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.
Baccalaureate institutions seek to integrate statistics into data science.
Each year, roughly 30% of first-year students at US baccalaureate institutions do not return for their second year and over $9 billion is spent educating these students. Yet, little quantitative research has analyzed the causes and possible remedies for student attrition. Here, we describe initial efforts to model stud…
The asymmetric price impact between the institutional purchases and sales of 32 liquid stocks in Chinese stock markets in year 2003 is carefully studied. We analyze the price impact in both drawup and drawdown trends with consecutive positive and negative daily price changes, and test the dependence of the price impact…
Study shows foreign institutional investment increases liquidity commonality in large Australian stocks.
Paper discusses how financial institutions' model risk management can benefit academic research.
The standard theory of coherent risk measures fails to consider individual institutions as part of a system which might itself experience instability and spread new sources of risk to the market participants. In compliance with an approach adopted by Shapley and Shubik (1969), this paper proposes a cooperative market g…
Codebook for Institutional Grammar 2.0 simplifies policy encoding.
Genome-wide association studies (GWAS) offer new opportunities to identify genetic risk factors for Alzheimer's disease (AD). Recently, collaborative efforts across different institutions emerged that enhance the power of many existing techniques on individual institution data. However, a major barrier to collaborative…
Modern financial networks exhibit a high degree of interconnectedness and determining the causes of instability and contagion in financial networks is necessary to inform policy and avoid future financial collapse. In the American Economic Review, Elliott, Golub and Jackson proposed a simple model for capturing the dyn…
HyFi cryptocurrencies backed by institutions show lower price risk than fully decentralized ones.
Activists align with large fund preferences for success.
This paper uses MIS to identify key financial institutions with minimal risk contagion.
Paper proposes a federated graph learning platform to improve financial crime detection.
This paper analyzes correlations in patterns of trading of different members of the London Stock Exchange. The collection of strategies associated with a member institution is defined by the sequence of signs of net volume traded by that institution in hour intervals. Using several methods we show that there are signif…
Reflective of income and wealth distributions, philanthropic gifting appears to follow an approximate power-law size distribution as measured by the size of gifts received by individual institutions. We explore the ecology of gifting by analysing data sets of individual gifts for a diverse group of institutions dedicat…
Investor-driven information diffusion affects excess comovement in China and the U.S. markets.
Study examines how institutional differences and crises affect volatility in ASEAN stock markets.
The average portfolio structure of institutional investors is shown to have properties which account for transaction costs in an optimal way. This implies that financial institutions unknowingly display collective rationality, or Wisdom of the Crowd. Individual deviations from the rational benchmark are ample, which il…
Proof-of-Stake networks with EIP-1559 exhibit stable token prices and secure network security.
Financial institutions use LSTM models to predict customer goals.
An article based on a four-lecture introductory minicourse on minimal surface theory given at the 2013 summer program of the Institute for Advanced Study and the Park City Mathematics Institute.
Counterparty risk denotes the risk that a party defaults in a bilateral contract. This risk not only depends on the two parties involved, but also on the risk from various other contracts each of these parties holds. In rather informal markets, such as the OTC (over-the-counter) derivative market, institutions only rep…
Study shows institutional investments significantly impact cryptocurrency market evolution.
Study improves systemic risk assessment by considering local network environments.
Modeling financial institution dependence structures for systemic risk.
The paper introduces GAER to assess market feasibility under geopolitical and institutional constraints.
Recent financial disasters emphasised the need to investigate the consequence associated with the tail co-movements among institutions; episodes of contagion are frequently observed and increase the probability of large losses affecting market participants' risk capital. Commonly used risk management tools fail to acco…
A Nash game theory approach allocates capital requirements among financial institutions.
Model predicts customer churn in financial institutions using neural networks.
The credit crisis of 2007 and 2008 has thrown much focus on the models used to price mortgage backed securities. Many institutions have relied heavily on the credit ratings provided by credit agency. The relationships between management of credit agencies and debt issuers may have resulted in conflict of interest when …
Bitcoin's integration with major financial indices intensifies, suggesting a shift from alternative to integrated asset.
Paper classifies institutions based on credit, debit, and funding adjustment paradigms.
Study shows federated learning can segment brain tumors without data sharing.
Study shows CCLs have minimal impact on most trades but can affect some.
Smart Close-out Netting aims to automate close-out netting processes.
This paper examines how institutional liquidity affects prediction markets.
Study uses AI to estimate food demand for businesses.
In this research, we introduce a robust metric to identify Systemically Important Financial Institution (SIFI) in a financial network by taking into account both common idiosyncratic shocks and contagion through counterparty exposures. We develop an efficient algorithm to rank financial institutions by formulating a fi…
The aim of this paper is to quantify and manage systemic risk caused by default contagion in the interbank market. We model the market as a random directed network, where the vertices represent financial institutions and the weighted edges monetary exposures between them. Our model captures the strong degree of heterog…
Heat semigroups used to solve geometric inequalities on manifolds.
The goal of this article is to describe the concepts of system dynamics and its applications to the simulation modeling of financial institutions daily activity. The hybrid method of the re-engineering of banking business processes based upon combination of system dynamics, queuing theory and tools of ordinary differen…
In November, 2011, the Financial Stability Board, in collaboration with the International Monetary Fund, published a list of 29 "systemically important financial institutions" (SIFIs). This designation reflects a concern that the failure of any one of them could have dramatic negative consequences for the global econom…
These are lecture notes from the Clay Mathematics Institute summer school ``Floer Homology, Gauge Theory, and Low Dimensional Topology'' Alfred Renyi Institute; www.claymath.org/programs/summer_school/2004/. The main goal of these notes is to sketch a proof of Giroux correspondence between open book decompositions of t…
The study reveals how institutional trading activity impacts markets, finding that total order flow is key.
Financial institutions face new model risks with AI, requiring enhanced model risk management.
A compass guides institutions towards ecological economics goals.
Socio-economic inequality is measured using various indices. The Gini () index, giving the overall inequality is the most commonly used, while the recently introduced Kolkata () index gives a measure of fraction of population who possess top fraction of wealth in the society. This article reviews the ch…
This paper deals with a stochastic order-driven market model with waiting costs, for order books with heterogenous traders. Offer and demand of liquidity drives price formation and traders anticipate future evolutions of the order book. The natural framework we use is mean field game theory, a class of stochastic diffe…