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 long-term asset liquidation behavior with external flows.
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…
Simulates multi-asset spot and option markets using normalizing flows.
In the information-based approach to asset pricing the market filtration is modelled explicitly as a superposition of signals concerning relevant market factors and independent noise. The rate at which the signal is revealed to the market then determines the overall magnitude of asset volatility. By letting this inform…
This paper presents an overview of information-based asset pricing. In this approach, an asset is defined by its cash-flow structure. The market is assumed to have access to "partial" information about future cash flows. Each cash flow is determined by a collection of independent market factors called X-factors. The ma…
The present paper provides the basis for a novel financial asset pricing model that could avoid the shortcomings of, or even completely replace the traditional DCF model. The model is based on Brownian motion logic and expected future cash flow values. It can be very useful for Islamic Finance.
A new framework for asset price dynamics is introduced in which the concept of noisy information about future cash flows is used to derive the price processes. In this framework an asset is defined by its cash-flow structure. Each cash flow is modelled by a random variable that can be expressed as a function of a colle…
Study shows integrating OFI from multiple levels improves price impact explanation but not forecasting.
A new method prices time-to-event cash flows using survival analysis.
Paper develops models to forecast private equity fund cash flows.
Stochastic model for pension insurer assets and liabilities with mortality risk.
Cryptocurrency stability modeled using dynamical systems theory.
Onflow optimizes portfolio allocation with gradient flows, robust to transaction fees.
We consider a constructive model for asset price bubbles, where the market price is endogenously determined by the trading activity on the market and the fundamental price is exogenously given, as in the work of Jarrow, Protter and Roch (2012). To justify from a fundamental point of view, we embed this …
Cryptocurrencies' value tied to liquidity, not intrinsic, making stability uncertain.
In financial markets, the information that traders have about an asset is reflected in its price. The arrival of new information then leads to price changes. The `information-based framework' of Brody, Hughston and Macrina (BHM) isolates the emergence of information, and examines its role as a driver of price dynamics.…
Simplified proof for asset pricing theory.
A new framework for asset pricing based on modelling the information available to market participants is presented. Each asset is characterised by the cash flows it generates. Each cash flow is expressed as a function of one or more independent random variables called market factors or "X-factors". Each X-factor is ass…
Geometric Arbitrage Theory reformulates a generic asset model possibly allowing for arbitrage by packaging all assets and their forwards dynamics into a stochastic principal fibre bundle, with a connection whose parallel transport encodes discounting and portfolio rebalancing, and whose curvature measures, in this geom…
New pricing model uses variance-gamma process for financial assets.
IDA makes DFMM's asset tradeable, enhancing cross-chain finance efficiency.
Study on markets with insiders receiving private signals affecting asset prices and information flow.
Investigates cross-impact kernels for financial asset prices.
An asymmetric information model is introduced for the situation in which there is a small agent who is more susceptible to the flow of information in the market than the general market participant, and who tries to implement strategies based on the additional information. In this model market participants have access t…
A new mathematical framework simplifies securitization structuring.
Study XRP network, propose Flow Index to analyze transaction frequencies.
The paper analyzes the joint dynamics of prices and order flow in electronic order books.
At the ultra high frequency level, the notion of price of an asset is very ambiguous. Indeed, many different prices can be defined (last traded price, best bid price, mid price,...). Thus, in practice, market participants face the problem of choosing a price when implementing their strategies. In this work, we propose …
Modeling financial system dynamics with interbank flows and borrowing.
Model shows phase transitions in asset pricing with market maker incentives.
Survival strategy for crypto firms in bear markets using BTC-to-sats payments rail.
In this paper, we consider the asset-liability management under the mean-variance criterion. The financial market consists of a risk-free bond and a stock whose price process is modeled by a geometric Brownian motion. The liability of the investor is uncontrollable and is modeled by another geometric Brownian motion. W…
Study uses MFG approach to model equilibrium pricing with market clearing condition.
We introduce a new non parametric method that allows for a direct, fast and efficient estimation of the matrix of kernel norms of a multivariate Hawkes process, also called branching ratio matrix. We demonstrate the capabilities of this method by applying it to high-frequency order book data from the EUREX exchange. We…
The paper analyzes how tail risks and extreme volatility affect stock prices across different investment horizons.
Game theory model for optimal trading with end-of-day constraints.
AI advances impact asset management, offering new decision-making capabilities.
We study the problem of optimal portfolio selection in an illiquid market with discrete order flow. In this market, bids and offers are not available at any time but trading occurs more frequently near a terminal horizon. The investor can observe and trade the risky asset only at exogenous random times corresponding to…
Two Hawkes models integrate queue sizes to model order flow and improve accuracy.
New model explains market dynamics with phase transitions and non-linear interactions.
TradeFM learns market microstructure from trade events, improving financial model accuracy.
Study examines Trump's crypto influence on markets, revealing conflicts and vulnerabilities.
Market efficiency at least requires the absence of weak arbitrage opportunities, but this is not sufficient to establish a situation where the market is sensitive, i.e., where it "fully reflects" or "rapidly adjusts to" some information flow including the evolution of asset prices. By contrast, No Weak Arbitrage togeth…
The numeraire portfolio in a financial market is the unique positive wealth process that makes all other nonnegative wealth processes, when deflated by it, supermartingales. The numeraire portfolio depends on market characteristics, which include: (a) the information flow available to acting agents, given by a filtrati…
The paper analyzes the pricing of a new compute futures asset.
Extends pricing theory for collateralized derivatives to include jumps and dividends.
In a market of deterministic cash flows, given as an additive, symmetric relation of exchangeability on the finite signed Borel measures on the non-negative real time axis, it is shown that the only arbitrage-free price functional that fulfills some additional mild requirements is the integral of the unit zero-coupon b…
Model explains stock price bubbles through debt crises and financial crashes.