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.
Improved deep learning performance in financial markets by using rank space.
We consider the problem of robustly maximizing the growth rate of investor wealth in the presence of model uncertainty. Possible models are all those under which the assets' region and instantaneous covariation are known, and where additionally the assets are stable in that their occupancy time measures converg…
Geoeconomic analysis of venture capital portfolios reveals key emerging tech domains and countries.
Study shows how market firm capitalization models converge to stochastic PDE solutions.
Proposes a diagnostic method to evaluate factor models using cap-axis integrals.
Proposes a diagnostic method to evaluate factor models using cap-axis integrals.
Cryptocurrencies are ranked for efficiency using a new Complexity-Entropy Plane.
We study a mean-field version of rank-based models of equity markets such as the Atlas model introduced by Fernholz in the framework of Stochastic Portfolio Theory. We obtain an asymptotic description of the market when the number of companies grows to infinity. Then, we discuss the long-term capital distribution. We r…
Capital distribution curve is defined as log-log plot of normalized stock capitalizations ranked in descending order. The curve displays remarkable stability over periods of time. Theory of exchangeable distributions on set partitions, developed for purposes of mathematical genetics and recently applied in non-parametr…
The paper analyzes a five-factor capital market model and facilitates exact simulation.
We study Atlas-type models of equity markets with local characteristics that depend on both name and rank, and in ways that induce a stable capital distribution. Ergodic properties and rankings of processes are examined with reference to the theory of reflected Brownian motions in polyhedral domains. In the context of …
An open market is a subset of an entire equity market composed of a certain fixed number of top capitalization stocks. Though the number of stocks in the open market is fixed, the constituents of the market change over time as each company's rank by its market capitalization fluctuates. When one is allowed to invest al…
A technique from stochastic portfolio theory [Fernholz, 1998] is applied to analyse equity returns of Small, Mid and Large cap portfolios in an emerging market through periods of growth and regional crises, up to the onset of the global financial crisis. In particular, we factorize portfolios in the South African marke…
Research tackles investor confusion in ESG rankings, offering tailored strategies.
It has been widely observed that capitalization-weighted indexes can be beaten by surprisingly simple, systematic investment strategies. Indeed, in the U.S. stock market, equal-weighted portfolios, random-weighted portfolios, and other naive, non- optimized portfolios tend to outperform a capitalization-weighted index …
We study the limiting behaviour of the empirical measure of a system of diffusions interacting through their ranks when the number of diffusions tends to infinity. We prove that the limiting dynamics is given by a McKean-Vlasov evolution equation. Moreover, we show that in a wide range of cases the evolution of the cum…
The financial crisis has dramatically demonstrated that the traditional approach to apply univariate monetary risk measures to single institutions does not capture sufficiently the perilous systemic risk that is generated by the interconnectedness of the system entities and the corresponding contagion effects. This has…
New model predicts stock performance in large equity markets.
Convex PCA improves Euclidean PCA for convex data subsets.
The paper explores capital allocation using Euler formula with VaR and ES, revealing non-monotonicity and providing estimation methods.
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.
Paper introduces G-LowTESTR for efficient tensor bandits.
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…
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…
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…
Study analyzes factors affecting capital adequacy in Bangladesh's banks.
The largest US banks are required by regulatory mandate to estimate the operational risk capital they must hold using an Advanced Measurement Approach (AMA) as defined by the Basel II/III Accords. Most use the Loss Distribution Approach (LDA) which defines the aggregate loss distribution as the convolution of a frequen…
We consider the risk sharing problem for capital requirements induced by capital adequacy tests and security markets. The agents involved in the sharing procedure may be heterogeneous in that they apply varying capital adequacy tests and have access to different security markets. We discuss conditions under which there…
Market sectors play a key role in the efficient flow of capital through the modern Global economy. We analyze existing sectorization heuristics, and observe that the most popular - the GICS (which informs the S&P 500), and the NAICS (published by the U.S. Government) - are not entirely quantitatively driven, but rather…
Unified approach to equity markets with open and hybrid Jacobi models.
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…
Derives equations for capital deepening in a competitive economy without assuming a production function.
Study examines impact of capital structure on Indian auto companies' profitability.
Research shows that information asymmetry affects how quickly companies adjust their capital structure and expected returns.
Modeling maximum drawdown records in capital markets using PDMP.
The paper translates economic models into a field formalism to study capital accumulation and its fluctuations.
Basel III introduces new capital charges for CVA. These charges, and the Basel 2.5 default capital charge can be mitigated by CDS. Therefore, to price in the capital relief that CDS contracts provide, we introduce a CDS pricing model with three legs: premium; default protection; and capital relief. If markets are compl…
Study validates capital structure theories in Indian public sector banks.