Interest rate market models, like the LIBOR market model, have the advantage that the basic model quantities are directly observable in financial markets. Inflation market models extend this approach to inflation markets, where zero-coupon and year-on-year inflation-indexed swaps are the basic observable products. For …
On-device research index
arXiv research
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.
169,341 papers · 148 categories
Trend · papers per month
48 results for “affine inflation market models”
Study of time-inhomogeneous affine processes in finance.
problem Understanding and modeling financial processes with time-varying parameters.
method Developed a theory for time-inhomogeneous affine processes and applied it to financial market models.
result Affine processes can be modified to include real-valued processes, improving model flexibility.
New model improves European inflation and interest rate predictions.
problem Improving predictions of European inflation and interest rates.
method Stochastic, continuous time model with unique solution for valuation equation.
result Model performs better on market data from 2008 to 2015.
In this paper, we establish a market model for the term structure of forward inflation rates based on the risk-neutral dynamics of nominal and real zero-coupon bonds. Under the market model, we can price inflation caplets as well as inflation swaptions with a formula similar to the Black's formula, thus justify the cur…
The paper analyzes a five-factor capital market model and facilitates exact simulation.
problem Analyzing and simulating a five-factor capital market model.
method Using a Vasicek interest rate model, mean-reverting excess return, and realized inflation with expectation, the paper derives the necessary distributional results and describes practical methods to overcome rank deficiency.
result Exact simulation from the model can be achieved by sampling from a seven-dimensional normal distribution.
New inflation model captures correlations and skew in interest rates.
problem Modeling inflation with market correlations and skew.
method Multi-factor volatility structure with parametric correlation calibration, leveraging single-factor Gaussian model.
result Captures market volatility skew with a single process, simplifying model calibration.
The paper analyzes global inflation's systemic nature and its impact on equity markets.
problem Understanding the systemic nature of global inflation and its financial market implications.
method Data-driven study using eigenvalue analysis, inner-product optimization, and time-varying portfolio optimization.
result Countries with high centrality in global inflation are identified, and the robustness of equity indices and sectors during inflationary periods are explored.
Dual labor market model explains low inflation despite low unemployment.
problem Low inflation despite low unemployment during economic recovery.
method Minimal model of dual labor market to explore factors affecting Phillips curve.
result Changes in bargaining power and labor supply elasticity make Phillips curve flat.
We develop a model to price inflation and interest rates derivatives using continuous-time dynamics that have some links with macroeconomic monetary DSGE models equipped with a Taylor rule: in particular, the reaction function of the central bank, the bond market liquidity, inflation and growth expectations play an imp…
Ponzi Fundsq-fin.GN
Funds inflate their returns due to price pressure, leading to wealth reallocation and market crashes.
problem Funds inflate their returns due to price pressure, leading to wealth reallocation and market crashes.
method Decomposed fund returns into price pressure and fundamental components, and identified the impact of price chasing on fund flows.
result Funds' self-inflated returns lead to wealth reallocation and market crashes, and can be predicted by fund illiquidity.
No policy can simultaneously be fully autonomous, optimally calibrated, and helpful, proving a trilemma.
problem Proving impossibility of a policy achieving maximum helpfulness, optimal calibration, and full autonomy.
method Geometric proof showing that adding any non-affine autonomy incentive to a strictly proper scoring rule destroys strict properness.
result The Behavioral Credibility Trilemma: no policy can achieve all three goals simultaneously.
Improved MF-DFA model analyzes precious metals market efficiency and multifractality.
problem Analyze price fluctuations in precious metals market.
method Proposed Bi-OSW-MF-DFA method compared to MF-DFA.
result Bi-OSW-MF-DFA method shows better efficiency in precious metals market analysis.
This note fills the gap in market-consistent valuation of lifelong health insurance products.
problem Market-consistent valuation of lifelong health insurance products is not well-addressed.
method Constructs a valuation portfolio to separate Best Estimate into policy data and financial instrument prices.
result The Best Estimate valuation is not uniquely determined by prevailing term structures and requires a stochastic model.
A TTA framework improves forecasting accuracy in non-stationary time series.
problem Improving forecasting accuracy in non-stationary time series.
method Normalization-based test-time adaptation for causal timeseries forecasting and direction classification.
result Normalization-based TTA improves forecasting error in synthetic gradual drift and can even hurt in aggressive norm-only adaptation in financial markets.
This paper analyzes microstructure dynamics in coupled markets using CFMMs.
problem Quantifying contributions of CFMMs to market dynamics in coupled markets.
method Examined constant function market makers (CFMMs) in coupled markets, focusing on basket inflation/deflation.
result CFMMs contribute significantly to basket inflation/deflation in coupled markets.
Joint news coverage inflates stock valuations, causing subsequent reversals.
problem Understanding how joint news coverage affects stock valuations and market returns.
method Comprehensive news dataset analysis and SEC EDGAR visits to track attention spillovers.
result Aggregated joint news coverage strongly predicts future market returns, indicating attention contagion.
In a previous analysis the problem of "zero-inflated" time data (caused by high frequency trading in the electronic order book) was handled by left-truncating the inter-arrival times. We demonstrated, using rigorous statistical methods, that the Weibull distribution describes the corresponding stochastic dynamics for a…
Develops a three-currency HJM framework for Brazilian credit markets, finding significant credit spread differences between indexed segments.
problem Identifies and quantifies differences in corporate credit spreads between two parallel segments of the Brazilian bond market.
method Uses a Heath-Jarrow-Morton framework to model corporate credit as a separate economy, linking it to nominal and real economies through synthetic rates.
result Empirically finds a 640 basis point average difference in credit spreads between CDI-indexed and IPCA-indexed segments, stable through market cycles.
Do Prediction Markets Forecast Cryptocurrency Volatility? Evidence from Kalshi Macro Contractsq-fin.ST
Kalshi prediction markets forecast cryptocurrency volatility through monetary policy and inflation signals.
problem Forecasting cryptocurrency volatility using prediction markets.
method Monetary policy and inflation signals from Kalshi prediction markets.
result Signals from Kalshi prediction markets predict cryptocurrency volatility with statistical significance.
Optimal asset allocation for a DC plan with partial information under inflation and mortality risksq-fin.PM
Study optimal asset allocation for DC plans with inflation and mortality risks.
problem Maximizing expected utility from terminal wealth in a pension plan with inflation and mortality risks.
method Closed-form solutions using a sufficient maximum principle approach for a problem with partial information.
result Closed-form solutions for asset allocation problem.
Examines how central bank policies affect stock markets and asset prices.
problem Understanding the impact of monetary policy on stock markets and asset prices.
method Used Taylor rule equations to analyze data from 1990 to 2020 for US and UK, testing with various econometric methods.
result Monetary policy can explain asset price volatility and output gap better than just inflation rate.
Unified framework for multiple yield curve models using affine processes.
problem Consolidation of various multiple yield curve modeling approaches.
method Modeling Libor rates and OIS rates as functions of an underlying affine process.
result Tractable valuation formulas and new model developments.
The puzzle that just isn'tecon.GN
Engel explains why interest rates, exchange rates, and inflation puzzles don't exist.
problem Explaining the canonical form of the interest rates, exchange rates, and inflation puzzles.
method Using the concept of a non-pecuniary liquidity return on assets.
result The forward premium puzzle just does not exist, at least not in its canonical form.
Economic factors significantly influence stock returns, as shown by attribution analysis.
problem The influence of economic factors on stock returns.
method Attribution model using five classic factors and new factors like Market Indices, Consumptions, and Oil Prices.
result Stock returns are exposed to economic news and priced based on risk exposure.
Coupled uncertainty provided by a multifractal random walkerphysics.data-an
Study coupled criticality between two non-Gaussian time series.
problem Understanding the interaction between two non-Gaussian time series.
method Bivariate multifractal random walk (BiMRW) method.
result Dependence of coupled criticality on the criticality of each individual system.
Develops a unified framework for valuing insurance products with guarantees.
problem Valuing insurance products with guarantees in an affine setting.
method General affine approach to model financial markets, mortality, and policyholder behavior.
result Explicit valuation formulas for variable annuities and related contracts derived.
Handlebody diagram algebrasmath.QA
The paper explores handlebody versions of various diagram algebras.
problem None explicitly stated, but related to algebraic structures.
method Study of handlebody versions of classical diagram algebras and reformulation of cellular algebras.
result All mentioned algebras are part of the reformulated cellular algebra theory.
Investigates optimal life insurance and annuity decisions in inflationary economies.
problem Optimal consumption and investment decisions in an inflationary economy with money illusion.
method Formulated as a random horizon utility maximization problem, derived optimal strategy.
result Money illusion increases life insurance demand for young adults and reduces annuity demand for retirees.
The mechanism of double exponential growth in hyper-inflationcond-mat.stat-mech
Analyzing historical data of price indices we find an extraordinary growth phenomenon in several examples of hyper-inflation in which price changes are approximated nicely by double-exponential functions of time. In order to explain such behavior we introduce the general coarse-graining technique in physics, the Monte …
Paper classifies economic states and optimizes portfolios for stagflationary environments.
problem Economic uncertainty and stagflationary conditions.
method Mathematical techniques for analyzing multivariate time series, economic driver analysis, self-similarity identification, and portfolio optimization.
result Constructs economic state classifications and computes economic state integrals.
Inflation and deflation in stock marketscond-mat.stat-mech
The aim of this paper is to compare statistical properties of a bubble period with those of the anti-bubble period in stock markets. We investigate the statistical properties of daily data for the Nikkei 225 index in the 28-year period from January 1975 to April 2003, corresponded to the periods of bubbles and anti-bub…
New ZIPLN model accounts for zero-inflation in multivariate count data.
problem Zero-inflation in multivariate count data.
method Introduced Zero-Inflated PLN (ZIPLN) model with variational inference.
result ZIPLN significantly improves log-likelihood and reduces dispersion.
A new model family of zero-inflated Gaussian processes improves prediction and interpretability of rare event data.
problem Poor performance of conventional machine learning on zero-inflated datasets.
method Sparse kernels and latent probit Gaussian processes to zero out kernel rows and columns.
result Improves prediction of zero-inflated data and interpretability of latent mixing models.
Generative models' evaluation scores can be misleading, leading to inflated grades.
problem Misleading evaluation scores for generative models.
method Analyzed and compared various scores for evaluating synthetic vs. ground-truth data.
result The Eden score avoids grade inflation and better aligns with human perception.
The paper evaluates various forecasting methods for inflation, finding ML models superior.
problem Forecasting inflation using disaggregated data and machine learning.
method Examines traditional and machine learning models, including random forest, for disaggregated and aggregated inflation forecasts.
result Aggregating disaggregated forecasts performs similarly to survey-based expectations and aggregate models.
Study examines long-term impact of inflation and uncertainty on U.S. stock prices.
problem Long-term relationship between stock prices, inflation, and inflation uncertainty.
method Cointegration analysis with structural break, time-varying unobserved component model.
result Inflation and its uncertainty negatively impact stock prices in the long-run, but not in the short-run.
Paper proposes copula-based models for analyzing multivariate zero-inflated continuous data.
problem Challenges in analyzing multivariate zero-inflated continuous data with mixed discreteness and continuity.
method Proposes two copula-based density estimation models and rectified Gaussian copula.
result Demonstrates superior performance compared to conventional methods.
The evolution of inflation, p(t), and unemployment, UE(t), in Japan has been modeled. Both variables were represented as linear functions of the change rate of labor force, dLF/LF. These models provide an accurate description of disinflation in the 1990s and a deflationary period in the 2000s. In Japan, there exists a …
Inflation, unemployment, and labour force. Phillips curves and long-term projections for Austriaq-fin.GN
We model the rate of inflation and unemployment in Austria since the early 1960s within the Phillips/Fisher framework. The change in labour force is the driving force representing economic activity in the Phillips curve. For Austria, this macroeconomic variable was first tested as a predictor of inflation and unemploym…
News on inflation and monetary policy impacts US household inflation expectations.
problem Understanding how news affects inflation expectations.
method Monthly disaggregated US data from 1978 to 2016, controlling for various factors.
result News on rising inflation and easier monetary policy has a stronger impact on inflation expectations.
Model interest rates and energy futures with regime-switching dynamics.
problem Modeling interest rates and energy futures with regime-switching dynamics.
method HJM model with Markov-chain modulated forward rates, proving affine structure for term structure.
result Explicit solutions for forward curves in many cases.
Revisits Jarrow & Turnbull model for credit and liquidity risk.
problem Modeling credit and liquidity risk in financial markets.
method Uses foreign exchange analogy and partially observable exchange rate.
result Derives tractable term structure models and explicit valuation formulae.
Constructs rational models for pricing and managing inflation-linked derivatives.
problem Pricing and risk management of inflation-linked derivatives.
method Rational models constructed in a multiplicative manner, isolating inflation convexity-adjustment.
result Closed-form pricing of various inflation products and exotic swaps.
Paper uses LSTM to predict inflation, finds it performs well over long periods.
problem Predicting inflation using machine learning models.
method Applies LSTM, a recurrent neural network, to forecast inflation over time.
result LSTM model performs well at long horizons and during uncertain economic times.
Study reveals widespread manipulation of meme coins, leading to significant economic losses.
problem Widespread manipulation of meme coins leading to economic losses.
method Cross-chain analysis of 34,988 tokens across Ethereum, BNB Smart Chain, Solana, and Base.
result 82.8% of high-return tokens show evidence of artificial growth strategies.
Interest Rates and Inflationecon.GN
Derives relationship between interest rates and inflation in a two-component system.
problem Understanding the relationship between interest rates and inflation in a two-component economic system.
method Used the Fisher relation to derive a delay differential equation and provided computer simulations.
result Obtained a delay differential equation and provided solutions for it over different interest regimes.
New framework detects time-varying economic persistence.
problem Time-varying persistence in economic shocks.
method Localized regression techniques to identify evolving heterogeneity.
result Substantial persistence variations align with macroeconomic events.
ZICO learns DAGs from zero-inflated count data efficiently.
problem Learning network structures from zero-inflated count data.
method ZICO uses node-wise likelihoods with canonical links and a differentiable surrogate constraint for acyclicity.
result ZICO achieves superior performance and faster runtimes on simulated data.