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.
This research improves capital efficiency and impermanent loss in cryptocurrency markets using multi-token trading pools.
Facing the FRTB, banks need to allocate their capital to each business units or risk positions to evaluate the capital efficiency of their strategies. This paper proposes two computationally efficient allocation methods which are weighted according to liquidity horizon. Both methods provide more stable and less negativ…
PoEL protocol aims to efficiently create and secure liquidity for blockchain networks.
This paper improves capital efficiency in AMM protocols with leverage.
Study optimizes CT and microinsurance for efficient social protection in low-income countries.
We introduce a new measure for the capital market efficiency. The measure takes into consideration the correlation structure of the returns (long-term and short-term memory) and local herding behavior (fractal dimension). The efficiency measure is taken as a distance from an ideal efficient market situation. Methodolog…
In a capital adequacy framework, risk measures are used to determine the minimal amount of capital that a financial institution has to raise and invest in a portfolio of pre-specified eligible assets in order to pass a given capital adequacy test. From a capital efficiency perspective, it is important to identify the s…
Optimal fund deployment strategy under uncertain deal arrivals.
We derive formulas for the performance of capital assets in continuous time from an efficient market hypothesis, with no stochastic assumptions and no assumptions about the beliefs or preferences of investors. Our efficient market hypothesis says that a speculator with limited means cannot beat a particular index by a …
In this paper we assume a multivariate risk model has been developed for a portfolio and its capital derived as a homogeneous risk measure. The Euler (or gradient) principle, then, states that the capital to be allocated to each component of the portfolio has to be calculated as an expectation conditional to a rare eve…
Determining contributions by sub-portfolios or single exposures to portfolio-wide economic capital for credit risk is an important risk measurement task. Often economic capital is measured as Value-at-Risk (VaR) of the portfolio loss distribution. For many of the credit portfolio risk models used in practice, the VaR c…
Cryptocurrencies are ranked for efficiency using a new Complexity-Entropy Plane.
SHARC explains machine learning risk models for regulatory capital, linking outputs to scenarios.
Chebyshev technique reduces FRTB-IMA equity autocallables computation costs by 90%.
Analyzes securitization impacts on monetary and fiscal policies.
Study finds varying market efficiency in prewar and wartime Japanese stock market.
This study examines the execution phase of corporate share buy-backs, highlighting inefficiencies and costs.
We empirically investigated the relationships between the degree of efficiency and the predictability in financial time-series data. The Hurst exponent was used as the measurement of the degree of efficiency, and the hit rate calculated from the nearest-neighbor prediction method was used for the prediction of the dire…
Study examines financial performance determinants of Kenyan microfinance banks.
Model shows how capital accumulation can lead to poverty traps and well-being states.
Optimizes bank capital structure under Basel III constraints, simplifying complex dynamics.
Sustaining efficiency and stability by properly controlling the equity to asset ratio is one of the most important and difficult challenges in bank management. Due to unexpected and abrupt decline of asset values, a bank must closely monitor its net worth as well as market conditions, and one of its important concerns …
The study analyzes how wartime controls influenced zaibatsu stock prices in Japan.
PDLPs reduce borrowing costs for perpetual futures traders.
In addition to constraining bilateral exposures of financial institutions, there are essentially two options for future financial regulation of systemic risk (SR): First, financial regulation could attempt to reduce the financial fragility of global or domestic systemically important financial institutions (G-SIBs or D…
A new XVA strategy rooted in balance sheet perspective improves equity process for bank shareholders.
A financial market comprising of a certain number of distinct companies is considered, and the following statement is proved: either a specific agent will surely beat the whole market unconditionally in the long run, or (and this "or" is not exclusive) all the capital of the market will accumulate in one company. Thus,…
The validity of the Efficient Market Hypothesis has been under severe scrutiny since several decades. However, the evidence against it is not conclusive. Artificial Neural Networks provide a model-free means to analize the prediction power of past returns on current returns. This chapter analizes the predictability in …
New model assesses risks of staking and borrowing in smart contracts.
RL-CVaR model improves insurance reserving under economic stress.
It is customary that when security prices fully reflect all available information, the markets for those securities are said to be efficient. And if markets are inefficient, investors can use available information ignored by the market to earn abnormally high returns on their investments. In this context this paper tri…
The paper explores capital allocation using Euler formula with VaR and ES, revealing non-monotonicity and providing estimation methods.
We utilize long-term memory, fractal dimension and approximate entropy as input variables for the Efficiency Index [Kristoufek & Vosvrda (2013), Physica A 392]. This way, we are able to comment on stock market efficiency after controlling for different types of inefficiencies. Applying the methodology on 38 stock marke…
Systemic risk refers to the risk that the financial system is susceptible to failures due to the characteristics of the system itself. The tremendous cost of systemic risk requires the design and implementation of tools for the efficient macroprudential regulation of financial institutions. The current paper proposes a…
Improved MLMC method boosts risk estimation efficiency.
Study finds stock prices rarely appreciate during capital inflows but often appreciate during normal flows.
In this paper we see the evolution of a capitalized financial event e, with respect to a capitalization factor f, as the exponential map of a suitably defined Lie group G(f,e), supported by the half-space of capitalized financial events having the same capital sign of e. The Lie group G(f,e) depends upon the capitaliza…
The paper models financial markets and real economy interactions using a large agent framework.
Statistical fields model explains capital allocation and accumulation among firms and investors.
This study examines how risky investments affect insurance capital valuation.
OpenAlpha validates decentralized capital strategies using game theory and market aggregation.
Credit (CVA), Debit (DVA) and Funding Valuation Adjustments (FVA) are now familiar valuation adjustments made to the value of a portfolio of derivatives to account for credit risks and funding costs. However, recent changes in the regulatory regime and the increases in regulatory capital requirements has led many banks…
The paper analyzes optimal dividend and capital injection strategies under time-inconsistent preferences.
Study systemic risk measures and capital allocation rules, showing commonalities.
Study analyzes household capital risk and poverty trapping, deriving a new function for capital deficit distribution.
This paper presents a model of capital accumulation for a large number of heterogenous producer-consumers in an exchange space in which interactions depend on agents' positions. Each agent is described by his production, consumption, stock of capital, as well as the position he occupies in this abstract space. Each age…
New method allocates capital based on tail central moments for financial risk assessment.
A dynamical model of capital exchange is introduced in which a specified amount of capital is exchanged between two individuals when they meet. The resulting time dependent wealth distributions are determined for a variety of exchange rules. For ``greedy'' exchange, an interaction between a rich and a poor individual r…