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.
This paper studies the transition from disequilibrium to equilibrium in financial markets.
For classification of the high frequency trading quantities, waiting times, price increments within and between sessions are referred to as the a-, b-, and c-increments. Statistics of the a-b-c-increments are computed for the Time & Sales records posted by the Chicago Mercantile Exchange Group for the futures traded on…
We propose a simple non-equilibrium model of a financial market as an open system with a possible exchange of money with an outside world and market frictions (trade impacts) incorporated into asset price dynamics via a feedback mechanism. Using a linear market impact model, this produces a non-linear two-parametric ex…
I sketch a program for a microeconomic theory of the main component of the business cycle as a recurring disequilibrium, driven by incompleteness of the financial market and by information asymmetries between borrowers and lenders. This proposal seeks to incorporate five distinct but connected processes that have been …
We propose a continuous-time stock-flow consistent model for inventory dynamics in an economy with firms, banks, and households. On the supply side, firms decide on production based on adaptive expectations for sales demand and a desired level of inventories. On the demand side, investment is determined as a function o…
In network embedding, random walks play a fundamental role in preserving network structures. However, random walk based embedding methods have two limitations. First, random walk methods are fragile when the sampling frequency or the number of node sequences changes. Second, in disequilibrium networks such as highly bi…
We study statistical aspects of state-dependent Hawkes processes, which are an extension of Hawkes processes where a self- and cross-exciting counting process and a state process are fully coupled, interacting with each other. The excitation kernel of the counting process depends on the state process that, reciprocally…
We study analytically and numerically Minsky instability as a combination of top-down, bottom-up and peer-to-peer positive feedback loops. The peer-to-peer interactions are represented by the links of a network formed by the connections between firms, contagion leading to avalanches and percolation phase transitions pr…
In many applications, data come with a natural ordering. This ordering can often induce local dependence among nearby variables. However, in complex data, the width of this dependence may vary, making simple assumptions such as a constant neighborhood size unrealistic. We propose a framework for learning this local dep…
In both finance and economics, quantitative models are usually studied as isolated mathematical objects --- most often defined by very strong simplifying assumptions concerning rationality, efficiency and the existence of disequilibrium adjustment mechanisms. This raises the important question of how sensitive such mod…
Paper proposes ExsdHawkes to model LOBs, capturing volatility dynamics.
Sandpile Economics explains how economies can be prone to large crises from small shocks.
Improved trading strategy using deep learning and changepoint detection for market changes.
Estimates linear models from self-selected data, addressing econometric challenges.