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.
Analyzes how inclusion/exclusion from STOXX Europe 600 Index affects company prices.
A new framework predicts stock movements using news sentiment and relational data.
In this paper we investigate the impact of news to predict extreme financial returns using high frequency data. We consider several model specifications differing for the dynamic property of the underlying stochastic process as well as for the innovation process. Since news are essentially qualitative measures, they ar…
A two-stage decision support system optimizes long-short portfolios under ESG considerations.
The study finds that firm membership in flagship indices and TCFD endorsement are strong predictors of a wider Disclosure-Performance Gap.
Machine learning reveals inventory effects on VSTOXX futures pricing.
Hybrid model outperforms benchmarks in financial forecasting.
Over the last decade, dividends have become a standalone asset class instead of a mere side product of an equity investment. We introduce a framework based on polynomial jump-diffusions to jointly price the term structures of dividends and interest rates. Prices for dividend futures, bonds, and the dividend paying stoc…
Derives a new formula for measuring risk aversion in markets.
The correlation function of a financial index of the New York stock exchange, the S&P 500, is analyzed at 1 min intervals over the 13-year period, Jan 84 -- Dec 96. We quantify the correlations of the absolute values of the index increment. We find that these correlations can be described by two different power laws wi…
The study analyzes pricing and hedging of STCDOs using an affine model with a catastrophic risk component.
We investigate the local fractal properties of the financial time series based on the evolution of the Warsaw Stock Exchange Index (WIG) connected with the largest developing financial market in Europe. Calculating the local Hurst exponent for the WIG time series we find an interesting dependence between the behavior o…
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…
Generative models of natural images have progressed towards high fidelity samples by the strong leveraging of scale. We attempt to carry this success to the field of video modeling by showing that large Generative Adversarial Networks trained on the complex Kinetics-600 dataset are able to produce video samples of subs…
Long memory and volatility clustering are two stylized facts frequently related to financial markets. Traditionally, these phenomena have been studied based on conditionally heteroscedastic models like ARCH, GARCH, IGARCH and FIGARCH, inter alia. One advantage of these models is their ability to capture nonlinear dynam…
We fit the volatility fluctuations of the S&P 500 index well by a Chi distribution, and the distribution of log-returns by a corresponding superposition of Gaussian distributions. The Fourier transform of this is, remarkably, of the Tsallis type. An option pricing formula is derived from the same superposition of Black…
Dataset for rainfall modeling in central Europe from 1981-2011.
The dynamics of the equal-time cross-correlation matrix of multivariate financial time series is explored by examination of the eigenvalue spectrum over sliding time windows. Empirical results for the S&P 500 and the Dow Jones Euro Stoxx 50 indices reveal that the dynamics of the small eigenvalues of the cross-correlat…
We introduce a multivariate stochastic volatility model for asset returns that imposes no restrictions to the structure of the volatility matrix and treats all its elements as functions of latent stochastic processes. When the number of assets is prohibitively large, we propose a factor multivariate stochastic volatili…
The DAO Report led to a significant shift of ICO activity to Europe.
Paper evaluates different models for predicting credit default swap volatility.
A new beta model reduces bias in market neutral strategies.
We analyze the problem of the analytical characterization of the probability distribution of financial returns in the exponential Ornstein-Uhlenbeck model with stochastic volatility. In this model the prices are driven by a Geometric Brownian motion, whose diffusion coefficient is expressed through an exponential funct…
Study uses put-call parity to estimate cost of funding in equity derivatives markets.
This paper introduces a new semi-parametric approach to the pricing and risk management of bespoke CDO tranches, with a particular attention to bespokes that need to be mapped onto more than one reference portfolio. The only user input in our framework is a multi-factor model (a "prior" model hereafter) for index portf…
We propose a methodological framework to study the dynamics of inter-regional investment flow in Europe from a Complex Networks perspective, an approach with recent proven success in many fields including economics. In this work we study the network of investment stocks in Europe at two different levels: first, we comp…
We apply RMT, Network and MF-DFA methods to investigate correlation, network and multifractal properties of 20 global financial indices. We compare results before and during the financial crisis of 2008 respectively. We find that the network method gives more useful information about the formation of clusters as compar…
A non-parametric method for ranking stock indices according to their mutual causal influences is presented. Under the assumption that indices reflect the underlying economy of a country, such a ranking indicates which countries exert the most economic influence in an examined subset of the global economy. The proposed …
Study uses RL to optimize global equity portfolios, finds mixed results.
New method combines simple forecasting techniques for river flow predictions.
The 2007--2008 financial crisis has paved the way for the use of macroprudential policies in supervising the financial system as a whole. This paper views macroprudential oversight in Europe as a process, a sequence of activities with the ultimate aim of safeguarding financial stability. To conceptualize a process in t…
Modeling tech transfer to explain convergence in Central and Eastern Europe.
I present a web service for querying an embedding of entities in the Wikidata knowledge graph. The embedding is trained on the Wikidata dump using Gensim's Word2Vec implementation and a simple graph walk. A REST API is implemented. Together with the Wikidata API the web service exposes a multilingual resource for over …
Study examines short-term stress of COVID-19 on major global stock indices.
Quantum computing optimizes ESG portfolios efficiently.
Python tool assesses European agricultural production resilience.
In the late 90's, after severe financial and economic crisis, accompanied by inflation and exchange rate instability, Eastern Europe emerged into two groups of countries with radically contrasting monetary regimes (Currency Boards and Inflation targeting). The task of our study is to compare econometrically the perform…
ASKAP observes a region of the Galactic plane, identifying 3963 radio sources.
HedgeNet uses neural networks to reduce hedging errors for financial options.
Recently, Basel Committee for Banking Supervision proposed to replace all approaches, including Advanced Measurement Approach (AMA), for operational risk capital with a simple formula referred to as the Standardised Measurement Approach (SMA). This paper discusses and studies the weaknesses and pitfalls of SMA such as …
This summarizes the study of the financial and economic crisis in Europe. The starting questions were: 1) Why do we have a crisis? Unde venis? 2) What will be the outcome? Quo vadis? Here is the reasoning which touches many areas, ranging from financial to politics and from psychology and economy.
BESS shows potential in European markets for frequency support, but not for energy arbitrage.
We establish a one-parameter family of Harnack inequalities connecting the constrained trace Li-Yau differential Harnack inequality for a nonlinear parabolic equation to the constrained trace Chow-Hamilton Harnack inequality for this nonlinear equation with respect to evolving metrics related to Ricci flow on a 2-dimen…
Study identifies key drivers and spatio-temporal trends of extreme Mediterranean wildfires.
FS-GCLSTM predicts stock returns by leveraging value-chain relationships.
Fossil power firms have recently profited more than renewables, but this may be a temporary phenomenon.
By analyzing the foreign exchange market data of various currencies, we derive a hierarchical taxonomy of currencies constructing minimal-spanning trees. Clustered structure of the currencies and the key currency in each cluster are found. The clusters match nicely with the geographical regions of corresponding countri…
We show that the knot quandle of the -, -, or -twist-spun trefoil is isomorphic to a quandle related to the -, -, or -cell respectively. We further show that the cardinality of the knot quandle of the -twist-spun trefoil is finite if and only if . This phenomenon is attributabl…