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.
Solves asset allocation for investors with utility functions and limits.
The CAPM's market returns are endogenously determined, affecting all assets' expected returns.
Several portfolio selection models take into account practical limitations on the number of assets to include and on their weights in the portfolio. We present here a study of the Limited Asset Markowitz (LAM), of the Limited Asset Mean Absolute Deviation (LAMAD) and of the Limited Asset Conditional Value-at-Risk (LACV…
In an incomplete financial market, the axiomatic of Time Consistent Pricing Procedure (TCPP), recently introduced, is used to assign to any financial asset a dynamic limit order book, taking into account both the dynamics of basic assets and the limit order books for options. Kreps-Yan fundamental theorem is extended t…
Study identifies key metrics for small and large tick assets in LOBs.
Study shows finite agent equilibrium converges to mean-field limit in asset pricing.
Study long-term asset liquidation behavior with external flows.
Sequential processing biases asset allocation in artificial stock markets.
We construct an utility-based dynamic asset pricing model for a limit order market. The price is nonlinear in volume and subject to market impact. We solve an optimal hedging problem under the market impact and derive the dynamics of the efficient price, that is, the asset price when a representative liquidity demander…
Time-limited metaheuristics find near-optimal solutions for constrained portfolio optimisation.
Study a market with uncertain informed traders, finding price impact depends on both asset value and informed trader count distribution.
This paper presents an axiomatic scheme for interest rate models in discrete time. We take a pricing kernel approach, which builds in the arbitrage-free property and provides a link to equilibrium economics. We require that the pricing kernel be consistent with a pair of axioms, one giving the inter-temporal relations …
Portfolio management is the art and science in fiance that concerns continuous reallocation of funds and assets across financial instruments to meet the desired returns to risk profile. Deep reinforcement learning (RL) has gained increasing interest in portfolio management, where RL agents are trained base on financial…
Study introduces a new copula-based measure for financial asset cointegration.
In this paper we consider classes of models that have been recently developed for quantitative finance that involve modelling a highly complex multivariate, multi-attribute stochastic process known as the Limit Order Book (LOB). The LOB is the primary data structure recorded each day intra-daily for all assets on every…
Unified model integrates Bachelier and Black-Scholes-Merton for asset pricing.
We build a simple model of leveraged asset purchases with margin calls. Investment funds use what is perhaps the most basic financial strategy, called "value investing", i.e. systematically attempting to buy underpriced assets. When funds do not borrow, the price fluctuations of the asset are normally distributed and u…
Develops a dynamic latent-factor model for high-dimensional asset characteristics.
Flexible framework for optimal trading across multiple asset venues.
Study evaluates profitability of Islamic banks in Bangladesh using ROA, ROE, and ROD.
A homogeneously saturated equation for the time development of the price of a financial asset is presented and investigated for the pricing of European call options using noise that is distributed as a Student's t-distribution. In the limit that the saturation parameter of the equation equals zero, the standard model o…
\begin{abstract} The aim of this paper is to study the spanning power of options in a static financial market that allows non-integrable assets. Our findings extend and unify the results in [8,9,18] for -models. We also apply the spanning power properties to the pricing problem. In particular, we show that prices …
The study shows that limited liability can make banks more stable by choosing less risky assets.
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…
We propose a reduced form set of two coupled continuous time equations linking the price of a representative asset and the price of a bond, the later quantifying the cost of borrowing. The feedbacks between asset prices and bonds are mediated by the dependence of their "fundamental values" on past asset prices and bond…
When trading incurs proportional costs, leverage can scale an asset's return only up to a maximum multiple, which is sensitive to its volatility and liquidity. In a model with one safe and one risky asset, with constant investment opportunities and proportional costs, we find strategies that maximize long term returns …
Model asset pricing with habit formation in a large market.
This paper addresses AMMs for expiring assets, ensuring liquidity and risk management.
EB improves asset pricing by mining large strategies without lookahead bias.
We study a risk sensitive control version of the lifetime ruin probability problem. We consider a sequence of investments problems in Black-Scholes market that includes a risky asset and a riskless asset. We present a differential game that governs the limit behavior. We solve it explicitly and use it in order to find …
Traders in a market typically have widely different, private information on the return of an asset. The equilibrium price of the asset may reflect this information more accurately if the number of traders is large enough compared to the number of the states of the world that determine the return of the asset. We study …
We analyse the behaviour of the implied volatility smile for options close to expiry in the exponential Lévy class of asset price models with jumps. We introduce a new renormalisation of the strike variable with the property that the implied volatility converges to a non-constant limiting shape, which is a function of …
Paper proposes a CNN model for improved multi-asset portfolio risk prediction.
Paper improves volatility forecasting for new issues and spin-offs.
Proposes an efficient method for sparse index tracking with -norm constraints.
Paper develops a risk scoring framework for tokenized RWA markets.
Simulates realistic execution and costs in limit order books.
This paper reviews ML applications in finance, enhancing asset pricing models.
Develops numerical methods for pricing exchange options in a market with limited liquidity.
Option contracts are a type of financial derivative that allow investors to hedge risk and speculate on the variation of an asset's future market price. In short, an option has a particular payout that is based on the market price for an asset on a given date in the future. In 1973, Black and Scholes proposed a valuati…
A blockchain replaces central counterparties with time-consuming consensus protocols to record the transfer of ownership. This settlement latency slows cross-exchange trading, exposing arbitrageurs to price risk. Off-chain settlement, instead, exposes arbitrageurs to costly default risk. We show with Bitcoin network an…
Rough volatility is a well-established statistical stylised fact of financial assets. This property has lead to the design and analysis of various new rough stochastic volatility models. However, most of these developments have been carried out in the mono-asset case. In this work, we show that some specific multivaria…
Price and return predictions are limited by economic complexity, not just volatility.
Tokenized RWAs face liquidity issues despite promising markets.
This paper proposes a new clustering method based on Stochastic Dominance for asset allocation.
Quantum walks model financial returns with flexibility and asymmetry.
This paper analyzes DRL strategies in finance, revealing unique trading patterns and performance differences.
Bitcoin is a digital financial asset that is devoid of a central authority. This makes it distinct from traditional financial assets in a number of ways. For instance, the total number of tokens is limited and it has not explicit use value. Nonetheless, little is know whether it obeys the same stylized facts found in t…