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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.

168,742 papers · 148 categories

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0111 · Jul 201719922001200920172026
5 results for “broker-dealer”
Leveraging IS and TC: Optimal order execution subject to reference strategiesq-fin.TR

Optimal order execution strategies for brokers under reference benchmarks.

problem Maximizing broker's utility of excess profit-and-loss subject to reference strategies.
method Formulated as a utility maximization problem, optimal strategies derived in closed form.
result General reference strategies can be approximated by piece-wise linear combinations of IS and TC orders.
order executionbroker-dealerutility maximizationreference strategyIS and TC orders
2024-01-06abs ↗pdf ↗
A multilevel analysis to systemic exposure: insights from local and system-wide informationq-fin.GN

Study improves systemic risk assessment by considering local network environments.

problem Identifying systemic financial institutions using network metrics.
method Two-step procedure: 1) recover network communities, 2) regress vulnerability on topological measures at global, local, and aggregated levels.
result Local network metrics predict distress better than global metrics during financial crises.
financial networkssystemic risktopological measuresfinancial institutionscrisis prediction
2019-10-18abs ↗pdf ↗