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.
New risk measure considers horizon risk and interest rate uncertainty.
This paper introduces new risk measures for evaluating losses with varying time horizons.
Many methods to explain black-box models, whether local or global, are additive. In this paper, we study global additive explanations for non-additive models, focusing on four explanation methods: partial dependence, Shapley explanations adapted to a global setting, distilled additive explanations, and gradient-based e…
We study the problem of online path learning with non-additive gains, which is a central problem appearing in several applications, including ensemble structured prediction. We present new online algorithms for path learning with non-additive count-based gains for the three settings of full information, semi-bandit and…
We proposed a new statistical dependency measure called Copula Dependency Coefficient(CDC) for two sets of variables based on copula. It is robust to outliers, easy to implement, powerful and appropriate to high-dimensional variables. These properties are important in many applications. Experimental results show that C…
We consider online optimization in the 1-lookahead setting, where the objective does not decompose additively over the rounds of the online game. The resulting formulation enables us to deal with non-stationary and/or long-term constraints , which arise, for example, in online display advertising problems. We propose a…
Study cash-subadditive risk measures without quasi-convexity.
Diamond method controls FDR for trustworthy feature interaction discovery in ML models.
The paper fits cash management models to data using stochastic and linear programming.
We propose a top-down model for cash CLO. This model can consistently price cash CLO tranches both within the same deal and across different deals. Meaningful risk measures for cash CLO tranches can also be defined and computed. This method is self-consistent, easy to implement and computationally efficient. It has the…
In this paper we aim to find a measure for the diversity of cash flows between agents in an economy. We argue that cash flows can be linked to probabilities of finding a currency unit in a given cash flow. We then use the information entropy as a natural measure of diversity. This leads to a hirarchical inequality meas…
A new class of risk measures called cash sub-additive risk measures is introduced to assess the risk of future financial, nonfinancial and insurance positions. The debated cash additive axiom is relaxed into the cash sub additive axiom to preserve the original difference between the numeraire of the current reserve amo…
A modular cash-overlay rule for allocating between a fixed growth-defensive risky sleeve and interest-bearing cash.
ADMM solves constrained CASH problems by breaking them into smaller, manageable pieces.
Paper defines the payback period for nonconventional cash flows using axioms.
Paper develops models to forecast private equity fund cash flows.
Study examines cash conversion cycle in manufacturing firms, finding negative relationships with profitability and size.
Cash management is concerned with optimizing the short-term funding requirements of a company. To this end, different optimization strategies have been proposed to minimize costs using daily cash flow forecasts as the main input to the models. However, the effect of the accuracy of such forecasts on cash management pol…
The basic financial purpose of corporation is creation of its value. Liquidity management should also contribute to realization of this fundamental aim. Many of the current asset management models that are found in financial management literature assume book profit maximization as the basic financial purpose. These boo…
Selecting the best policy to keep the balance between what a company holds in cash and what is placed in alternative investments is by no means straightforward. We here introduce PyCaMa, a Python module for multiobjective cash management based on linear programming that allows to derive optimal policies for cash manage…
Cash managers make daily decisions based on predicted monetary inflows from debtors and outflows to creditors. Usual assumptions on the statistical properties of daily net cash flow include normality, absence of correlation and stationarity. We provide a comprehensive study based on a real-world cash flow data set from…
Auto-CASH uses Deep Q-Network to automatically select machine learning algorithms.
Model cash management under ambiguity using maxmin preferences and diffusion.
Econophysics has developed as a research field that applies the formalism of Statistical Mechanics and Quantum Mechanics to address Economics and Finance problems. The branch of Econophysics that applies of Quantum Theory to Economics and Finance is called Quantum Econophysics. In Finance, Quantum Econophysics' contrib…
A new framework tackles CASH problem with alternating optimization and Rising Bandits.
We present an approach to market-consistent multi-period valuation of insurance liability cash flows based on a two-stage valuation procedure. First, a portfolio of traded financial instrument aimed at replicating the liability cash flow is fixed. Then the residual cash flow is managed by repeated one-period replicatio…
The study finds cash productivity predicts stock performance in a specific subset of firms.
Study optimizes insurance liability cash flows with regulatory capital requirements.
Study cash-flow forecasting for derivatives, aligning with replication strategy and addressing timing frictions.
We discuss risk measures representing the minimum amount of capital a financial institution needs to raise and invest in a pre-specified eligible asset to ensure it is adequately capitalized. Most of the literature has focused on cash-additive risk measures, for which the eligible asset is a risk-free bond, on the grou…
Paper presents new expansions for option pricing with cash dividends.
Investigates optimal withdrawal strategies in VA contracts with tax and ratchet mechanisms.
The main goal of this paper is to investigate under which conditions cash-subadditive convex dynamic risk measures are time-consistent. Proceeding as in Detlefsen and Scandolo \cite{detlef-scandolo} and inspired by their result, we give a dual representation of dynamic cash-subadditive convex risk measures (that can al…
A well-known property of the signature of closed oriented 4n-dimensional manifolds is Novikov additivity, which states that if a manifold is split into two manifolds with boundary along an oriented smooth hypersurface, then the signature of the original manifold equals the sum of the signatures of the resulting manifol…
In this article, a sensitivity analysis of long-term cash flows with respect to perturbations in the underlying process is presented. For this purpose, we employ the martingale extraction through which a pricing operator is transformed into what is easier to address. The method of Fournie et al. will be combined with t…
Elastic Cash adjusts money supply to stabilize interest rates.
This paper offers a mathematical framework to manage inventory risk in FX cash markets.
Optimizes loan recovery timing by forecasting cash flows.
Optimizes cash management in ATM networks to reduce costs and increase revenue.
In a market of deterministic cash flows, given as an additive, symmetric relation of exchangeability on the finite signed Borel measures on the non-negative real time axis, it is shown that the only arbitrage-free price functional that fulfills some additional mild requirements is the integral of the unit zero-coupon b…
Research improves LGD approximation using XGBoost for cash-flow-limited data.
We study a coin-tossing model used by a ratings agency to justify the sale of constant proportion debt obligations (CPDOs), and prove that it was impossible for CPDOs to achieve in a finite lifetime the Cash-In event of doubling its capital. In the best-case scenario of a two-headed coin, we show that the goal of attai…
Observation of the workings of productive organizations shows that the characteristics of a trade, backed by nature given to a technological environment, determine the productive combination implemented by the decision maker, and the structure of the operating cycle which is related. The choice of the production functi…
A new method prices time-to-event cash flows using survival analysis.
The paper models ATM cash withdrawal chaos and forecasts using deep learning.
This paper closely examines theoretical and practical aspects of the widely used discounted cash flows (DCF) valuation method. It assesses its potentials as well as several weaknesses. A special emphasize is being put on the valuation of companies using the DCF method. The paper finds that the discounted cash flow meth…
This paper presents a numerical model to solve the problem of cash accumulation strategies for products with an unknown future price, like assets. Stock prices are modeled by a discretized Wiener Process, and by the means of ordinary integrals this Wiener Process will be exactly matched at a preset terminal time. Three…
Research quantifies financial exclusion risks in UK, focusing on cash infrastructure and socio-economic factors.