examined by constructing Granger causality networks using daily closing prices of 20 developed markets from 2nd January 2006 to 31st December 2013. The data is properly aligned to take into account non-synchronous trading effects. The study of the resulting networks of over 94 sub-…

Market-maker optimizes quotes based on strategic market-takers' behavior.

This paper analyzes microstructure dynamics in coupled markets using CFMMs.

We introduce Hermite fractional financial markets, where market uncertainties are described by multidimensional Hermite motions. Hermite markets include as particular cases financial markets driven by multivariate fractional Brownian motion and multivariate Rosenblatt motion. Conditions for no-arbitrage and market comp…

This study examines whether the efficiency of cryptocurrency markets (Bitcoin and Ethereum) evolve over time based on Lo's (2004) adaptive market hypothesis (AMH). In particular, we measure the degree of market efficiency using a generalized least squares-based time-varying model that does not depend on sample size, un…

Uniswap markets perform well and closely track reference prices.

Study uses RL to simulate realistic market behavior.

Pari-mutuel markets are trading platforms through which the common market maker simultaneously clears multiple contingent claims markets. This market has several distinctive properties that began attracting the attention of the financial industry in the 2000s. For example, the platform aggregates liquidity from the ind…

Competition has been introduced in the electricity markets with the goal of reducing prices and improving efficiency. The basic idea which stays behind this choice is that, in competitive markets, a greater quantity of the good is exchanged at a lower and a lower price, leading to higher market efficiency. Electricity …