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.
Agents learn sophisticated tool use and coordination in hide-and-seek.
Decisions taken in our everyday lives are based on a wide variety of information so it is generally very difficult to assess what are the strategies that guide us. Stock market therefore provides a rich environment to study how people take decision since responding to market uncertainty needs a constant update of these…
Model financial network dynamics to avoid systemic risk.
Deep learning models generate languages that lack abstract reasoning.
Automatically finds effective security strategies through reinforcement learning and self-play.
Using a data set which includes all transactions among banks in the Italian money market, we study their trading strategies and the dependence among them. We use the Fourier method to compute the variance-covariance matrix of trading strategies. Our results indicate that well defined patterns arise. Two main communitie…
Modeling HFT interactions reveals market instability.
New approach simulates reputation dynamics using information compression.
Trading strategies evolve in a simulated market to outperform real data.
We consider the problem of portfolio optimization in the presence of market impact, and derive optimal liquidation strategies. We discuss in detail the problem of finding the optimal portfolio under Expected Shortfall (ES) in the case of linear market impact. We show that, once market impact is taken into account, a re…
Framework for games with uncertain parameters, ensuring no player can improve by changing strategy.
Evology models US equity mutual funds interactions for investment strategies.
Survey examines distillation methods for large language models.
We investigate filter level sparsity that emerges in convolutional neural networks (CNNs) which employ Batch Normalization and ReLU activation, and are trained with adaptive gradient descent techniques and L2 regularization or weight decay. We conduct an extensive experimental study casting our initial findings into hy…
Investigation shows CTAs and STRTs can benefit from coexistence.
Machine learning (ML) methods have been developing rapidly, but configuring and selecting proper methods to achieve a desired performance is increasingly difficult and tedious. To address this challenge, automated machine learning (AutoML) has emerged, which aims to generate satisfactory ML configurations for given tas…
Model financial network dynamics to avoid systemic risk.
Framework preserves emergent physics in non-equilibrium systems from particle trajectories.
This study improves stock investment strategies using advanced neural networks.
Survey of AI in quant finance, from deep learning to LLMs.
Evolution Strategies (ES) emerged as a scalable alternative to popular Reinforcement Learning (RL) techniques, providing an almost perfect speedup when distributed across hundreds of CPU cores thanks to a reduced communication overhead. Despite providing large improvements in wall-clock time, ES is data inefficient whe…
China integrates ESG into corporate strategy for sustainable growth.
Pediatric asthma is the most prevalent chronic childhood illness, afflicting about 6.2 million children in the United States. However, asthma could be better managed by identifying and avoiding triggers, educating about medications and proper disease management strategies. This research utilizes deep learning methodolo…
Modeling market makers' quoting strategies to understand price impact.
Emerging economies use countercyclical policies to manage crises and dominant currencies.
Systematic trading strategies are algorithmic procedures that allocate assets aiming to optimize a certain performance criterion. To obtain an edge in a highly competitive environment, the analyst needs to proper fine-tune its strategy, or discover how to combine weak signals in novel alpha creating manners. Both aspec…
In this paper, making use of recent statistical physics techniques and models, we address the specific role of randomness in financial markets, both at the micro and the macro level. In particular, we review some recent results obtained about the effectiveness of random strategies of investment, compared with some of t…
We analyze a tractable model of a limit order book on short time scales, where the dynamics are driven by stochastic fluctuations between supply and demand. We establish the existence of a limiting distribution for the highest bid, and for the lowest ask, where the limiting distributions are confined between two thresh…
In lowest unique bid auctions, players bid for an item. The winner is whoever places the \emph{lowest} bid, provided that it is also unique. We use a grand canonical approach to derive an analytical expression for the equilibrium distribution of strategies. We then study the properties of the solution as a function…
A new risk measure (FRM) for EM FI returns helps investors protect against volatility and policy instability.
Recent years have seen an emerging class of structured financial products based on options linked to dynamic asset allocation strategies. One of the most chosen approach is the so-called target volatility mechanism. It shifts between risky and riskless assets to control the volatility of the overall portfolio. Even if …
Study uses reinforcement learning to optimize metachronal paddling at low Reynolds number.
Study shows survivorship bias inflates returns in India's small-cap index.
Study models growth of unorganized retail in Indian pharma sector amid organized and e-retail competition.
Study shows trust and trustworthiness emerge through reinforcement learning.
The financial crisis of 2008 generated interest in more transparent, rules-based strategies for portfolio construction, with Smart beta strategies emerging as a trend among institutional investors. While they perform well in the long run, these strategies often suffer from severe short-term drawdown (peak-to-trough dec…
We analyze the sectoral dynamics of startup venture financing. Based on a dataset of 52000 start-ups and 110000 funding rounds in the United States from 2000 to 2017, and by applying both Principal Component Analysis (PCA) and Tensor Component Analysis (TCA) in sector space, we visualize and measure the evolution of th…
This paper establishes a non-stochastic analogue of the celebrated result by Dubins and Schwarz about reduction of continuous martingales to Brownian motion via time change. We consider an idealized financial security with continuous price path, without making any stochastic assumptions. It is shown that typical price …
This study shows how social insects and machine learning methods share a common mathematical framework.
Shaped by structural forces of change, banking in emerging markets has recently experienced a decline in its traditional activities, leading banks to diversify into new business strategies. This paper examines whether the observed shift into non-interest based activities improves financial performance. Using a sample o…
We apply random matrix theory to compare correlation matrix estimators C obtained from emerging market data. The correlation matrices are constructed from 10 years of daily data for stocks listed on the Johannesburg Stock Exchange (JSE) from January 1993 to December 2002. We test the spectral properties of C against ra…
This paper analyzes DRL strategies in finance, revealing unique trading patterns and performance differences.
After the shocking series of bankruptcies started in 2008, the public does not trust anymore the classical methods of assessing business risks. The global economic severe downturn caused demand for both developed and emerging economies' exports to drop and the crisis became truly global. However, this current crisis of…
Unstructured data refers to information that does not have a predefined data model or is not organized in a pre-defined manner. Loosely speaking, unstructured data refers to text data that is generated by humans. In after-sales service businesses, there are two main sources of unstructured data: customer complaints, wh…
Deep RL trains a robust humanoid push-recovery policy.
Study shows how diverse investors' learning and preferences shape financial markets.
We describe an agent-based simulation of a fictional (but feasible) information trading business. The Gas Price Information Trader (GPIT) buys information about real-time gas prices in a metropolitan area from drivers and resells the information to drivers who need to refuel their vehicles. Our simulation uses real wor…
Mobile edge computing (MEC) emerges recently as a promising solution to relieve resource-limited mobile devices from computation-intensive tasks, which enables devices to offload workloads to nearby MEC servers and improve the quality of computation experience. Nevertheless, by considering a MEC system consisting of mu…