Research
On-device research index

arXiv research

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.

168,695 papers · 148 categories

Trend · papers per month

count% of corpus
0.3%0.5%0.8%0.1% · Feb 202319922001200920172026
2 results for “beta-normalization”
Beta-Dependent Gamma Feedback and Endogenous Volatility Amplification in Option Marketsq-fin.TR

The study explains how market-makers' hedging affects stock volatility during gamma-squeeze events.

problem Endogenous volatility amplification in option markets during gamma-squeeze events.
method Developed a theoretical framework linking hedging behavior and market turbulence, incorporating beta-normalized volatility.
result Low-beta stocks amplify volatility more during gamma-squeeze events.
option marketsgamma-squeezevolatility amplificationmarket-makersbeta-normalization
2025-11-27abs ↗pdf ↗
Probabilistic Overview of Probabilities of Default for Low Default Portfolios by K. Pluto and D. Tascheq-fin.RM

The article explains the probabilistic method of default probability estimation by Pluto and Tasche.

problem Estimating default probabilities for portfolios with low default rates.
method Detailed derivation and explanation of the Pluto-Tasche method, including assumptions and inequalities.
result Clarification of borrower independence, conditional independence, and interaction between probability distributions.
default probabilityprobabilistic methodsystematic factorbinomial distributionbeta distribution
2023-02-04abs ↗pdf ↗