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.
OMBA learns product and user representations for better online market basket analysis.
Method calibrates basket options using rearranged samples from constituent processes.
A new model analyzes document structure and customer shopping patterns.
The possibility that the collective dynamics of a set of stocks could lead to a specific basket violating the efficient market hypothesis is investigated. Precisely, we show that it is systematically possible to form a basket with a non-trivial autocorrelation structure when the examined time scales are at the order of…
This paper analyzes microstructure dynamics in coupled markets using CFMMs.
Paper improves CDO calibration using Magnus Expansion and Deep Learning.
Emerging market hard-currency bonds are an asset class of growing importance, and contain exposure to an EM sovereign and the underlying industry. The authors investigate how to model this as a modification of the well-known first-to-default (FtD) basket, using the structural model, and find the approach feasible.
Recommender systems (RS) help users navigate large sets of items in the search for "interesting" ones. One approach to RS is Collaborative Filtering (CF), which is based on the idea that similar users are interested in similar items. Most model-based approaches to CF seek to train a machine-learning/data-mining model b…
Next basket recommendation, which aims to predict the next a few items that a user most probably purchases given his historical transactions, plays a vital role in market basket analysis. From the viewpoint of item, an item could be purchased by different users together with different items, for different reasons. Ther…
Study bounds for European basket call options in a discrete-time market model with price jumps.
Generative model prices basket options efficiently.
The paper solves the skewness problem in high-dimensional basket options.
The study analyzes the differences between physical and risk-neutral correlation estimates for equity baskets.
In this paper we give definitions of matrix rates of return which do not depend on the choice of basis describing baskets. We give their economic interpretation. The matrix rate of return describes baskets of arbitrary type and extends portfolio analysis to the complex variable domain. This allows us for simultaneous a…
This paper examines pricing and hedging strategies for cross-currency equity protection swaps.
In this article we consider the problem of pricing and hedging high-dimensional Asian basket options by Quasi-Monte Carlo simulation. We assume a Black-Scholes market with time-dependent volatilities and show how to compute the deltas by the aid of the Malliavin Calculus, extending the procedure employed by Montero and…
Pricing of high-dimensional options is a deep problem of the Theoretical Financial Mathematics. In this article we present a new class of Lévy driven models of stock markets. In our opinion, any market model should be based on a transparent and intuitively easily acceptable concept. In our case this is a linear system …
Study efficient numerical methods for American basket options.
A strategy to beat benchmarks by investing in heavily shorted but fundamentally sound securities.
Word embeddings are a powerful approach for capturing semantic similarity among terms in a vocabulary. In this paper, we develop exponential family embeddings, a class of methods that extends the idea of word embeddings to other types of high-dimensional data. As examples, we studied neural data with real-valued observ…
New model values equity-linked securities with guaranteed return.
Exponential Lévy processes have been used for modelling financial derivatives because of their ability to exhibit many empirical features of markets. Using their multidimensional analogue, a general analytic pricing formula is obtained, allowing for the direct valuation of multi-asset options on $n \in \z^+$ risky asse…
The DeepSurv model predicts purchase timing better than other survival models.
The paper develops Hawkes-based models for LOB and applies them to European, spread, and basket option pricing.
We examine the problem of dynamic reserving for risk in multiple currencies under a general coherent risk measure. The reserver requires to hedge risk in a time-consistent manner by trading in baskets of currencies. We show that reserving portfolios in multiple currencies are time-consistent when (and only…
Flat plumbing basket surfaces of links were introduced to study the geometry of the complement of the links. These flat plumbing basket surface can be presented by a sequential presentation known as flat plumbing basket code first found by Furihata, Hirasawa and Kobayashi. The minimum number of flat plumbings to obtain…
Quantum state preparation framework speeds up basket option pricing.
Flat plumbing basket surfaces of links were introduced to study the geometry of the complement of the links. In present article, we study links of the flat plumbing basket numbers or less using a special presentation of the flat plumbing basket surfaces. We find a complete classification theorem of links of the fla…
We investigate the computational aspects of the basket CDS pricing with counterparty risk under a credit contagion model of multinames. This model enables us to capture the systematic volatility increases in the market triggered by a particular bankruptcy. The drawback of this problem is its analytical complication due…
Executing a basket of co-integrated assets is an important task facing investors. Here, we show how to do this accounting for the informational advantage gained from assets within and outside the basket, as well as for the permanent price impact of market orders (MOs) from all market participants, and the temporary imp…
The state price density of a basket, even under uncorrelated Black-Scholes dynamics, does not allow for a closed from density. (This may be rephrased as statement on the sum of lognormals and is especially annoying for such are used most frequently in Financial and Actuarial Mathematics.) In this note we discuss short …
We define the basket number, the flat plumbing number and the flat plumbing basket number of a link. Then we provide some upperbounds for these plumbing numbers by using Seifert's algorithm. We study the relation between these plumbing numbers and the genera of links.
A flat plumbing basket is a Seifert surface consisting of a disk and bands contained in distinct pages of the disk open book decomposition of the 3-sphere. In this paper, we examine close connections between flat plumbing baskets and the contact structure supported by the open book. As an application we give lower boun…
Most of parameters used to describe states and dynamics of financial market depend on proportions of the appropriate variables rather than on their actual values. Therefore, projective geometry seems to be the correct language to describe the theater of financial activities. We suppose that the object of interest of ag…
A flat plumbing basket is a surface consisting a disk and finitely many bands which are contained in distinct pages of the trivial open book decomposition of . In this paper, we construct a Legendrian link from a flat plumbing basket, and we describe a relation among the self-linking number, the Thursto…
Paper improves basket option pricing for log-normal models.
Platform uses queries to elicit investor preferences for portfolio trades, improving allocation efficiency.
Tensor network surrogate for efficient option pricing in large portfolios.
Develops sparse portfolio strategy for high-dimensional assets.
Develops M2 model for next-basket recommendation considering user preferences, item popularity, and transition patterns.
Pricing of European basket call option with n-assets and a bond is discussed in this paper, where all prices of n-assets and the bond are driven by Exponential Ornstein-Uhlenbeck processes. The close-form of European basket option pricing formula is derived. Utilizing with 1-order differential approximate numerical sol…
Complementary products recommendation is an important problem in e-commerce. Such recommendations increase the average order price and the number of products in baskets. Complementary products are typically inferred from basket data. In this study, we propose the BB2vec model. The BB2vec model learns vector representat…
With growing consumer adoption of online grocery shopping through platforms such as Amazon Fresh, Instacart, and Walmart Grocery, there is a pressing business need to provide relevant recommendations throughout the customer journey. In this paper, we introduce a production within-basket grocery recommendation system, R…
The existence of basket, flat plumbing and flat plumbing basket surfaces of a link was first proven from a braid representative of the link. In the present article, we show the existence of such surfaces from an induced graph of the link. Consequently, we define the basket number, flat plumbing number and flat plumbing…
We study the problem of dynamically trading multiple futures contracts with different underlying assets. To capture the joint dynamics of stochastic bases for all traded futures, we propose a new model involving a multi-dimensional scaled Brownian bridge that is stopped before price convergence. This leads to the analy…
New formulas for pricing Asian and basket options using stochastic expansion.
New approximations for Asian basket spread options using stochastic Taylor expansions.
New method detects and clusters market regimes in multidimensional data.