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.
Estimates BitCoin price determinants using GARCH model on high-frequency data.
Recent increases in basic food prices are severely impacting vulnerable populations worldwide. Proposed causes such as shortages of grain due to adverse weather, increasing meat consumption in China and India, conversion of corn to ethanol in the US, and investor speculation on commodity markets lead to widely differin…
Modeling price impacts and trading signals for optimal execution and speculation.
Recent droughts in the midwestern United States threaten to cause global catastrophe driven by a speculator amplified food price bubble. Here we show the effect of speculators on food prices using a validated quantitative model that accurately describes historical food prices. During the last six years, high and fluctu…
We present an analysis of oil prices in US$ and in other major currencies that diagnoses unsustainable faster-than-exponential behavior. This supports the hypothesis that the recent oil price run-up has been amplified by speculative behavior of the type found during a bubble-like expansion. We also attempt to unravel t…
We analyze the stability properties of equilibrium solutions and periodicity of orbits in a two-dimensional dynamical system whose orbits mimic the evolution of the price of an asset and the excess demand for that asset. The construction of the system is grounded upon a heterogeneous interacting agent model for a singl…
AI applications pose increasing demands on performance, so it is not surprising that the era of client-side distributed software is becoming important. On top of many AI applications already using mobile hardware, and even browsers for computationally demanding AI applications, we are already witnessing the emergence o…
Defines speculative bubbles in discrete-time models based on discounted stock price losing mass.
We describe a simple model for speculative trading based on adaptive behavior of economic agents.The adaptive behavior is expressed through a feedback mechanism for changing agents' stock-to-bond ratios, depending on the past performance of their portfolios.The stock price is set according to the demand-supply for the …
A model of open economics composed of producers and speculators is investigated by numerical simulations. The capital flows from the environment to the producers and from them to the speculators. The price fluctuations are suppressed by the speculators. When the aggressivity of the speculators grows, there is a transit…
We present and study a Minority Game based model of a financial market where adaptive agents -- the speculators -- interact with deterministic agents -- called producers. Speculators trade only if they detect predictable patterns which grant them a positive gain. Indeed the average number of active speculators grows wi…
Agent-based model simulates speculative electronic market with price bubbles.
We propose that imitation between traders and their herding behaviour not only lead to speculative bubbles with accelerating over-valuations of financial markets possibly followed by crashes, but also to ``anti-bubbles'' with decelerating market devaluations following all-time highs. For this, we propose a simple marke…
Accelerating Speculative Diffusions via Block Verification
Extended speculation game improves Hurst exponent of financial time series.
The paper revisits classical competition theory to explain speculative asset price dynamics.
Proving the existence of speculative financial bubbles even a posteriori has proven exceedingly difficult so anticipating a speculative bubble ex ante would at first seem an impossible task. Still as illustrated by the recent turmoil in financial markets initiated by the so called subprime crisis there is clearly an ur…
This paper analyzes speculative decoding, a method to speed up large language model inferences.
Speculative bubbles have been occurring periodically in local or global real estate markets and are considered a potential cause of economic crises. In this context, the detection of explosive behaviors in the financial market and the implementation of early warning diagnosis tests are of critical importance. The recen…
We document and analyze the empirical facts concerning one of the clearest evidence of speculation in financial trading as observed in the postage collection stamp market. We unravel some of the mechanisms of speculative behavior which emphasize the role of fancy and collective behavior. In our conclusion, we propose a…
In this paper we explain the wild fluctuations of financial prices from the intrinsic amplifying feedback of speculative supply and demand. Formally, we show that an asset return follows a multiplicative random growth with exogenous input, which is well-known to be a generic power-law generating process, and which coul…
Adaptive speculative decoding framework for LLMs using bandit algorithms.
Improved diffusion model generation speed with speculative sampling.
Accelerates TPP sampling with speculative decoding for faster sequence generation.
Cactus improves auto-regressive decoding speed without sacrificing quality.
The object of this contribution is to present the ideas behind the thinking of the French economist Pierre-Joseph Proudhon (1809-1865) in relation to the causes and effects of Stock market speculation. It is based upon the works of this author but particularly on his "Manuel du spéculateur à la Bourse" (Stock Market Sp…
A novel CAB-XDE framework predicts speculative stock prices with high accuracy.
GSI improves efficiency of large language model inference.
The Nasdaq Composite fell another on Friday the 14'th of April 2000 signaling the end of a remarkable speculative high-tech bubble starting in spring 1997. The closing of the Nasdaq Composite at 3321 corresponds to a total loss of over 35% since its all-time high of 5133 on the 10'th of March 2000. Simil…
Agent optimizes risky asset trading times based on Prospect Theory.
New game model improves financial stylized facts reproduction.
We introduce the speculate-correct method to derive error bounds for local classifiers. Using it, we show that k nearest neighbor classifiers, in spite of their famously fractured decision boundaries, have exponential error bounds with O(sqrt((k + ln n) / n)) error bound range for n in-sample examples.
Study tests if deep hedging differs from delta hedging in a GARCH market model.
NFT royalties boost creator earnings by sharing risk, reducing info asymmetry, and enabling price discrimination.
We present an interacting-agent model of speculative activity explaining bubbles and crashes in stock markets. We describe stock markets through an infinite-range Ising model to formulate the tendency of traders getting influenced by the investment attitude of other traders. Bubbles and crashes are understood and descr…
Study speculative trading using RL with exploratory framework.
The paper develops a theory for speculative decoding acceptance criteria.
The Minority Game is a generic model of competing adaptive agents, which is often believed to be a model of financial markets. We discuss to which extend this is a reasonable statement, and present minimal modifications that make this model reproduce stylized facts. The resulting model shows that without speculators, p…
New risk measure uses Fourier analysis of stock prices.
New method reduces diffusion model function evaluations for discrete data.
Model analyzes Proof-of-Stake network dynamics and speculative capital effects on token prices.
The aim of this paper is to propose a heterogeneous agent model of stock markets that develop complicated endogenous price fluctuations. We find occurrences of non-stationary chaos, or speculative bubble, are caused by the heterogeneity of traders' strategies. Furthermore, we show that the distributions of returns gene…
Keeping a basic tenet of economic theory, rational expectations, we model the nonlinear positive feedback between agents in the stock market as an interplay between nonlinearity and multiplicative noise. The derived hyperbolic stochastic finite-time singularity formula transforms a Gaussian white noise into a rich time…
The paper models cryptocurrency market bubbles using agent-based models.
Modeling high-frequency speculative markets as auction search processes.
We introduce a system of kinetic equations describing an exchange market consisting of two populations of agents (dealers and speculators) expressing the same preferences for two goods, but applying different strategies in their exchanges. We describe the trading of the goods by means of some fundamental rules in price…
What return should you expect when you take on a given amount of risk? How should that return depend upon other people's behavior? What principles can you use to answer these questions? In this paper, we approach these topics by exploring the consequences of two simple hypotheses about risk. The first is a common-sense…
This paper aims to provide a simple modelling of speculative bubbles and derive some quantitative properties of its dynamical evolution. Starting from a description of individual speculative behaviours, we build and study a second order Markov process, which after simple transformations can be viewed as a turning two-d…