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.
This study examines how ChiNext IPOs' initial returns are influenced by regulation regime changes.
Study shows registration regime improves IPO pricing efficiency in China.
Financial markets change their behaviours abruptly. The mean, variance and correlation patterns of stocks can vary dramatically, triggered by fundamental changes in macroeconomic variables, policies or regulations. A trader needs to adapt her trading style to make the best out of the different phases in the stock marke…
The present paper aims at locating the breakings of the integration process of an international system observed during about 50 years in the 19th century. A historical study could link them to special events, which operated as exogenous shocks on this process. The indicator of integration used is the spread between the…
MiCA regulation led to a shift in stablecoin dominance.
Any solvency regime for financial institutions should be aligned with the fundamental objectives of regulation: protecting liability holders and securing the stability of the financial system. The first objective leads to consider surplus-invariant capital adequacy tests, i.e. tests that do not depend on the surplus of…
Improved stochastic clocks for financial models without increasing trades.
Trading strategy uses Hoeffding's Inequality to predict financial regime change.
We introduce a model in which a regulator employs mechanism design to embed her human capital beta signal(s) in a firm's capital structure, in order to enhance the value of her post career change indexed executive stock option contract with the firm. We prove that the agency cost of this revolving door behavior increas…
The Conant-Ashby theorem is verified for hypergraph observers, leading to unique learning rules.
We introduce and study a non-equilibrium continuous-time dynamical model of the price of a single asset traded by a population of heterogeneous interacting agents in the presence of uncertainty and regulatory constraints. The model takes into account (i) the price formation delay between decision and investment by the …
The FCA improved insider trading regulation after 2012, reducing abnormal returns.
Modular pipeline improves stock portfolio prediction robustness under regime changes.
Study identifies change points in piecewise constant reward functions with fixed exploration budget.
Survey examines types of systemic risk in financial networks.
To survive environmental conditions, cells transcribe their response activities into encoded mRNA sequences in order to produce certain amounts of protein concentrations. The external conditions are mapped into the cell through the activation of special proteins called transcription factors (TFs). Due to the difficult …
Model predicts trade volume changes from financial filings.
A successful response to climate change needs vast investments in low-carbon research, energy, and sustainable development. Governments can drive research, provide environmental regulation, and accelerate global development, but the necessary low-carbon investments of 2-3% GDP have yet to materialise. A new strategy to…
Paper optimizes change-point detection using learned distributions from training sequences.
The rBergomi model is improved with a regime switching change of measure to match market VIX smiles.
This paper analyzes crypto white papers under MiCAR, highlighting NLP's role.
We investigate an economic system in which one large agent - the Japan government changes the environment of numerous smaller agents - the Japan agriculture producers by indirect regulation of prices of agriculture goods. The reason for this intervention was that before the oil crisis in 1974 Japan agriculture producti…
Corrects technical error in change of measure for HTB models.
Unified framework detects change-points and estimates parameters in nonlinear systems with regime switching.
Blockchain disrupts corporate finance, but challenges remain.
In this paper, we study the modeling and the classification of functional data presenting regime changes over time. We propose a new model-based functional mixture discriminant analysis approach based on a specific hidden process regression model that governs the regime changes over time. Our approach is particularly a…
Study examines how industrial emissions evolve over time in response to various factors.
Bayesian method detects change points in time series data.
The changing nature of the relationship between a retail bank and its customers is examined, particularly with respect to new financial concepts, debt and regulation. The traditional image of a bank is portrayed as a physical building a classical Doric portico. This image conveys concepts of service, soundness, strengt…
Model predicts risk-adjusted returns across various financial markets.
SREC markets are a relatively novel market-based system to incentivize the production of energy from solar means. A regulator imposes a floor on the amount of energy each regulated firm must generate from solar power in a given period and provides them with certificates for each generated MWh. Firms offset these certif…
We evaluate the applicability of the generic Vickrey-Clarke-Groves (VCG) mechanism as an antimonopoly measure against a profit-maximizing producer with market power operating a portfolio of generating units at the centralized two-settlement energy market. The producer may indicate in its bid not only the altered cost f…
Revisits life insurance surplus models with new technical bases.
ProteuS generates synthetic financial data with regime changes for testing drift detection.
The paper improves energy contract pricing models by incorporating jumps and varying parameters.
New method clusters financial time series into volatility regimes.
Statistical approaches for Functional Data Analysis concern the paradigm for which the individuals are functions or curves rather than finite dimensional vectors. In this paper, we particularly focus on the modeling and the classification of functional data which are temporal curves presenting regime changes over time.…
RegimeFolio optimizes portfolios by adapting to changing market regimes.
Paper improves SVaR estimation for stress testing under macro scenarios using a hybrid GPR-HS framework.
We present a broad agenda for meaningful banking regulation reform aiming the creation of evolutive competitive environment to maximize the effectiveness of international financial system through the introduction of fair competition process among the banks in free market capitalism. We assume that the international fin…
Bayesian VAR and Elliptical Black-Litterman models improve portfolio optimization during regime changes and heavy-tailed returns.
Paper proposes BOCPD for real-time order flow and market impact prediction.
We introduce a novel geometry-oriented methodology, based on the emerging tools of topological data analysis, into the change point detection framework. The key rationale is that change points are likely to be associated with changes in geometry behind the data generating process. While the applications of topological …
The paper uses filtering techniques to predict rating transitions.
This paper presents the construction of a particle filter, which incorporates elements inspired by genetic algorithms, in order to achieve accelerated adaptation of the estimated posterior distribution to changes in model parameters. Specifically, the filter is designed for the situation where the subsequent data in on…
Optimizes dividend control in a bankruptcy process using a special Levy process.
A new jump diffusion regime-switching model is introduced, which allows for linking jumps in asset prices with regime changes. We prove the existence and uniqueness of the solution to the risk-sensitive asset management criterion maximisation problem in this setting. We provide an ODE for the optimal value function, wh…
Mortal bandits have proven to be extremely useful for providing news article recommendations, running automated online advertising campaigns, and for other applications where the set of available options changes over time. Previous work on this problem showed how to regulate exploration of new arms when they have recen…