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.
Paper solves PDEs for optimal investment strategies in volatile markets.
New model predicts stock performance in large equity markets.
We introduce a new system of stochastic differential equations which models dependence of market beta and unsystematic risk upon size, measured by market capitalization. We fit our model using size deciles data from Kenneth French's data library. This model is somewhat similar to generalized volatility-stabilized model…
We introduce polynomial processes in the sense of [8] in the context of stochastic portfolio theory to model simultaneously companies' market capitalizations and the corresponding market weights. These models substantially extend volatility stabilized market models considered by Robert Fernholz and Ioannis Karatzas in …
Constructs rank-based continuous semimartingales for financial markets.
Modeling cryptocurrency volatility and jumps with SVCJ model.
Study optimizes market making in Chinese stock market with stochastic control and scenario analysis.
Study applies market microstructure to Cuban informal currency market, finding market makers improve liquidity.
Study uses Kalman-Filter to assess market efficiency in major stock markets.
Recent innovations in Information and Communication Technologies (ICT) provide new opportunities and challenges for integration of distributed energy resources (DERs) into the energy supply system as active market players. By increasing integration of DERs, novel market platform should be designed for these new market …
We study the effect of globalization on the Korean market, one of the emerging markets. Some characteristics of the Korean market are different from those of the mature market according to the latest market data, and this is due to the influence of foreign markets or investors. We concentrate on the market network stru…
Study shows informed traders harm market makers but price discovery benefits outweigh costs.
We investigate the possibility of statistical evaluation of the market completeness for discrete time stock market models. It is known that the market completeness is not a robust property: small random deviations of the coefficients convert a complete market model into a incomplete one. The paper shows that market inc…
This thesis applies RL to market making in China's commodity market.
Research predicts money market volume based on capital market and bank rates ratio.
An open market is a subset of an entire equity market composed of a certain fixed number of top capitalization stocks. Though the number of stocks in the open market is fixed, the constituents of the market change over time as each company's rank by its market capitalization fluctuates. When one is allowed to invest al…
The possibility of statistical evaluation of the market completeness and incompleteness is investigated for continuous time diffusion stock market models. It is known that the market completeness is not a robust property: small random deviations of the coefficients convert a complete market model into a incomplete one.…
This study examines how DMMs affect market liquidity and competition.
AI learns market manipulation through simulation, suggesting regulation.
Optimal market making strategy for electronic markets with persistent order flows.
The paper finds that bear markets cause recessions and bull markets cause expansions, with bull markets having a stronger causal effect.
PRIME models cryptocurrency exchange market impact.
Article examines NFT market microstructure and trading risks.
In a stock market, the numeraire portfolio, if it exists, is the portfolio with the highest expected logarithmic growth rate at all times. A numeraire market is a stock market for which the market portfolio is the numeraire portfolio. We study open markets, markets comprising the higher capitalization stocks within a b…
This study evaluates prewar Japanese financial market efficiency using time-varying models.
ABM simulates OTC government bond market dynamics, enhancing liquidity and stability.
This study examines how market makers balance risk and impact in foreign exchange markets.
Study shows how market efficiency changes during the pandemic.
Two markets should be considered isomorphic if they are financially indistinguishable. We define a notion of isomorphism for financial markets in both discrete and continuous time. We then seek to identify the distinct isomorphism classes, that is to classify markets. We classify complete one-period markets. We define …
We investigate the relative market efficiency in financial market data, using the approximate entropy(ApEn) method for a quantification of randomness in time series. We used the global foreign exchange market indices for 17 countries during two periods from 1984 to 1998 and from 1999 to 2004 in order to study the effic…
Market-maker optimizes quotes based on strategic market-takers' behavior.
The structure of return spillovers is examined by constructing Granger causality networks using daily closing prices of 20 developed markets from 2nd January 2006 to 31st December 2013. The data is properly aligned to take into account non-synchronous trading effects. The study of the resulting networks of over 94 sub-…
This paper analyzes microstructure dynamics in coupled markets using CFMMs.
We introduce Hermite fractional financial markets, where market uncertainties are described by multidimensional Hermite motions. Hermite markets include as particular cases financial markets driven by multivariate fractional Brownian motion and multivariate Rosenblatt motion. Conditions for no-arbitrage and market comp…
This study examines whether the efficiency of cryptocurrency markets (Bitcoin and Ethereum) evolve over time based on Lo's (2004) adaptive market hypothesis (AMH). In particular, we measure the degree of market efficiency using a generalized least squares-based time-varying model that does not depend on sample size, un…
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…
Study uses RL to simulate realistic market behavior.
Pari-mutuel markets are trading platforms through which the common market maker simultaneously clears multiple contingent claims markets. This market has several distinctive properties that began attracting the attention of the financial industry in the 2000s. For example, the platform aggregates liquidity from the ind…
Competition has been introduced in the electricity markets with the goal of reducing prices and improving efficiency. The basic idea which stays behind this choice is that, in competitive markets, a greater quantity of the good is exchanged at a lower and a lower price, leading to higher market efficiency. Electricity …
Paper uses AI to predict tail risks in US financial markets.
In most OTC markets, a small number of market makers provide liquidity to other market participants. More precisely, for a list of assets, they set prices at which they agree to buy and sell. Market makers face therefore an interesting optimization problem: they need to choose bid and ask prices for making money while …
The paper proposes a new algorithm for dealer markets that incorporates hedging and market impact.
Optimizes profit in targeted marketing across multiple markets with varying marketing expenditures.
Decentralized prediction markets use AMMs to pool and withdraw liquidity, improving financial properties.
In the age of globalization, it is natural that the stock market of each country is not independent form the other markets. In this case, collective behavior could be emerged form their dependency together. This article studies the collective behavior of a set of forty influential markets in the world economy with the …
Paper generalizes Hardy-Rogers maps for market equilibrium analysis in duopoly markets.
AlphaLogics mines market logic to generate interpretable alpha factors.
Study examines how arbitrage between ETF and futures affects market liquidity during crashes.