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.
A new method for clearing liability networks using sheaves on directed hypergraphs.
Unified framework for complex financial networks using lattice theory.
In this article we prove upper bounds for the Laplace eigenvalues below the essential spectrum for strictly negatively curved Cartan-Hadamard manifolds. Our bound is given in terms of and specific geometric data of the manifold. This applies also to the particular case of non-compact manifolds whose section…
The paper analyzes how open-end fund sales affect prices and returns.
In the previous article we derived a detailed asymptotic expansion of the heat trace for the Laplace-Beltrami operator on functions on manifolds with conic singularities. In this article we investigate how the terms in the expansion reflect the geometry of the manifold. Since the general expansion contains a logarithmi…
We propose a model for the credit and liquidity risks faced by clearing members of Central Counterparty Clearing houses (CCPs). This model aims to capture the features of: gap risk; feedback between clearing member default, market volatility and margining requirements; the different risks faced by various types of mark…
Unified model for network risks, including bilateral and central clearing, with practical applications.
We study constrained generalized Killing spinors over the metric cone and cylinder of a (pseudo-)Riemannian manifold, developing a toolkit which can be used to investigate certain problems arising in supersymmetric flux compactifications of supergravity theories. Using geometric algebra techniques, we give conceptually…
Unified framework linking firm signals and cross-asset spillovers for SDF estimation.
Optimal control solves multi-period liability clearing problems.
Paper introduces Cycles Protocol to integrate trade credit into market clearing.
Geometrically proves majorizing measure theorem on Hadamard manifolds.
We quantify the sensitivity of the Eisenberg-Noe clearing vector to estimation errors in the bilateral liabilities of a financial system in a stylized setting. The interbank liabilities matrix is a crucial input to the computation of the clearing vector. However, in practice central bankers and regulators must often es…
The problem of market clearing is to set a price for an item such that quantity demanded equals quantity supplied. In this work, we cast the problem of predicting clearing prices into a learning framework and use the resulting models to perform revenue optimization in auctions and markets with contextual information. T…
Recent innovations in Information and Communication Technologies (ICT) provide new opportunities and challenges for integration of distributed energy resources (DERs) into the energy supply system as active market players. By increasing integration of DERs, novel market platform should be designed for these new market …
The paper examines clearing payments in financial networks to prevent cascaded defaults.
Paper proposes a decentralized payment clearing system using blockchain and optimal bidding strategies.
A new model calculates optimal clearing payments in dynamic financial networks.
CLEAR calibrates both aleatoric and epistemic uncertainties for better predictive intervals.
Proposes a model for clearing prices in financial markets due to margin calls.
This paper develops an XVA (costs) analysis of centrally cleared trading, parallel to the one that has been developed in the last years for bilateral transactions. We introduce a dynamic framework that incorporates the sequence of cash-flows involved in the waterfall of resources of a clearing house. The total cost of …
CLEAR learns causal graphs from attention in recommender systems to explain user behavior.
Improved hardness results for clearing payments in financial networks with CDSs.
We use the manifestly conformally invariant description of a Lorentzian conformal structure in terms of a parabolic Cartan geometry in order to introduce a superalgebra structure on the space of twistor spinors and normal conformal vector fields formulated in purely algebraic terms on parallel sections in tractor bundl…
Blockchain markets with paid-priority trading can lead to biased prices and reduced liquidity.
We consider a dynamic market model where buyers and sellers submit limit orders. If at a given moment in time, the buyer is unable to complete his entire order due to the shortage of sell orders at the required limit price, the unmatched part of the order is recorded in the order book. Subsequently these buy unmatched …
I show that the solution of a standard clearing model commonly used in contagion analyses for financial systems can be expressed as a specific form of a generalized Katz centrality measure under conditions that correspond to a system-wide shock. This result provides a formal explanation for earlier empirical results wh…
The call auction is a widely used trading mechanism, especially during the opening and closing periods of financial markets. In this paper, we study a standard call auction problem where orders are submitted according to Poisson processes, with random prices distributed according to a general distribution, and may be c…
Sequential processing biases asset allocation in artificial stock markets.
This paper optimizes portfolio compression by reducing excess notional in market contracts.
Paper analyzes fire sales in a network of banks using VWAP and LOB pricing.
This study analyzes costs of CCP default resolution using Radner equilibrium approach.
A clearing member of a Central Counterparty (CCP) is exposed to losses on their default fund and initial margin contributions. Such losses can be incurred whenever the CCP has insufficient funds to unwind the portfolio of a defaulting clearing member. This does not necessarily require the default of the CCP itself. In …
We propose a model for price formation in financial markets based on clearing of a standard call auction with random orders, and verify its validity for prediction of the daily closing price distribution statistically. The model considers random buy and sell orders, placed following demand- and supply-side valuation di…
This paper provides a framework for modeling the financial system with multiple illiquid assets during a crisis. This work generalizes the paper by Amini, Filipovic and Minca (2016) by allowing for differing liquidation strategies. The main result is a proof of sufficient conditions for the existence of an equilibrium …
This paper provides a framework for modeling financial contagion in a network subject to fire sales and price impacts, but allowing for firms to borrow to cover their shortfall as well. We consider both uncollateralized and collateralized loans. The main results of this work are providing sufficient conditions for exis…
This guide simplifies applying differential privacy to machine learning models.
The paper defines measures acting in duality with sections of bundles in curved spaces.
The European market clearing problem is characterized by a set of heterogeneous orders and rules that force the implementation of heuristic and iterative solving methods. In particular, curtailable block orders and the uniform purchase price (UPP) pose serious difficulties. A block is an order that spans over multiple …
We study the impact of central clearing of over-the-counter (OTC) transactions on counterparty exposures in a market with OTC transactions across several asset classes with heterogeneous characteristics. The impact of introducing a central counterparty (CCP) on expected interdealer exposure is determined by the tradeof…
A framework models order book dynamics using point processes and mass transport.
Paper finds efficient algorithms for computing fixed points in financial networks.
We develop a framework for price-mediated contagion in financial systems where banks are forced to liquidate assets to satisfy a risk-weight based capital adequacy requirement. In constructing this modeling framework, we introduce a two-tier pricing structure: the volume weighted average price that is obtained by any b…
Pari-mutuel markets are trading platforms through which the common market maker simultaneously clears multiple contingent claims markets. This market has several distinctive properties that began attracting the attention of the financial industry in the 2000s. For example, the platform aggregates liquidity from the ind…
It is widely believed that fluctuations in transaction volume, as reflected in the number of transactions and to a lesser extent their size, are the main cause of clustered volatility. Under this view bursts of rapid or slow price diffusion reflect bursts of frequent or less frequent trading, which cause both clustered…
Study uses MFG approach to model equilibrium pricing with market clearing condition.
Predicting traffic incident duration is a major challenge for many traffic centres around the world. Most research studies focus on predicting the incident duration on motorways rather than arterial roads, due to a high network complexity and lack of data. In this paper we propose a bi-level framework for predicting th…
This paper studies how relative performance concerns affect stock prices in a tree-like market model.