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.
Study examines financial structure's impact on non-financial firms' growth in Kenya.
Study shows long-term debt impacts financial growth of non-financial firms listed at Nairobi Securities Exchange.
Study assesses short-term debt's impact on non-financial firms' financial growth.
This study assesses how share capital affects financial growth of non-financial firms listed at NSE.
Stock exchanges are considered major players in financial sectors of many countries. Most Stockbrokers, who execute stock trade, use technical, fundamental or time series analysis in trying to predict stock prices, so as to advise clients. However, these strategies do not usually guarantee good returns because they gui…
The article presents a new entropy model for assessing stock market interest.
Chebyshev polynomials analyze Czech enterprises' stock dynamics.
Contextual bandit framework improves revenue optimization in securities lending market.
It is customary that when security prices fully reflect all available information, the markets for those securities are said to be efficient. And if markets are inefficient, investors can use available information ignored by the market to earn abnormally high returns on their investments. In this context this paper tri…
Study shows SEC crypto classification led to significant market reactions.
Order matching systems form the backbone of modern equity exchanges, used by millions of investors daily. Thus, their operation is strictly controlled through numerous regulatory directives to ensure that markets are fair and transparent. Despite these efforts, market manipulation remains an open problem. In this work,…
This research compiles knowledge on decentralized exchanges with AMM protocols.
This research categorizes AMM designs for secure token exchanges.
We utilize a fundamentally different model of trading costs to look at the effect of the opening of the Hong Kong Shanghai Connect that links the stock exchanges in the two cities, arguably the biggest event in international business and finance since Christopher Columbus set sail for India. We design a novel methodolo…
The article presents calculations that prove practical importance of the earlier derived theoretical relationship between the interest rate on the interbank credit market, volume of investment and the quantity of securities tradable on the stock exchange.
We give a brief introduction to the Gauge Theory of Arbitrage. Treating a calculation of Net Present Values (NPV) and currencies exchanges as a parallel transport in some fibre bundle, we give geometrical interpretation of the interest rate, exchange rates and prices of securities as a proper connection components. Thi…
SPAC data shows premium investors get better terms, non-premium get quid pro quo deals.
An Entropic Dynamics of exchange rates is laid down to model the dynamics of foreign exchange rates, FX, and European Options on FX. The main objective is to represent an alternative framework to model dynamics. Entropic inference is an inductive inference framework equipped with proper tools to handle situations where…
Study on price formation in a market with a major player and minor firms.
Cronus securely transfers model parameters to protect federated learning from poisoning attacks.
Survey on security and privacy in decentralized federated learning.
The DAO Report led to a significant shift of ICO activity to Europe.
Post-Quantum Secure Federated DeFi for Inclusive Banking
A quantum financial approach to finite games of strategy is addressed, with an extension of Nash's theorem to the quantum financial setting, allowing for an entanglement of games of strategy with two-period financial allocation problems that are expressed in terms of: the consumption plans' optimization problem in pure…
Distributed securities exchanges may become de facto fragmented if they span geographical regions with asymmetric computer infrastructure. First, we build an economic model of a decentralized exchange with two miner clusters, standing in for compact areas of economic activity (e.g., cities). "Local" miners in the area …
We present a phenomenological study of stock price fluctuations of individual companies. We systematically analyze two different databases covering securities from the three major US stock markets: (a) the New York Stock Exchange, (b) the American Stock Exchange, and (c) the National Association of Securities Dealers A…
In mutual fund, an investment adviser gives advice to clients about investing in securities such as stocks, bonds, mutual funds, or exchange traded funds. Some investment advisers manage portfolios of securities. In this paper, we analyze advisor portfolio for each advisor so as to recognize the pattern in each adviser…
The contradiction between physical and economical sciences concerning the growth of the production/consumption mechanism is analyzed. It is then shown that if one wishes to keep the security level stable or to enhance it in a growing economy the cost of security grows faster than the gross wealth. The result is a typic…
Study compares market microstructure between two South African exchanges.
Study reveals strong price correlations between major and alt-coins.
Since they were authorized by the U.S. Security and Exchange Commission in 1998, electronic exchanges have boomed, and by 2010 high frequency trading accounted for over 70% of equity trades in the US. Such markets are thought to increase liquidity because of the presence of market makers, who are willing to trade as co…
This paper uses SARIMA models to forecast Nifty 50 index.
We look at the effect of the tick size changes on the TOPIX 100 index names made by the Tokyo Stock Exchange on Jan-14-2014 and Jul-22-2104. The intended consequence of the change is price improvement and shorter time to execution. We look at security level metrics that include the spread, trading volume, number of tra…
Federated Extra-Trees protects privacy while improving machine learning performance.
How an investor invests in the market is largely influenced by the market efficiency because if a market is efficient, it is extremely difficult to make excessive returns because in an efficient market there will be no undervalued securities i.e. securities whose value is less than its assumed intrinsic value, which of…
Recently we reported on an application of the Tsallis non-extensive statistics to the S&P500 stock index. There we argued that the statistics are applicable to a broad range of markets and exchanges where anamolous (super) diffusion and 'heavy' tails of the distribution are present, as they are in the S&P500. We have c…
Most real-world data are scattered across different companies or government organizations, and cannot be easily integrated under data privacy and related regulations such as the European Union's General Data Protection Regulation (GDPR) and China' Cyber Security Law. Such data islands situation and data privacy & secur…
The paper develops diverse risk models for US stock portfolios.
We analyze four structured products that have caused severe losses to investors in recent years. These products are: return optimization securities, yield magnet notes, reverse exchangeable securities, and principal-protected notes. We describe the basic structure of these products, analyze them probabilistically using…
The purpose of this study was to build a customer selection model based on 20 dimensions, including customer codes, total contribution, assets, deposit, profit, profit rate, trading volume, trading amount, turnover rate, order amount, withdraw amount, withdraw rate, process fee, process fee submitted, process fee retai…
We perform a parallel analysis of the spectral density of (i) the logarithm of price and (ii) the daily number of trades of a set of stocks traded in the New York Stock Exchange. The stocks are selected to be representative of a wide range of stock capitalization. The observed spectral densities show a different power-…
Money was invented to address the difficulty in the double coincidence of wants between the supply and demand when people exchanged their goods and services. There are two information states in society: one is the initial state that people have goods and services due to division of labor; the other is the final state t…
Both the scientific community and the popular press have paid much attention to the speed of the Securities Information Processor, the data feed consolidating all trades and quotes across the US stock market. Rather than the speed of the Securities Information Processor, or SIP, we focus here on its accuracy. Relying o…
We recently showed that the S&P500 stock market index is well described by Tsallis non-extensive statistics and nonlinear Fokker-Planck time evolution. We argued that these results should be applicable to a broad range of markets and exchanges where anomalous diffusion and `heavy' tails of the distribution are present.…
The complex networks approach has been gaining popularity in analysing investor behaviour and stock markets, but within this approach, initial public offerings (IPO) have barely been explored. We fill this gap in the literature by analysing investor clusters in the first two years after the IPO filing in the Helsinki S…
Extends micro-price concept to RFQ markets for fair pricing.
Machine learning models outperform traditional technical analysis in Bitcoin trading.
The relationship between expectation and price is commonly established with two principles: no-arbitrage, which asserts that both maps are positive; and equivalence, which asserts that the maps share the same null events. Constructed from the Arrow-Debreu securities, classical and quantum models of economics are then d…