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 finds stock prices rarely appreciate during capital inflows but often appreciate during normal flows.
Study reveals the 2020 U.S. stock crash was endogenous, not caused by COVID.
Paper proposes trading strategies considering stock taxes for better returns.
Artificial Neural Networks predict stock returns, finding larger stocks less predictable.
China's QFII and RQFII programs expand foreign investment in Chinese markets.
Research shows that information asymmetry affects how quickly companies adjust their capital structure and expected returns.
Statistical fields model explains capital allocation and accumulation among firms and investors.
Simple, non-optimized portfolios beat capitalization-weighted indexes due to excess growth, not individual stock growth.
Model of capital accumulation in a complex exchange space.
Study finds nonlinear relationship between stock correlation and multiscaling indicator.
There is convincing evidence showing that the probability distributions of stock returns in mature markets exhibit power-law tails and both the positive and negative tails conform to the inverse cubic law. It supports the possibility that the tail exponents are universal at least for mature markets in the sense that th…
The study introduces a new stickiness parameter for stock prices using a non-linear model.
Open markets are a subset of equity markets with fixed top stocks, changing over time.
We propose and study a simple model of dynamical redistribution of capital in a diversified portfolio. We consider a hypothetical situation of a portfolio composed of N uncorrelated stocks. Each stock price follows a multiplicative random walk with identical drift and dispersion. The rules of our model naturally give r…
Study analyzes price change patterns across different market capitalizations using Markov chains.
Study finds recent Korean stock returns have fatter tails than before, especially for smaller companies.
We study the average price impact of a single trade executed in the NYSE. After appropriate averaging and rescaling, the data for the 1000 most highly capitalized stocks collapse onto a single function, giving average price shift as a function of trade size. This function increases as a power that is the order of 1/2 f…
The trade size has direct impact on the price formation of the stock traded. Econophysical analyses of transaction data for the US and Australian stock markets have uncovered market-specific scaling laws, where a master curve of price impact can be obtained in each market when stock capitalization is included a…
We add size factor to CAPM and normalize residuals by Volatility Index.
The study analyzes how wartime controls influenced zaibatsu stock prices in Japan.
We investigate the impact of capital gains taxes on optimal investment decisions in a quite simple model. Namely, we consider a risk neutral investor who owns one risky stock from which she assumes that it has a lower expected return than the riskless bank account and determine the optimal stopping time at which she se…
This paper examines the validity of the Capital Asset Pricing Model (CAPM) on the Ugandan stock market using monthly stock returns from 10 of the 11 companies listed on the Uganda Stock Exchange (USE), for the period 1st March 2007 to 10th November 2009. Due to the absence of readily available Uganda Stock Exchange(USE…
Local no-arbitrage under capital gains taxes is weaker than in frictionless markets.
Transformer model predicts stock prices in Bangladesh's stock market.
Study shows environmental spending positively impacts company profitability.
Introduces an asymmetric model for measuring market risk.
Study finds varying market efficiency in prewar and wartime Japanese stock market.
Properties of distributions of the number of trades in different intraday time intervals for five stocks traded in MICEX are studied. The dependence of the mean number of trades on the capital turnover is analyzed. Correlation analysis using factorial and moments demonstrates the multifractal nature of these dist…
We propose procedures for testing whether stock price processes are martingales based on limit order type betting strategies. We first show that the null hypothesis of martingale property of a stock price process can be tested based on the capital process of a betting strategy. In particular with high frequency Markov …
We study numeraire markets in open stock markets.
Study examines short-term stress of COVID-19 on major global stock indices.
This study examines how risky investments affect insurance capital valuation.
We consider a Black-Scholes market in which a number of stocks and an index are traded. The simplified Capital Asset Pricing Model is the conjunction of the usual Capital Asset Pricing Model, or CAPM, and the statement that the appreciation rate of the index is equal to its squared volatility plus the interest rate. (T…
Short sales allow tax deferral by offsetting gains from ordinary sales.
I explain the root of persistent failure of efforts to remove tax-induced distortions of economic incentives. It lies in FUNDAMENTAL IMPOSSIBILITY of objectively evaluating tax base. Distortions can be entirely avoided in the sector of publicly traded corporations. Evaluation can be bypassed by taxing it in shares (to …
Previous analyses of a large ensemble of stock markets have demonstrated that a log-periodic power law (LPPL) behavior of the prices constitutes a qualifying signature of speculative bubbles that often land with a crash. We detect such a LPPL signature in the foreign capital inflow during the bubble on the US markets c…
We investigate the average frequency of positive slope , crossing for the returns of market prices. The method is based on stochastic processes which no scaling feature is explicitly required. Using this method we define new quantity to quantify stage of development and activity of stocks exchange. We compare …
We consider a financial market in which two securities are traded: a stock and an index. Their prices are assumed to satisfy the Black-Scholes model. Besides assuming that the index is a tradable security, we also assume that it is efficient, in the following sense: we do not expect a prespecified self-financing tradin…
Portfolio managers are typically constrained by turnover limits, minimum and maximum stock positions, cardinality, a target market capitalization and sometimes the need to hew to a style (such as growth or value). In addition, portfolio managers often use multifactor stock models to choose stocks based upon their respe…
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…
Atlas-type models are constant-parameter models of uncorrelated stocks for equity markets with a stable capital distribution, in which the growth rates and variances depend on rank. The simplest such model assigns the same, constant variance to all stocks; zero rate of growth to all stocks but the smallest; and positiv…
We perform a parallel analysis of the spectral density of (i) the logarithm of price and (ii) the daily number of trades of a set of stocks traded in the New York Stock Exchange. The stocks are selected to be representative of a wide range of stock capitalization. The observed spectral densities show a different power-…
Price limit trading rules are adopted in some stock markets (especially emerging markets) trying to cool off traders' short-term trading mania on individual stocks and increase market efficiency. Under such a microstructure, stocks may hit their up-limits and down-limits from time to time. However, the behaviors of pri…
The study measures home bias in stock portfolios of emerging and developed markets.
Model shows how capital accumulation can lead to poverty traps and well-being states.
Generalizes optimal portfolio theory to include capital gains taxes.
We consider a trader who wants to direct his portfolio towards a set of acceptable wealths given by a convex risk measure. We propose a black-box algorithm, whose inputs are the joint law of stock prices and the convex risk measure, and whose outputs are the numerical values of initial capital requirement and the funct…
We reanalyze high resolution data from the New York Stock Exchange and find a monotonic (but not power law) variation of the mean value per trade, the mean number of trades per minute and the mean trading activity with company capitalization. We show that the second moment of the traded value distribution is finite. Co…