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.
Optimal crypto order execution using cross-exchange signals.
Model shows triangular arbitrage key to cross-currency correlations in forex markets.
Develops a new model for cross-currency derivatives pricing.
In this paper, we discuss the crossing change operation along exchangeable double curves of a surface-knot diagram. We show that under certain condition, a finite sequence of Roseman moves preserves the property of those exchangeable double curves. As an application for this result, we also define a numerical invariant…
Paper models foreign exchange markets and develops an on-line portfolio selection algorithm.
Study uses multifractal detrended cross-correlation to detect Forex arbitrage opportunities.
The study explores if a link can be transformed into another using specific diagram manipulations.
Hybrid method reveals true currency correlations.
Cryptocurrency market decouples from Forex, showing multifractality.
For the purpose of elucidating the correlation among currencies, we analyze daily and high-resolution data of foreign exchange rates. There is strong correlation for pairs of currencies of geographically near countries. We show that there is a time delay of order less than a minute between two currency markets having a…
We confirm universal behaviors such as eigenvalue distribution and spacings predicted by Random Matrix Theory (RMT) for the cross correlation matrix of the daily stock prices of Tokyo Stock Exchange from 1993 to 2001, which have been reported for New York Stock Exchange in previous studies. It is shown that the random …
We investigate the average frequency of positive slope , crossing for the returns of market prices. The method is based on stochastic processes which no scaling feature is explicitly required. Using this method we define new quantity to quantify stage of development and activity of stocks exchange. We compare …
Study of BSE sectors' behavior and indicators of financial crashes.
Bayesian models use marginal likelihood; non-Bayesian use cross-validation, shown equivalent.
Study proposes a method to construct copulas using corrected Hermite polynomial expansion for estimating foreign exchange volatility.
Blockchain trading faces limits due to time-consuming settlement, exposing arbitrageurs to price risk.
New methods improve cross-conformal prediction's prediction sets without sacrificing coverage guarantees.
If a rectangular diagram represents the trivial knot, then it can be deformed into the rectangular diagram with only two vertical edges by a finite sequence of merge operations and exchange operations, without increasing the number of vertical edges, which was shown by I. A. Dynnikov. We show in this paper that we need…
In this article, we investigate whether exchange rate risk is priced. We use a multivariate GARCH-in-Mean specification and test alternative conditional international CAPM versions. Our results support strongly the international asset-pricing model that includes exchange rate risk for both developed and emerging stock …
Fragmented exchanges arise due to speed advantages in high-activity regions.
We analyse the temporal changes in the cross correlations of returns on the New York Stock Exchange. We show that lead-lag relationships between daily returns of stocks vanished in less than twenty years. We have found that even for high frequency data the asymmetry of time dependent cross-correlation functions has a d…
The cross-correlations between the exchange rate fluctuations of 74 currencies over the period 1995-2012 are analyzed in this paper. The eigenvalue distribution of the cross-correlation matrix exhibits a bulk which approximately matches the bounds predicted from random matrices constructed using mutually uncorrelated t…
Financial markets can be described on several time scales. We use data from the limit order book of the London Stock Exchange (LSE) to compare how the fluctuation dominated microstructure crosses over to a more systematic global behavior.
Automated market-making for CBDCs and stable coins on blockchain.
In this chapter we studied the nonlinear co-movements between the Mexican Crude Oil price, the Mexican Stock Market Index and the USD/MXN Exchange Rate, for the sample period from 1994 to date. We used a battery of nonlinear tests, cf. (Patterson & Ashley, 2000) and one multivariate test, in order to determine the dyna…
The paper investigates cyclic arbitrage opportunities in decentralized exchanges.
Study detects unusual trading patterns on crypto exchanges using complexity measures.
MiCA regulation led to a shift in stablecoin dominance.
XFlow deep neural networks improve audiovisual classification.
Study compares market microstructure between two South African exchanges.
Hybrid ML and GA system improves currency exchange prediction.
We present an original and novel method based on random matrix approach that enables to distinguish the respective role of temporal autocorrelations inside given time series and cross correlations between various time series. The proposed algorithm is based on properties of Wigner eigenspectrum of random matrices inste…
We find a sharp local maximum in cross-correlation of EUR/USD and BTC/USD pairs, indicating short-term momentum trading.
Study forecasts stock returns on JSE using SGDLMs capturing cross-series dependencies.
We report evidence of a deep interplay between cross-correlations hierarchical properties and multifractality of New York Stock Exchange daily stock returns. The degree of multifractality displayed by different stocks is found to be positively correlated to their depth in the hierarchy of cross-correlations. We propose…
Privacy-preserving crypto exchanges adjust prices based on Gaussian noise.
World currency network constitutes one of the most complex structures that is associated with the contemporary civilization. On a way towards quantifying its characteristics we study the cross correlations in changes of the daily foreign exchange rates within the basket of 60 currencies in the period December 1998 -- M…
AI predicts currency strength based on economic fundamentals, outperforming traditional methods.
Study examines how BRICS nations' economies respond to COVID-19.
We investigate quotation and transaction activities in the foreign exchange market for every week during the period of June 2007 to December 2010. A scaling relationship between the mean values of number of quotations (or number of transactions) for various currency pairs and the corresponding standard deviations holds…
Study uncovers financial trends from cross-lingual news data.
Study compares Islamic banks' accounting and market performance.
For a market impact model, price manipulation and related notions play a role that is similar to the role of arbitrage in a derivatives pricing model. Here, we give a systematic investigation into such regularity issues when orders can be executed both at a traditional exchange and in a dark pool. To this end, we focus…
We study stock market instability by using cross-correlations constructed from the return time series of 366 stocks traded on the Tokyo Stock Exchange from January 5, 1998 to December 30, 2013. To investigate the dynamical evolution of the cross-correlations, cross-correlation matrices are calculated with a rolling win…
Factor models for cryptoasset returns identified a key contributor.
The study categorizes Korean Exchange member firms into three types and analyzes their trading behavior.
A practical one-shot federated learning algorithm for cross-silo setting.
Fast, global, and sensitively reacting to political, economic and social events of any kind, these are attributes that social media like Twitter share with foreign exchange markets. The leading assumption of this paper is that information which can be distilled from public debates on Twitter has predictive content for …