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.
Libra ensures fair order-matching in electronic financial exchanges.
We describe a new public-domain open-source simulator of an electronic financial exchange, and of the traders that interact with the exchange, which is a truly distributed and cloud-native system that been designed to run on widely available commercial cloud-computing services, and in which various components can be pl…
We develop the first basic Operational Risk perspective on key risk management issues associated with the development of new forms of electronic currency in the real economy. In particular, we focus on understanding the development of new risks types and the evolution of current risk types as new components of financia…
Deep semi-supervised anomaly detection improves fraud detection in financial markets.
Study examines financial structure's impact on non-financial firms' growth in Kenya.
AHEAD improves financial market efficiency through ad-hoc auctions.
Symmetry-electronic fingerprints reveal competing magnetic phases in two-dimensional materials.
This paper examines the intra-day seasonality of transacted limit and market orders in the DEM/USD foreign exchange market. Empirical analysis of completed transactions data based on the Dealing 2000-2 electronic inter-dealer broking system indicates significant evidence of intraday seasonality in returns and return vo…
We empirically study the trading activity in the electronic on-book segment and in the dealership off-book segment of the London Stock Exchange, investigating separately the trading of active market members and of other market participants which are non-members. We find that (i) the volume distribution of off-book tran…
Paper improves communication in decentralized federated learning for EHRs.
Framework learns inter-electronic potential for molecular dynamics.
A counterparty credit limit (CCL) is a limit that is imposed by a financial institution to cap its maximum possible exposure to a specified counterparty. CCLs help institutions to mitigate counterparty credit risk via selective diversification of their exposures. In this paper, we analyze how CCLs impact the prices tha…
Study shows long-term debt impacts financial growth of non-financial firms listed at Nairobi Securities Exchange.
New method trains deep neural networks for non-interacting kinetic-energy functionals in DFT.
Equivariant graph neural networks predict electron density for molecules, liquids, and solids.
BBE simulates sports betting exchanges for data generation.
Study uses ML to analyze financial behavior in big data.
In this paper we attempt to introduce an econophysics approach to evaluate some aspects of the risks in financial markets. For this purpose, the thermodynamical methods and statistical physics results about entropy and equilibrium states in the physical systems are used. Some considerations on economic value and financ…
Study assesses short-term debt's impact on non-financial firms' financial growth.
Study complexity in financial market using Shannon entropy.
We investigate the local fractal properties of the financial time series based on the evolution of the Warsaw Stock Exchange Index (WIG) connected with the largest developing financial market in Europe. Calculating the local Hurst exponent for the WIG time series we find an interesting dependence between the behavior o…
Atoms and molecules are important conceptual entities we invented to understand the physical world around us. The key to their usefulness lies in the organization of nuclear and electronic degrees of freedom into a single dynamical variable whose time evolution we can better imagine. The use of such effective variables…
The paper explores fair treatment in financial exchanges, finding unbounded fairness unrealistic and proposing ε-fairness as a solution.
The paper examines how randomness in forex returns increases during financial crises.
Research examines impact of Brexit on GBP/EUR exchange rate.
Hybrid model simulates market dynamics using neural stochastic background traders.
To execute a trade, participants in electronic equity markets may choose to submit limit orders or market orders across various exchanges where a stock is traded. This decision is influenced by the characteristics of the order flow and queue sizes in each limit order book, as well as the structure of transaction fees a…
New measures capture tail dependence and non-exchangeability in financial data.
PRIME models cryptocurrency exchange market impact.
In this paper we study a Clifford algebra generalization of the quaternions and its relationship with braid group representations related to Majorana fermions. The Fibonacci model for topological quantum computing is based on the fusion rules for a Majorana fermion. Majorana fermions can be seen not only in the structu…
Using a relationship between the moments of the probability distribution of times between the two consecutive trades (intertrade time distribution) and the moments of the distribution of a daily number of trades we show, that the underlying point process generating times of the trades is an essentially non-markovian lo…
We examine the correlation of the limit price with the order book, when a limit order comes. We analyzed the Rebuild Order Book of Stock Exchange Electronic Trading Service, which is the centralized order book market of London Stock Exchange. As a result, the limit price is broadly distributed around the best price acc…
This study assesses how share capital affects financial growth of non-financial firms listed at NSE.
This paper is trying to unveil general statistical characteristic of financial; time series data that is subjected to several financial time series data present in Indonesia, e.g. individual index such as stock price of PT. TELKOM, stock price of PT HM SAMPOERNA, and compiled stock price index (Jakarta Stock Exchange I…
This is the third installment of the Financial Bubble Experiment. Here we provide the digital fingerprint of an electronic document in which we identify 27 bubbles in 27 different global assets; for 25 of these assets, we present windows of dates of the most likely ending time of each bubble. We will provide that docum…
Using a relationship between the moments of the probability distribution of times between the two consecutive trades (intertrade time distribution) and the moments of the distribution of a daily number of trades we show, that the underlying point process is essentially non-markovian. A detailed analysis of all trades i…
This is the second installment of the Financial Bubble Experiment. Here we provide the digital fingerprint of an electronic document in which we identify 7 bubbles in 7 different global assets; for 4 of these assets, we present windows of dates of the most likely ending time of each bubble. We will provide that documen…
Since they were authorized by the U.S. Security and Exchange Commission in 1998, electronic exchanges have boomed, and by 2010 high frequency trading accounted for over 70% of equity trades in the US. Such markets are thought to increase liquidity because of the presence of market makers, who are willing to trade as co…
Study finds GBM model accurately predicts stock prices on Ghana Stock Exchange.
Financial trading is at the forefront of time-series analysis, and has grown hand-in-hand with it. The advent of electronic trading has allowed complex machine learning solutions to enter the field of financial trading. Financial markets have both long term and short term signals and thus a good predictive model in fin…
In this paper we study BSE Index financial time series for fractal and multifractal behaviour. We show that Bombay stock Exchange (BSE)Index time series is mono-fractal and can be represented by a fractional Brownian motion.
The paper analyzes algorithmic trading in cryptocurrency exchanges, finding a profitable strategy involving indirect conversions.
We scale and analyze the empirical data of return from New York and Vilnius stock exchanges matching it to the same nonlinear double stochastic model of return in financial market.
Extended PELCoV for bivariate Student-t copulas to monitor foreign exchange risk.
Study examines USD exchange rate dynamics using Kramers-Moyal expansion.
We report successful results from using deep learning neural networks (DLNNs) to learn, purely by observation, the behavior of profitable traders in an electronic market closely modelled on the limit-order-book (LOB) market mechanisms that are commonly found in the real-world global financial markets for equities (stoc…
Exchange uses incentives to optimize limit order book dynamics.
We study the tick dynamical behavior of the yen-dollar exchange rate using the rescaled range analysis in financial market. It is found that the multifractal Hurst exponents with the short and long-run memory effects can be obtained from the yen-dollar exchange rate. This exists one crossover for the Hurst exponents at…