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 examines if LLMs' trading styles match real market behavior.
Optimizes sparse mean-reverting portfolios for higher returns.
This paper analyzes DRL strategies in finance, revealing unique trading patterns and performance differences.
Study long-term asset liquidation behavior with external flows.
Strategy evaluation schemes are a crucial factor in any agent-based market model, as they determine the agents' strategy preferences and consequently their behavioral pattern. This study investigates how the strategy evaluation schemes adopted by agents affect their performance in conjunction with the market circumstan…
Study Figgie card game strategies using agent-based simulation.
Investor selects portfolios based on news attention in a hidden Markov model.
Trading bubbles form when traders adapt to price mismatches.
Study finds users mostly use recent market and decision information to guess market direction.
ClusterLOB clusters market events to identify different trading behaviors.
A simple trading model based on pair pattern strategy space with holding periods is proposed. Power-law behaviors are observed for the return variance , the price impact and the predictability for both models with linear and square root impact functions. The sum of the traders' wealth displays a positive v…
A strategy to beat benchmarks by investing in heavily shorted but fundamentally sound securities.
Proposes a robust Q-learning method to improve treatment strategy estimation.
Behavior Transfer improves reinforcement learning by leveraging pre-trained policies.
We develop a behavioral asset pricing model in which agents trade in a market with information friction. Profit-maximizing agents switch between trading strategies in response to dynamic market conditions. Due to noisy private information about the fundamental value, the agents form different evaluations about heteroge…
In this paper, making use of recent statistical physics techniques and models, we address the specific role of randomness in financial markets, both at the micro and the macro level. In particular, we review some recent results obtained about the effectiveness of random strategies of investment, compared with some of t…
Improved genetic programming by optimizing mutation operators for continuous program search.
Investigates optimal strategies for behavioral control problems with finite variation controls.
The study models mortgage prepayment risk, accounting for behavioral uncertainty, and provides replication strategies.
We introduce a new approach for comparing reinforcement learning policies, using Wasserstein distances (WDs) in a newly defined latent behavioral space. We show that by utilizing the dual formulation of the WD, we can learn score functions over policy behaviors that can in turn be used to lead policy optimization towar…
Method learns behavioral states from wearable sensor data.
Local Bayesian optimization shows strong performance and converges well, contrary to folklore.
Combining global and local explanations improves user understanding of RL agents.
We consider the problem of stopping a diffusion process with a payoff functional that renders the problem time-inconsistent. We study stopping decisions of naive agents who reoptimize continuously in time, as well as equilibrium strategies of sophisticated agents who anticipate but lack control over their future selves…
A competing market model with a polyvariant profit function that assumes "zeitnot" stock behavior of clients is formulated within the banking portfolio medium and then analyzed from the perspective of devising optimal strategies. An associated Markov process method for finding an optimal choice strategy for monovariant…
We consider the problem of portfolio optimization in the presence of market impact, and derive optimal liquidation strategies. We discuss in detail the problem of finding the optimal portfolio under Expected Shortfall (ES) in the case of linear market impact. We show that, once market impact is taken into account, a re…
Study examines how traders with asymmetric information and adaptive learning strategies affect market efficiency.
Simulates DeLend Platform behavior to optimize operational parameters.
The paper analyzes strategic irreversible investments with novel dynamic strategies.
We introduce a trade strategy representation theorem for performance measurement and portable alpha in high frequency trading, by embedding a robust trading algorithm that describe portfolio manager market timing behavior, in a canonical multifactor asset pricing model. First, we present a spectral test for market timi…
We present a simple one-parameter model for spatially localised evolving agents competing for spatially localised resources. The model considers selling agents able to evolve their pricing strategy in competition for a fixed market. Despite its simplicity, the model displays extraordinarily rich behavior. In addition t…
The paper analyzes reinsurance strategies in a competitive multi-agent system.
We introduce a model of super-exponential financial bubbles with two assets (risky and risk-free), in which rational investors and noise traders co-exist. Rational investors form expectations on the return and risk of a risky asset and maximize their constant relative risk aversion expected utility with respect to thei…
This paper studies a robust portfolio optimization problem under the multi-factor volatility model introduced by Christoffersen et al. (2009). The optimal strategy is derived analytically under the worst-case scenario with or without derivative trading. To illustrate the effects of ambiguity, we compare our optimal rob…
Deep reinforcement learning (RL) methods generally engage in exploratory behavior through noise injection in the action space. An alternative is to add noise directly to the agent's parameters, which can lead to more consistent exploration and a richer set of behaviors. Methods such as evolutionary strategies use param…
BEACON optimizes discovery by efficiently finding novel behaviors.
This paper develops a framework for efficient decision-making under time pressure.
Triple-GAIL learns from multiple sources to improve imitation learning for complex behaviors.
We introduce a minimal Agent Based Model for financial markets to understand the nature and Self-Organization of the Stylized Facts. The model is minimal in the sense that we try to identify the essential ingredients to reproduce the main most important deviations of price time series from a Random Walk behavior. We fo…
Modeling decision-making dynamics in MDD patients using RL-HMM.
Reinforcement Learning AI commonly uses reward/penalty signals that are objective and explicit in an environment -- e.g. game score, completion time, etc. -- in order to learn the optimal strategy for task performance. However, Human-AI interaction for such AI agents should include additional reinforcement that is impl…
Empirical evidence supports new financial market definitions.
AI beats 95% of humans in Rock-Paper-Scissors.
We investigate statistical uncertainty quantification for reinforcement learning (RL) and its implications in exploration policy. Despite ever-growing literature on RL applications, fundamental questions about inference and error quantification, such as large-sample behaviors, appear to remain quite open. In this paper…
Due to the popularity of the Internet and smart mobile devices, more and more financial transactions and activities have been digitalized. Compared to traditional financial fraud detection strategies using credit-related features, customers are generating a large amount of unstructured behavioral data every second. In …
Robinhood users react strongly to overnight price changes and big losers, trading quickly after extreme losses.
Behavior modification improves prediction accuracy by nudging user behavior.
We show that the statistics of spreads in real order books is characterized by an intrinsic asymmetry due to discreteness effects for even or odd values of the spread. An analysis of data from the NYSE order book points out that traders' strategies contribute to this asymmetry. We also investigate this phenomenon in th…