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.
Replica exchange Langevin diffusion accelerates nonconvex optimization.
The article provides representations of exchange option prices under SVJD dynamics.
A new method for pricing exchange options under stochastic volatility and jumps.
Numerical method for pricing exchange options with stochastic volatility and jumps.
New algorithm learns nonlinear phenomena from noisy local measurements without data exchange.
We derived similar to Bo et al. (2010) results but in the case when the dynamics of the FX rate is driven by a general Merton jump-diffusion process. The main results of our paper are as follows: 1) formulas for the Esscher transform parameters which ensure that the martingale condition for the discounted foreign excha…
Proposes new Monte Carlo methods for calibrating local volatility models with stochastic components.
In recent years cryptocurrency trading has captured the attention of practitioners and academics. The volume of the exchange with standard currencies has known a dramatic increasing of late. This paper addresses to the need of models describing a bitcoin-US dollar exchange dynamic and their use to evaluate European opt…
Consider the problem of a central bank that wants to manage the exchange rate between its domestic currency and a foreign one. The central bank can purchase and sell the foreign currency, and each intervention on the exchange market leads to a proportional cost whose instantaneous marginal value depends on the current …
This work studies the symmetry between colloidal dynamics and the dynamics of the Euro--US Dollar currency exchange market (EURUSD). We consider the EURUSD price in the time range between 2001 and 2015, where we find significant qualitative symmetry between fluctuation distributions from this market and the ones belong…
We develop a maximum penalized quasi-likelihood estimator for estimating in a nonparametric way the diffusion function of a diffusion process, as an alternative to more traditional kernel-based estimators. After developing a numerical scheme for computing the maximizer of the penalized maximum quasi-likelihood function…
The paper gives bounds for how long it takes for gossip protocols to spread information in networks.
We report statistical regularities of the opening and closing auctions of French equities, focusing on the diffusive properties of the indicative auction price. Two mechanisms are at play as the auction end time nears: the typical price change magnitude decreases, favoring underdiffusion, while the rate of these events…
Study shows how crypto asset liquidity is affected by wash trading and proposes treatment to reduce liquidity diffusion.
The evolution of the probability distributions of Japan and US major market indices, NIKKEI 225 and NASDAQ composite index, and and currency exchange rates is described by means of the Fokker-Planck equation (FPE). In order to distinguish and quantify the deterministic and random influences on these…
Paper establishes MLE consistency for market microstructure models.
Revisits Jarrow & Turnbull model for credit and liquidity risk.
We discuss price variations distributions in foreign exchange markets, characterizing them both in calendar and business time frameworks. The price dynamics is found to be the result of two distinct processes, a multi-variance diffusion and an error process. The presence of the latter, which dominates at short time sca…
Develops diffusion models for time-varying correlation on the circle.
Arguably the most important problem in quantitative finance is to understand the nature of stochastic processes that underlie market dynamics. One aspect of the solution to this problem involves determining characteristics of the distribution of fluctuations in returns. Empirical studies conducted over the last decade …
We introduce the Pitman Yor Diffusion Tree (PYDT) for hierarchical clustering, a generalization of the Dirichlet Diffusion Tree (Neal, 2001) which removes the restriction to binary branching structure. The generative process is described and shown to result in an exchangeable distribution over data points. We prove som…
This work proposes ACTC for adaptive distributed learning under communication constraints.
We present a stochastic analysis of a data set consisiting of 10^6 quotes of the US Doller - German Mark exchange rate. Evidence is given that the price changes x(tau) upon different delay times tau can be described as a Markov process evolving in tau. Thus, the tau-dependence of the probability density function (pdf) …
Study examines USD exchange rate dynamics using Kramers-Moyal expansion.
NDPs learn to sample from complex function distributions using neural networks and diffusion models.
Central bank strategy to maintain currency exchange rate within limits.
Bayesian approach improves rain field reconstruction using CMLs and DMs.
Paper optimizes approximating high-dimensional diffusions by independent coordinates.
New model generates realistic single-cell gene expression data.
Study optimal investment strategies for an insurer in two currency markets.
In this paper we introduce kinetic equations for the evolution of the probability distribution of two goods among a huge population of agents. The leading idea is to describe the trading of these goods by means of some fundamental rules in price theory, in particular by using Cobb-Douglas utility functions for the bina…
We present a systematic study of various statistical characteristics of high-frequency returns from the foreign exchange market. This study is based on six exchange rates forming two triangles: EUR-GBP-USD and GBP-CHF-JPY. It is shown that the exchange rate return fluctuations for all the pairs considered are well desc…
Analytical results bound the approach to oligarchy in a modified asset exchange model.
The paper studies stochastic optimization on matrices and its limits as dimensions grow.
New framework detects crypto wash trading using liquidity measures.
Capital distribution curve is defined as log-log plot of normalized stock capitalizations ranked in descending order. The curve displays remarkable stability over periods of time. Theory of exchangeable distributions on set partitions, developed for purposes of mathematical genetics and recently applied in non-parametr…
This paper studies a two-person trading game in continuous time that generalizes Garivaltis (2018) to allow for stock prices that both jump and diffuse. Analogous to Bell and Cover (1988) in discrete time, the players start by choosing fair randomizations of the initial dollar, by exchanging it for a random wealth whos…
We study the performance of the euro/Swiss franc exchange rate in the extraordinary period from September 6, 2011 and January 15, 2015 when the Swiss National Bank enforced a minimum exchange rate of 1.20 Swiss francs per euro. Based on the analogy between Brownian motion in finance and physics, the first-order effect …
Recently we reported on an application of the Tsallis non-extensive statistics to the S&P500 stock index. There we argued that the statistics are applicable to a broad range of markets and exchanges where anamolous (super) diffusion and 'heavy' tails of the distribution are present, as they are in the S&P500. We have c…
Unified kernel for prediction markets reduces belief variance forecast error.
The recent liberalization of the electricity and gas markets has resulted in the growth of energy exchanges and modelling problems. In this paper, we modelize jointly gas and electricity spot prices using a mean-reverting model which fits the correlations structures for the two commodities. The dynamics are based on Or…
TRACE improves conformal prediction for multi-dimensional outputs.
We recently showed that the S&P500 stock market index is well described by Tsallis non-extensive statistics and nonlinear Fokker-Planck time evolution. We argued that these results should be applicable to a broad range of markets and exchanges where anomalous diffusion and `heavy' tails of the distribution are present.…
The paper prices and replicates various financial contracts on a risky asset with stochastic volatility and jumps.
We present a simple hybrid dynamical model as a tool to investigate behavioral strategies based on trend following. The multiplicative symbolic dynamics are generated using a lognormal diffusion model for the at-the-money implied volatility term structure. Thus, are model exploits information from derivative markets to…
This work generalizes graph neural networks (GNNs) beyond those based on the Weisfeiler-Lehman (WL) algorithm, graph Laplacians, and diffusions. Our approach, denoted Relational Pooling (RP), draws from the theory of finite partial exchangeability to provide a framework with maximal representation power for graphs. RP …
This paper proposes a numerical method for pricing foreign exchange (FX) options in a model which deals with stochastic interest rates and stochastic volatility of the FX rate. The model considers four stochastic drivers, each represented by an Itô's diffusion with time--dependent drift, and with a full matrix of corre…
The study examines convergence of stochastic processes on large graphs and adjacency matrices.