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 reveals a hidden cost in derivatives markets through option-implied discount factors.
problem The hidden cost in derivatives markets, not visible in price space.
method Minute-level NBBO data on options, reduced-form specification linking carry gap to implementation risk, trading frictions, and financial conditions.
result An annualized carry gap exists, linked to implementation risk and financial conditions.
We consider an investor with constant absolute risk aversion who trades a risky asset with general Ito dynamics, in the presence of small proportional transaction costs. Kallsen and Muhle-Karbe (2012) formally derived the leading-order optimal trading policy and the associated welfare impact of transaction costs. In th…
We present an alternating augmented Lagrangian method for convex optimization problems where the cost function is the sum of two terms, one that is separable in the variable blocks, and a second that is separable in the difference between consecutive variable blocks. Examples of such problems include Fused Lasso estima…
Bayesian optimization with cost-awareness using Gittins index.
problem Optimizing unknown functions with limited data evaluations and costs.
method Developed a connection between cost-aware Bayesian optimization and the Pandora's Box problem, using the Gittins index as an acquisition function.
result The Gittins index-based acquisition function performs well in cost-aware Bayesian optimization, especially in high dimensions.
An option market maker incurs funding costs when carrying and hedging inventory. To hedge a net long delta inventory, for example, she pays a fee to borrow stock from the securities lending market. Because of haircuts, she posts additional cash margin to the lender which needs to be financed at her unsecured debt rate.…
On a constraint manifold we give an explicit formula for the Hessian matrix of a cost function that involves the Hessian matrix of a prolonged function and the Hessian matrices of the constraint functions. We give an explicit formula for the case of the orthogonal group O(n) by using only Euclidean coordinates …
The mathematical problem concerning intrinsic storage optimisation is formulated and solved by means of variational analysis. The solution, though obtained in implicit form, still sheds light on many important features of the optimal exercise strategy. It is shown how the solution depends on different constraint types …
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…
We propose a privacy-enhanced matrix factorization recommender that exploits the fact that users can often be grouped together by interest. This allows a form of "hiding in the crowd" privacy. We introduce a novel matrix factorization approach suited to making recommendations in a shared group (or nym) setting and the …
Study characterizes PM2.5 dynamics in Bujumbura using low-cost sensors.
problem Characterize spatio-temporal variability of PM2.5 in Bujumbura.
method Used low-cost sensors to collect data from August 2022 to August 2023. Analyzed hourly, daily, and seasonal PM2.5 concentrations using RNN with LSTM.
result Hourly and annual PM2.5 concentrations in Bujumbura exceed WHO standards.
While statistical learning methods have proved powerful tools for predictive modeling, the black-box nature of the models they produce can severely limit their interpretability and the ability to conduct formal inference. However, the natural structure of ensemble learners like bagged trees and random forests has been …
Optimal control of reserve assets for stablecoins to maintain peg stability.
problem Balancing immediate liquidity and yield on reserve assets for stablecoin peg maintenance.
method Developed a stochastic model predictive control framework with moment closure for event intensities, incorporating a soft-thresholding structure for rebalancing.
result Optimal policy shifts predictably toward cash as expected outflows intensify or windows lengthen, preserving most bill carry in calm markets and quickly building cash during stress.
The generative aspect model is an extension of the multinomial model for text that allows word probabilities to vary stochastically across documents. Previous results with aspect models have been promising, but hindered by the computational difficulty of carrying out inference and learning. This paper demonstrates that…
Detection of rare variants by resequencing is important for the identification of individuals carrying disease variants. Rapid sequencing by new technologies enables low-cost resequencing of target regions, although it is still prohibitive to test more than a few individuals. In order to improve cost trade-offs, it has…
Implementing large-scale information and communication technology (IT) projects carries large risks and easily might disrupt operations, waste taxpayers' money, and create negative publicity. Because of the high risks it is important that government leaders manage the attendant risks. We analysed a sample of 1,355 publ…
The standard theory of coherent risk measures fails to consider individual institutions as part of a system which might itself experience instability and spread new sources of risk to the market participants. In compliance with an approach adopted by Shapley and Shubik (1969), this paper proposes a cooperative market g…