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.
New findings allow infinite mean intensity Hawkes processes to be stable.
In order to disentangle the internal dynamics from exogenous factors within the Autoregressive Conditional Duration (ACD) model, we present an effective measure of endogeneity. Inspired from the Hawkes model, this measure is defined as the average fraction of events that are triggered due to internal feedback mechanism…
A phenomenological investigation of the endogenous and exogenous dynamics in the fluctuations of capital fluxes is investigated on the Chinese stock market using mean-variance analysis, fluctuation analysis and their generalizations to higher orders. Non-universal dynamics have been found not only in exponents diff…
Extends QHawkes to MQHawkes for analyzing financial co-jumps.
We introduce a model-independent approximation for the branching ratio of Hawkes self-exciting point processes. Our estimator requires knowing only the mean and variance of the event count in a sufficiently large time window, statistics that are readily obtained from empirical data. The method we propose greatly simpli…
Paper develops an AI-driven framework for systematic investing.
Model explains money creation under regulatory constraints.
The paper tackles reinforcement learning with exogenous variables and rewards.
Existence of incomplete Radner equilibrium with endogenous noise tracker.
Transformers can handle endogeneity in linear regression using IV methods.
We describe a simple model for speculative trading based on adaptive behavior of economic agents.The adaptive behavior is expressed through a feedback mechanism for changing agents' stock-to-bond ratios, depending on the past performance of their portfolios.The stock price is set according to the demand-supply for the …
Easy conditions found for simplifying complex systems.
Systems with long-range persistence and memory are shown to exhibit different precursory as well as recovery patterns in response to shocks of exogeneous versus endogeneous origins. By endogeneous, we envision either fluctuations resulting from an underlying chaotic dynamics or from a stochastic forcing origin which ma…
This paper models financial contagion with endogenously determined market liquidity.
Study classifies stock price jumps as exogenous or endogenous using news data.
In this article we consider the volatility inference in the presence of both market microstructure noise and endogenous time. Estimators of the integrated volatility in such a setting are proposed, and their asymptotic properties are studied. Our proposed estimator is compared with the existing popular volatility estim…
New method tackles endogeneity in online learning with improved regret bounds.
Test for linearizing 2-input systems with 2D feedback.
Paper corrects bias in online learning algorithms with endogenous data.
Finance is about how the continuous stream of news gets incorporated into prices. But not all news have the same impact. Can one distinguish the effects of the Sept. 11, 2001 attack or of the coup against Gorbachev on Aug., 19, 1991 from financial crashes such as Oct. 1987 as well as smaller volatility bursts? Using a …
The aim of this paper is to present a further contribution to the analysis of absolute convergence (and), associated with the neoclassical theory, and conditional, associated with endogenous growth theory, of the sectoral productivity at regional level. Presenting some empirical evidence of absolute convergence of prod…
A new boosting method corrects endogeneity bias in instrumental variable regression.
Method estimates exogenous and endogenous factors from event times.
Paper proposes a new model to assess risks in energy storage systems considering both exogenous and endogenous uncertainties.
Study liquidity provision in decentralized exchanges considering risk aversion and replication costs.
We developed a novel statistical method to identify structural differences between networks characterized by structural equation models. We propose to reparameterize the model to separate the differential structures from common structures, and then design an algorithm with calibration and construction stages to identif…
This paper highlights the role of risk neutral investors in generating endogenous bubbles in derivatives markets. We find that a market for derivatives, which has all the features of a perfect market except completeness and has some risk neutral investors, can exhibit extreme price movements which represent a violation…
Study examines credit risk's impact on Vietnamese banks' financial performance.
Study optimal reinsurance for insurers with a reinsurer's default risk.
Business cycles tend to comove across countries. However, standard models that attribute comovement to propagation of exogenous shocks struggle to generate a level of comovement that is as high as in the data. In this paper, we consider models that produce business cycles endogenously, through some form of non-linear d…
Investor optimizes utility in a market with endogenous pricing.
We present a model that investigates the spontaneous emergence of randomness in equity market microstructure. The phase space analysis of our model exposes an endogenous source of fluctuation in price and volume. We formulate a control problem for maximizing price regularity and stability while minimizing entanglement …
Study detects endogenous bubbles in meme stocks using CI.
The CAPM's market returns are endogenously determined, affecting all assets' expected returns.
AC-State discovers minimal latent state for control.
A Hawkes process model with a time-varying background rate is developed for analyzing the high-frequency financial data. In our model, the logarithm of the background rate is modeled by a linear model with a relatively large number of variable-width basis functions, and the parameters are estimated by a Bayesian method…
Study reveals 2020 stock crashes were mostly endogenous, not exogenous.
Exogenous state variables and rewards can slow down reinforcement learning by injecting uncontrolled variation into the reward signal. We formalize exogenous state variables and rewards and identify conditions under which an MDP with exogenous state can be decomposed into an exogenous Markov Reward Process involving on…
Paper develops a new estimator for panel data with endogenous treatments, improving causal inference.
Survival strategies in a market with self-determined prices are closely tied to log-optimal investment.
We present a careful analysis of possible issues on the application of the self-excited Hawkes process to high-frequency financial data. We carefully analyze a set of effects leading to significant biases in the estimation of the "criticality index" n that quantifies the degree of endogeneity of how much past events tr…
We perform an extended analysis of the distribution of drawdowns in the two leading exchange markets (US dollar against the Deutsmark and against the Yen), in the major world stock markets, in the U.S. and Japanese bond market and in the gold market, by introducing the concept of ``coarse-grained drawdowns,'' which all…
A new and an enriched JPEG algorithm is provided for identifying redundancies in a sequence of irregular noisy data points which also accommodates a reference-free criterion function. Our main contribution is by formulating analytically (instead of approximating) the inverse of the transpose of JPEGwavelet transform wi…
The deterrent effect of military alliances is well documented and widely accepted. However, such work has typically assumed that alliances are exogenous. This is problematic as alliances may simultaneously influence the probability of conflict and be influenced by the probability of conflict. Failing to account for suc…
DynForest predicts event probabilities from longitudinal data, handling endogenous predictors.
The study examines pricing American options with both exogenous and endogenous transaction costs.
We introduce a new measure of activity of financial markets that provides a direct access to their level of endogeneity. This measure quantifies how much of price changes are due to endogenous feedback processes, as opposed to exogenous news. For this, we calibrate the self-excited conditional Poisson Hawkes model, whi…
The study shows how probability weighting can lead to betting in a risk-averse economy.