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.
Paper analyzes U.S. broker call rate laws of motion and their implications.
I derive practical formulas for optimal arrangements between sophisticated stock market investors (namely, continuous-time Kelly gamblers or, more generally, CRRA investors) and the brokers who lend them cash for leveraged bets on a high Sharpe asset (i.e. the market portfolio). Rather than, say, the broker posting a m…
Study shows how margin loan interest rates converge to a choke price, limiting long-term advantage in the broker call money market.
Strategic brokers exploit private information in broker-mediated markets, affecting informed traders' performance.
Two studies explain high margin loan rates by brokers.
Develops optimal trading strategy for illiquid currency pairs.
Study Nash equilibrium between broker and trader in a lit exchange with price impact.
An informed broker optimizes trading strategies in a market influenced by many traders.
Brokers and an informed trader compete for liquidity, affecting trading costs and inventory risk.
A simple strategy optimizes broker-client trading, reducing price discounts for informed traders.
Study Nash equilibrium between broker and informed trader in dealer and lit markets.
We present an empirical study of the intertwined behaviour of members in a financial market. Exploiting a database where the broker that initiates an order book event can be identified, we decompose the correlation and response functions into contributions coming from different market participants and study how their b…
Traders buy and sell financial instruments in hopes of making profit, and brokers are responsible for the transaction. There are several hypotheses and conspiracy theories arguing that in some situations, brokers want their traders to lose money. For instance, a broker may want to protect the positions of a privileged …
When executing their orders, investors are proposed different strategies by brokers and investment banks. Most orders are executed using VWAP algorithms. Other basic execution strategies include POV (also called PVol) -- for percentage of volume --, IS -- implementation shortfall -- or Target Close. In this article ded…
Paper optimizes broker performance by estimating execution costs.
The study explores when it's best to remove a real estate broker from the process.
Solves a game between brokers and informed traders using stochastic differential equations.
Online trading platforms manipulate profits and losses, causing 82% of retail traders to lose money.
New FX option interpolations impact implied volatilities.
Optimal order execution strategies for brokers under reference benchmarks.
An investor with constant relative risk aversion and an infinite planning horizon trades a risky and a safe asset with constant investment opportunities, in the presence of small transaction costs and a binding exogenous portfolio constraint. We explicitly derive the optimal trading policy, its welfare, and implied tra…
The study examines how brokers' identity affects their trading strategies on the Toronto Stock Exchange.
Maximizing trading volume in online learning framework between traders.
We propose a series of simple models for the microstructure of a double auction market without intermediaries. We specialize to those markets, such interdealer broker markets, which are dominated by professional traders, who trade mainly through limit orders, watch markets closely, and move their limit order prices fre…
Broker uses multi-task dynamic pricing to learn competitive prices in credit markets.
Study analyzes broker's gain from trade in repeated context-based trading.
Paper develops a fast Bayesian method to predict toxic trades in financial transactions.
We examine the Foreign Exchange (FX) spot price spreads with and without Last Look on the transaction. We assume that brokers are risk-neutral and they quote spreads so that losses to latency arbitrageurs (LAs) are recovered from other traders in the FX market. These losses are reduced if the broker can reject, ex-post…
We present a formulation of the transaction cost analysis (TCA) in the Bayesian framework for the primary purpose of comparing broker algorithms using standardized benchmarks. Our formulation allows effective calculation of the expected value of trading benchmarks with only a finite sample of data relevant to practical…
Short-term incentives lead to riskier trading strategies.
Suppliers (including companies and individual prosumers) may wish to protect their private information when selling items they have in stock. A market is envisaged where private information can be protected through the use of differential privacy and option contracts, while privacy-aware suppliers deliver their stock a…
We consider a broker who has to place a large order which consumes a sizable part of average daily trading volume. The broker's aim is thus to minimize execution costs he incurs from the adverse impact of his trades on market prices. By contrast to the previous literature, see, e.g., Obizhaeva and Wang (2005), Predoiu,…
Optimal execution strategy for merger & acquisition contracts with price impact.
In order to protect brokers from customer defaults in a volatile market, an active margin system is proposed for the transactions of margin lending in China. The probability of negative return under the condition that collaterals are liquidated in a falling market is used to measure the risk associated with margin loan…
Brokerage algorithm learns from context to minimize trading regret.
FinRL-X unifies trading components for AI and rule-based strategies.
Fink AGN classifier achieves high accuracy in classifying active galactic nuclei.
Paper uses relaxation techniques to find optimal brokerage fees with private signals.
Margin system for margin loans using cash and stock as collateral is considered in this paper, which is the line of defence for brokers against risk associated with margin trading. The conditional probability of negative return is used as risk measure, and a recursive algorithm is proposed to realize this measure under…
Deep learning optimizes VWAP strategy for lower transaction costs.
An active margin system for margin loans is proposed for Chinese margin lending market, which uses cash and randomly selected stock as collateral. The conditional probability of negative return(CPNR) after a forced sale of securities from under-margined account in a falling market is used to measure the risk faced by t…
We analyze four structured products that have caused severe losses to investors in recent years. These products are: return optimization securities, yield magnet notes, reverse exchangeable securities, and principal-protected notes. We describe the basic structure of these products, analyze them probabilistically using…
We confirm the square-root law of market impact on Apple Inc. using a large dataset.
UNMIX identifies hidden buyers in darknet markets by clustering anonymized IDs.
For common people, in contrast to brokers, bankers, and those who play on rising and falling prices of stocks, the stock market law is based on the simple fact that the depositors aim for financial profit at any given concrete stage. The common depositor cannot cause any significant variations in prices. This concept s…
We study the problem of optimal execution of a trading order under Volume Weighted Average Price (VWAP) benchmark, from the point of view of a risk-averse broker. The problem consists in minimizing mean-variance of the slippage, with quadratic transaction costs. We devise multiple ways to solve it, in particular we stu…
A market fix serves as a benchmark for foreign exchange (FX) execution, and is employed by many institutional investors to establish an exact reference at which execution takes place. The currently most popular FX fix is the World Market Reuters (WM/R) 4pm fix. Execution at the WM/R 4pm fix is a service offered by FX b…
New dynamics for SGD in small learning rate regime.