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.
In power systems, an asset class is a group of power equipment that has the same function and shares similar electrical or mechanical characteristics. Predicting failures for different asset classes is critical for electric utilities towards developing cost-effective asset management strategies. Previously, physical ag…
The study assesses music as an investment asset class using discounted cashflow models.
Optimizes asset allocation with illiquid assets using MPC.
Clusters asset classes to identify lead-lag relationships in market regimes.
This paper examines momentum spillover across multiple asset classes using only pricing data.
We study the impact of central clearing of over-the-counter (OTC) transactions on counterparty exposures in a market with OTC transactions across several asset classes with heterogeneous characteristics. The impact of introducing a central counterparty (CCP) on expected interdealer exposure is determined by the tradeof…
Investors prioritize ESG in crypto-assets, showing higher exposure than traditional assets.
We take a look the changes of different asset prices over variable periods, using both traditional and spectral methods, and discover universality phenomena which hold (in some cases) across asset classes.
Develops a dynamic latent-factor model for high-dimensional asset characteristics.
This paper provides formulas for minimum cost super-hedging in a multi-asset binomial market.
We investigate connectedness within and across two major groups or assets: i) five popular cryptocurrencies, and ii) six major asset classes plus two commonly employed risk factors. Granger-causality tests uncover six direct channels of causality from the elements of the mainstream assets/risk factors group to digital …
We present an overview of the broad class of financial models in which the prices of assets are Lévy-Ito processes driven by an -dimensional Brownian motion and an independent Poisson random measure. The Poisson random measure is associated with an -dimensional Lévy process. Each model consists of a pricing kerne…
Modified CTGAN-Plus-Features method optimizes asset allocation with CVaR constraint.
Predicts asset return distributions using LSTM and quantile regression.
We explore a decomposition in which returns on a large class of portfolios relative to the market depend on a smooth non-negative drift and changes in the asset price distribution. This decomposition is obtained using general continuous semimartingale price representations, and is thus consistent with virtually any ass…
Quantum computing speeds up asset pricing models exponentially.
Investigates cross-impact kernels for financial asset prices.
Cryptocurrencies show similarities to traditional markets but also have unique characteristics.
This paper examines cryptocurrency integration with traditional markets, showing how network structure and turbulence influence cross-asset spillovers.
By monitoring the time evolution of the most liquid Futures contracts traded globally as acquired using the Bloomberg API from 03 January 2000 until 15 December 2014 we were able to forecast the S&P 500 index beating the Buy and Hold trading strategy. Our approach is based on convolution computations of 42 of the most …
Generating realistic asset-class scenarios from time series and curves
Develops a hedging method for multi-asset derivatives with correlation risk.
AI models outperform simple rules in cross-asset futures timing, especially with lower transaction costs.
The information-based asset-pricing framework of Brody, Hughston and Macrina (BHM) is extended to include a wider class of models for market information. In the BHM framework, each asset is associated with a collection of random cash flows. The price of the asset is the sum of the discounted conditional expectations of…
In this paper, we propose an innovative investment framework incorporating asset allocation and class diversification oriented specifically for the biotechnology industry. With growing interests and capitalization in multiple biotech markets, investors require a more dynamic method of managing their assets within indiv…
This work addresses the problem of optimal pricing and hedging of a European option on an illiquid asset Z using two proxies: a liquid asset S and a liquid European option on another liquid asset Y. We assume that the S-hedge is dynamic while the Y-hedge is static. Using the indifference pricing approach we derive a HJ…
Quantum assets are priced using a new theorem, extending classical asset pricing.
The economic life of an asset is the optimum length of its usefulness, which is the moment that the asset's expenses are minimum. In this paper, the economic life of physical assets, such as industry machine and equipment, can be interpreted as the moment that the minimum is reached by its equivalent property cost func…
Hedge funds have long been viewed as a veritable "black box" of investing since outsiders may never view the exact composition of portfolio holdings. Therefore, the ability to estimate an informative set of asset weights is highly desirable for analysis. We present a compositional state space model for estimation of an…
We explain the main concepts of Prospect Theory and Cumulative Prospect Theory within the framework of rational dynamic asset pricing theory. We derive option pricing formulas when asset returns are altered with a generalized Prospect Theory value function or a modified Prelec weighting probability function and introdu…
A heat kernel approach is proposed for the development of a general, flexible, and mathematically tractable asset pricing framework in finite time. The pricing kernel, giving rise to the price system in an incomplete market, is modelled by weighted heat kernels which are driven by multivariate Markov processes and whic…
Using a family of modified Weibull distributions, encompassing both sub-exponentials and super-exponentials, to parameterize the marginal distributions of asset returns and their multivariate generalizations with Gaussian copulas, we offer exact formulas for the tails of the distribution of returns of a port…
We consider a class of generalized capital asset pricing models in continuous time with a finite number of agents and tradable securities. The securities may not be sufficient to span all sources of uncertainty. If the agents have exponential utility functions and the individual endowments are spanned by the securities…
Paper proposes a CNN model for improved multi-asset portfolio risk prediction.
Two models are identified for robust cross-impact analysis.
A new model captures financial asset returns' tail behaviors and outperforms GARCH family.
We introduce and study a class of over-the-counter market models specified by systems of Ordinary Differential Equations (ODE's), in the spirit of Duffie- G^arleanu-Pedersen [6]. The key innovation is allowing for multiple assets. We show the existence and uniqueness of a steady state for these ODE's.
This paper analyzes microstructure dynamics in coupled markets using CFMMs.
The paper studies projections of asset prices under equivalent martingale measures.
We consider the problem of optimal investment and consumption in a class of multidimensional jump-diffusion models in which asset prices are subject to mutually exciting jump processes. This captures a type of contagion where each downward jump in an asset's price results in increased likelihood of further jumps, both …
Extends return risk measures to multiple assets, proving properties and comparing different risk models.
This research introduces dynamic portfolio cuts using a spectral approach for graph-theoretic diversification.
Generative Adversarial Network (GAN) simulates realistic multi-asset scenarios for tail risk.
Stochastic model for pension insurer assets and liabilities with mortality risk.
P-Trees improve investment performance by optimizing the efficient frontier.
In their seminal work Carr and Lee (2008) show how to robustly price and replicate a variety of claims written on the quadratic variation of a risky asset under the assumption that the asset's volatility process is independent of the Brownian motion that drives the asset's price. Additionally, they propose a correlatio…
We solve a version of the optimal trade execution problem when the mid asset price follows a displaced diffusion. Optimal strategies in the adapted class under various risk criteria, namely value-at-risk, expected shortfall and a new criterion called "squared asset expectation" (SAE), related to a version of the cost v…
We consider the problem of exponential utility indifference valuation under the simplified framework where traded and nontraded assets are uncorrelated but where the claim to be priced possibly depends on both. Traded asset prices follow a multivariate Black and Scholes model, while nontraded asset prices evolve as gen…