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.
Deep learning predicts market sensitivities for cost-effective index tracking.
New stock market index captures market chaos and volatility.
Investment strategies involving cryptocurrencies and VIX INDEX show positive impact in market performance.
Paper proposes a framework for precise daily default risk prediction of Chinese credit bonds.
Notwithstanding almost forty years of efforts, the market for paintings still lacks a widely accepted price index. In this paper, we introduce a simple and intuitive metric to construct such index. Our metric is based on the price of a painting divided by its area. This formulation rests on a solid mathematical foundat…
Large and stable indices of the world wide stock markets such as NYSE and SP 500 together with NASDAQ -- the index representing markets of new trends, and WIG -- the index of the local stock market of Eastern Europe, are considered. Due to the relation between artificial insymmetrised patterns (AIP) and time series, st…
The MSPI predicts market stress with machine learning.
Paper introduces CSIE for estimating stock market volatility.
In this paper, a frequency coefficient based on the Sen-Shorrocks-Thon (SST) poverty index notion is proposed. The clustering SST index can be used as the method for determination of the connection between similar neighbor sub-clusters. Consequently, connections can reveal existence of natural homogeneous. Through esti…
Paper proposes an EKF for estimating time-varying market efficiency.
Study shows COVID-19 increases stock market crash risk in China.
Obtaining more accurate equity value estimates is the starting point for stock selection, value-based indexing in a noisy market, and beating benchmark indices through tactical style rotation. Unfortunately, discounted cash flow, method of comparables, and fundamental analysis typically yield discrepant valuation estim…
A new model uses a Levy-driven process to value credit index swaptions.
Study shows survivorship bias inflates returns in India's small-cap index.
The VSTOXX index tracks the expected 30-day volatility of the EURO STOXX 50 equity index. Futures on the VSTOXX index can, therefore, be used to hedge against economic uncertainty. We investigate the effect of trader inventory on the price of VSTOXX futures through a combination of stochastic processes and machine lear…
Cubic predicts stock market indices by fusing stock latent embeddings and converting to binary classification.
A new index CRIX for cryptocurrencies is proposed to track market changes.
Forecasting stock market decline and recovery post-COVID-19.
We propose a new NFT price index to track the digital art market.
This paper surveys the evolution of industrial concentration of the Brazilian automotive market as well as its positioning in the worldmarket. Data available by OICA (International Organization of Motor Vehicle Manufacturers) were used to better understand the characteristics of the Brazilian market on the world stage.…
The study improves stock market valuation using volatility and earnings data.
Study examines cross-training neural networks for financial index prediction.
This paper models CSI 300 index volatility using machine learning and addresses jump prediction.
Study reveals the 2020 U.S. stock crash was endogenous, not caused by COVID.
In this paper, a statistical analysis of log-return fluctuations of the IPC, the Mexican Stock Market Index is presented. A sample of daily data covering the period from was analyzed, and fitted to different distributions. Tests of the goodness of fit were performed in order to quantitatively as…
The study finds no evidence of stochastic arbitrage opportunities in S&P 500 index options.
Unified model explains market dynamics, linking order flow, volatility, and impact.
Much research has been conducted arguing that tipping points at which complex systems experience phase transitions are difficult to identify. To test the existence of tipping points in financial markets, based on the alternating offer strategic model we propose a network of bargaining agents who mutually either coopera…
We investigate the strength and the direction of information transfer in the U.S. stock market between the composite stock price index of stock market and prices of individual stocks using the transfer entropy. Through the directionality of the information transfer, we find that individual stocks are influenced by the …
Membership in the Russell 1000 and 2000 Indices is based on a ranking of market capitalization in May. Each index is separately value weighted such that firms just inside the Russell 2000 are comparable in size to firms just outside (i.e. at the bottom of the Russell 1000) but have much higher index weights. These feat…
The Hype Index measures media attention to equities using NLP.
We explore the effect of past market movements on the instantaneous correlations between assets within the futures market. Quantifying this effect is of interest to estimate and manage the risk associated to portfolios of futures in a non-stationary context. We apply and extend a previously reported method called the P…
The paper examines short-term volatilities in equity indexes using a ranking procedure.
A new method tracks index using topological data analysis for sparse portfolios.
Study improves stock index prediction accuracy using TPE-GRNN models.
This study presents an agent-based computational cross-market model for Chinese equity market structure, which includes both stocks and CSI 300 index futures. In this model, we design several stocks and one index futures to simulate this structure. This model allows heterogeneous investors to make investment decisions …
A new stock index model simplifies high-dimensional stock data.
In this paper we provide evidence that financial option markets for equity indices give rise to non-trivial dependency structures between its constituents. Thus, if the individual constituent distributions of an equity index are inferred from the single-stock option markets and combined via a Gaussian copula, for examp…
Study financial market graphs with Laplacian constraints.
The paper predicts financial markets using news text and semantic network analysis.
Study uses CSIE to estimate portfolio volatility relative to market.
This study explores the time-varying structure of market efficiency in the prewar and wartime Japanese stock market using a new market capitalization-weighted stock price index, the equity performance index. We examine whether the adaptive market hypothesis (AMH) is supported in that era. First, we find that the degree…
In this article, the long-term behavior of the stock market index of the New York Stock Exchange is studied, for the period 1950 to 2013. Specifically, the CRSP Value-Weighted and CRSP Equal-Weighted index are analyzed in terms of market efficiency, using the standard ratio variance test, considering over 1600 one week…
The Financial Chaos Index models stock market volatility across three regimes based on mutual price fluctuations.
We present a study of price impact in the over-the-counter credit index market, where no limit order book is used. Contracts are traded via dealers, that compete for the orders of clients. Despite this distinct microstructure, we successfully apply the propagator technique to estimate the price impact of individual tra…
Method improves volatility targeting for index construction.
We study the temporal evolution of the market efficiency in the stock markets using the complexity, entropy density, standard deviation, autocorrelation function, and probability distribution of the log return for Standard and Poor's 500 (S&P 500), Nikkei stock average index, and Korean composition stock price index (K…
In this paper we attempt to introduce an econophysics approach to evaluate some aspects of the risks in financial markets. For this purpose, the thermodynamical methods and statistical physics results about entropy and equilibrium states in the physical systems are used. Some considerations on economic value and financ…