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.
Study finds stock and crypto markets tend to be robust, not antifragile.
New framework for managing medical risks using convex responses.
We provide a mathematical definition of fragility and antifragility as negative or positive sensitivity to a semi-measure of dispersion and volatility (a variant of negative or positive "vega") and examine the link to nonlinear effects. We integrate model error (and biases) into the fragile or antifragile context. Unli…
Using Jeff Holman's comments in Quantitative Finance to illustrate 4 critical errors students should learn to avoid: 1) Mistaking tails (4th moment) for volatility (2nd moment), 2) Missing Jensen's Inequality, 3) Analyzing the hedging wihout the underlying, 4) The necessity of a numeraire in finance.
Study models stock price recovery during COVID-19, distinguishing V and L-shape recoveries.