Paper uses bipartite graph to forecast cross-market returns, revealing asymmetry.
problem Cross-market return predictability and asymmetry between U.S. and Chinese markets.
method Directed bipartite graph capturing time-ordered linkages, hypothesis testing for edge selection, regularized and ensemble machine learning models.
result U.S. returns predict Chinese intraday returns, but not vice versa, revealing asymmetry.
SNNs optimize cross-market portfolios with neuromorphic computing, reducing computational overhead and improving returns.
problem Complex cross-market portfolio optimization with high-frequency, multi-dimensional datasets.
method Leaky Integrate-and-Fire neuron dynamics, adaptive thresholding, spike-timing-dependent plasticity, lateral inhibition, hierarchical clustering, population-based spike encoding, multiple decoding strategies.
result SNNs deliver superior risk-adjusted returns and reduced volatility compared to ANN benchmarks, with improved computational efficiency.
Optimizes BESS for cross-market energy arbitrage to boost revenues.
problem Charging and discharging BESS at optimal times to maximize profits.
method Developed a generic framework, backtest engine, and optimization strategy.
result Boosted revenues by 10% through strategic BESS operation.
Enhances investment performance by leveraging cross-market information.
problem Maximizing portfolio performance in asset markets with shared characteristics.
method Transfer learning applied to portfolio optimization.
result Achieves maximum Sharpe ratio asymptotically.
This study presents an agent-based computational cross-market model for Chinese equity market structure, which includes both stocks and CSI 300 index futures. In this model, we design several stocks and one index futures to simulate this structure. This model allows heterogeneous investors to make investment decisions …
The study identifies extremal dependence in financial markets using a bootstrap-based testing procedure.
problem Accurately identifying extremal dependence in multivariate heavy-tailed financial data.
method Bootstrap-based testing procedure applied to U.S. and Chinese stock returns.
result The U.S. exhibits more isolated clustering of dependent assets compared to China.
Paper evaluates deadline-ILS on insider trading contracts, finding it distinguishes signals from noise.
problem Deadlines in insider trading contracts and information leakage detection.
method Empirical evaluation using FFIC dataset, hazard-rate estimation, cross-market wallet analysis.
result Deadline-ILS distinguishes signal from proxy artefact, with a significant shift in magnitude.
A new model integrates LSTM and copulas for high-dimensional financial data.
problem Modeling high-dimensional dependencies across financial markets.
method Variational LSTM with regular vine copulas.
result Outperforms benchmarks in cross-market portfolio forecasting.
SHHK Stock Connect increases A-H share price premium, more for less efficient markets.
problem Impact of financial liberalization on cross-market pricing efficiency.
method Monthly data for 67 A-H dual-listed firms, system GMM dynamic models.
result Heterogeneous effect of SHHK Stock Connect on A-H price premium, more pronounced for less efficient markets.
This paper explores BTC-denominated prediction markets to avoid stablecoin opportunity costs.
problem Opportunity costs and loss of BTC exposure when converting to stablecoins.
method Analyzes three methods of liquidity provision: cross-market making, automated market making, and DeFi redirection.
result Cross-market making provides the best user risk profile but requires active liquidity.
New method for estimating lead-lag times between non-synchronously observed point processes.
problem Estimating lead-lag relationships between non-synchronously observed point processes.
method Formulate lead-lag estimation as CPCF shape estimation; propose kernel density estimation-based lead-lag time estimator.
result Proposed method delivers superior numerical performance and effective lead-lag time estimation.
Platform uses queries to elicit investor preferences for portfolio trades, improving allocation efficiency.
problem Hidden-information problem in institutional crossing markets where investors value trades as portfolios but liquidity discovery is organized by individual securities.
method Modeling portfolio crossing as preference elicitation, using price-directed demand queries and value queries to verify selected packages.
result Hybrid procedure using demand and value queries recovers 88-95% of full-information welfare with a limited query budget.
Study reveals jumps in crypto markets predict future prices.
problem Understanding jumps in high frequency digital asset markets.
method High frequency crypto data analysis, econometric modeling.
result Intra-day jumps significantly influence end of day returns.
Researchers validate LMF order-splitting theory using public JSE data.
problem Lack of reproducibility and cross-market validation of LMF theory due to proprietary data.
method Synthetic metaorder reconstruction using publicly available JSE data.
result LMF theory validated using JSE data for 100 largest stocks.
Crypto markets show negative spillovers between chains, not positive co-movements.
problem Negative spillovers in crypto asset returns across different blockchains.
method On-chain data from multiple blockchains (Ethereum, Solana, Binance, Arbitrum, Avalanche) analyzed over 2022-2025.
result Surges on one chain often coincide with declines on others, especially during attention shocks.
Study finds short-term trading signals can enhance alpha in U.S. S&P 500 portfolios.
problem Traditional factor investing misses real-time market dislocations.
method Double-selection LASSO framework to control for fundamental factors and isolate trading signals.
result 17 distinct trading signals capture significant risk premiums and enhance portfolio diversification.
ReSGA model improves VaR and ES forecasting with millions of parameters.
problem Limited parameter models are vulnerable to big data.
method Retrieval-enhanced self-grouping autoencoder (ReSGA) with millions of parameters.
result ReSGA outperforms competitors in VaR and ES forecasting.
Trade-R1 bridges verifiable rewards to stochastic financial markets via process-level reasoning verification.
problem Extending RL to financial markets where rewards are verifiable but noisy.
method A verification method that transforms reasoning over financial documents into a structured RAG task, using a triangular consistency metric.
result DSR achieves superior cross-market generalization while maintaining reasoning consistency.
Survey of large language models in financial prediction and trading.
problem Improving predictability and robustness of financial predictions and trading decisions.
method Task-centered taxonomy, review of empirical evidence, design patterns, benchmarks, and challenges analysis.
result Improved predictability and robustness of financial predictions and trading decisions through large language models.
Market stability depends on a fundamental value anchor, not price crashes.
problem Stability of order-book markets under fundamental anchoring.
method Analytical model and empirical analysis of six transmission channels.
result Fundamental anchoring stabilizes markets by mean-reverting prices and refilling books; removing the anchor leads to market failure.
PolySwarm uses a swarm of LLMs to predict and arbitrage prediction markets.
problem Real-time prediction market trading and latency arbitrage inefficiencies.
method PolySwarm employs a swarm of 50 diverse LLMs, Bayesian combination, and risk-controlled execution.
result Swarm aggregation outperforms single-model baselines in prediction tasks.
Financial Wind Tunnel generates versatile market data for model testing.
problem Inconsistent market dynamics across different scales and sources.
method Retrieval-augmented diffusion-based simulator integrating macro and micro patterns.
result Enhanced performance and adaptability of downstream models in complex markets.
TINs use neural networks to interpret technical indicators for trading.
problem Lack of interpretable neural architectures for technical indicators in trading.
method Introduced TINs, a neural architecture that reformulates technical indicators into trainable modules.
result Improved risk-adjusted performance compared to traditional indicator-based strategies.
AI-Trader benchmarks LLMs in live financial markets, revealing poor trading performance.
problem Challenges in real-time financial decision-making by autonomous agents.
method Fully automated, live evaluation benchmark with minimal human intervention.
result General intelligence does not translate to effective trading, highlighting limitations.
Optimizes user marketing campaigns to balance cost and effectiveness.
problem Lack of methods to optimize marketing campaigns considering cost and effectiveness.
method Proposes a treatment effect optimization algorithm using deep learning to balance cost and effectiveness.
result Demonstrates superior performance in cost-efficiency and real-world business value.
The paper maps time-series onto networks to reveal hidden joint information.
problem Extract hidden joint information from uncorrelated time-series.
method Discretize time-series amplitudes, map onto networks, measure coupling deviations, and compare with Gaussian distributions.
result Markets may possess joint patterns even if initially uncorrelated.
Model shows liquidity stress crossover in market dynamics.
problem Identifying genuine market instabilities in agent-based models.
method Applied Bouchaud's phase-diagram method to a continuous-double-auction model.
result Emergent liquidity-stress crossover with specific tipping point parameters.