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.
The attack intensity of distributed denial of service (DDoS) attacks is increasing every year. Botnets based on internet of things (IOT) devices are now being used to conduct DDoS attacks. The estimation of direct and indirect economic damages caused by these attacks is a complex problem. One of the indirect damage of …
Gradient boosting detects insider purchases predicting abnormal returns in microcap stocks.
Cryptocurrency markets show similar returns but different volatility responses to infrastructure and regulatory shocks.
We study trade-based manipulation of stock prices from the perspective of complex trading networks constructed by using detailed information of trades. A stock trading network consists of nodes and directed links, where every trader is a node and a link is formed from one trader to the other if the former sells shares …
What happens when the Supreme Court of the United States decides a case impacting one or more publicly-traded firms? While many have observed anecdotal evidence linking decisions or oral arguments to abnormal stock returns, few have rigorously or systematically investigated the behavior of equities around Supreme Court…
This study analyzes how the Indian stock market reacts to budget announcements using fractal methods.
Research examines how foreign direct investment in Vietnam affects stock returns.
Media tone around earnings announcements predicts stock returns.
The FCA improved insider trading regulation after 2012, reducing abnormal returns.
Twitter promotes cryptocurrency pump-and-dumps, affecting trading behavior and returns.
Co-branding improves stock performance for firms.
Listing on the Dow Jones Sustainability Index is seen as a gold-standard, verifying to the market that a firm is fully engaged with a corporate social responsibility agenda. Robustly quantifying the impact of listing, and de-listing, against any industry level shocks, as well as evolution in the competitive relationshi…
FinBERT model identifies key speakers in earnings calls, boosting stock returns.
Study resolves the Korean LVRP puzzle by showing HVRP exists but is masked by investor heterogeneity and improper intensity normalization.
Study finds mixed evidence of monthly stock market anomalies in Turkey and US.
Curriculum learning has been successfully used in reinforcement learning to accelerate the learning process, through knowledge transfer between tasks of increasing complexity. Critical tasks, in which suboptimal exploratory actions must be minimized, can benefit from curriculum learning, and its ability to shape explor…
Study shows negative stock returns after Moroccan companies issue profit warnings.
Study finds physical momentum portfolios in Indian stock market yield higher returns than benchmarks.
Study examines stock price reactions to Texas winter storm power outages.
The paper limits the profitability of technical trading rules and finds they are not better than random trading.
There is bountiful evidence that political uncertainty stemming from presidential elections or doubt about the direction of future policy make financial markets significantly volatile, especially in proximity to close elections or elections that may prompt radical policy changes. Although several studies have examined …
Gold prices show seasonal behavior, with January and July having opposite returns.
Study examines tech stocks' reactions to Facebook data leak scandal.
The study analyzes how wartime controls influenced zaibatsu stock prices in Japan.
Investment challenge study finds luck and strategy equally important.
Forecast stock return distributions using neural networks.
Bitcoin returns exhibit a distinct inverse cubic law scaling behavior.
We study the rank distribution, the cumulative probability, and the probability density of returns of stock prices of listed firms traded in four stock markets. We find that the rank distribution and the cumulative probability of stock prices traded in are consistent approximately with the Zipf's law or a power law. It…
The paper tackles budget allocation for multiple campaigns using a novel combinatorial bandit approach.
Over the past half-century, the empirical finance community has produced vast literature on the advantages of the equally weighted S\&P 500 portfolio as well as the often overlooked disadvantages of the market capitalization weighted Standard and Poor's (S\&P 500) portfolio (see \cite{Bloom}, \cite{Uppal}, \cite{Jacobs…
Study shows data breaches cause significant financial losses for firms, especially in health sector.
The paper links labor income risk to stock returns using industry portfolio returns.
The cumulant analysis plays an important role in non Gaussian distributed data analysis. The shares' prices returns are good example of such data. The purpose of this research is to develop the cumulant based algorithm and use it to determine eigenvectors that represent investment portfolios with low variability. Such …
Based on a faithful representation of the heavy tail multivariate distribution of asset returns introduced previously (Sornette et al., 1998, 1999) that we extend to the case of asymmetric return distributions, we generalize the return-risk efficient frontier concept to incorporate the dimensions of large risks embedde…
This study quantifies systemic importance in global banks using a continuous framework that amplifies localized shocks.
This paper investigates the rank distribution, cumulative probability, and probability density of price returns for the stocks traded in the KSE and the KOSDAQ market. This research demonstrates that the rank distribution is consistent approximately with the Zipf's law with exponent (KSE) and -1.31 (KOSDAQ),…
We introduce a new set of consistent measures of risks, in terms of the semi-invariants of pdf's, such that the centered moments and the cumulants of the portfolio distribution of returns that put more emphasis on the tail the distributions. We derive generalized efficient frontiers, based on these novel measures of ri…
This study optimizes stock portfolios for Indian sectors using historical data.
A simple formula approximates AUM fees' cumulative costs.
The paper examines the Chinese market reaction to the ADR issue by comparing returns and their stochastic variances of the Chinese firms cross-listed in the U.S. stock market. First, It was implemented capital asset pricing model (CAPM) to determine expected returns A and N shares. The CAPM provided with a methodology …
In informationally efficient financial markets, option prices and this implied volatility should immediately be adjusted to new information that arrives along with a jump in underlying's return, whereas gradual changes in implied volatility would indicate market inefficiency. Using minute-by-minute data on S&P 500 inde…
Deep neural network learns portfolio construction and volatility forecasting.
Alpha-based performance evaluation may fail to capture correlated residuals due to model errors. This paper proposes using the Generalized Information Ratio (GIR) to measure performance under misspecified benchmarks. Motivated by the theoretical link between abnormal returns and residual covariance matrix, GIR is deriv…
New method identifies structural parameters without assuming uncorrelated errors.
This note investigates the causes of the quality anomaly, which is one of the strongest and most scalable anomalies in equity markets. We explore two potential explanations. The "risk view", whereby investing in high quality firms is somehow riskier, so that the higher returns of a quality portfolio are a compensation …
ChatGPT scores corporate investment plans, predicting future spending and returns.
We provide evidence that cumulative distributions of absolute normalized returns for the American companies with the highest market capitalization, uncover a critical behavior for different time scales . Such cumulative distributions, in accordance with a variety of complex --and financial-- systems, can be m…
Using a family of modified Weibull distributions, encompassing both sub-exponentials and super-exponentials, to parameterize the marginal distributions of asset returns and their natural multivariate generalizations, we give exact formulas for the tails and for the moments and cumulants of the distribution of returns o…