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.
Method estimates exogenous and endogenous factors from event times.
We investigate the trading behavior of a large set of single investors trading the highly liquid Nokia stock over the period 2003-2008 with the aim of determining the relative role of endogenous and exogenous factors that may affect their behavior. As endogenous factors we consider returns and volatility, whereas the e…
New framework shows much of equity market risk may come from asset returns themselves.
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…
GIV methodology extends instrumental variable estimation for high-dimensional data.
Investigates portfolio selection with transaction costs and stochastic volatility, using deep learning for computation.
Price changes are induced by aggressive market orders in stock market. We introduce a bivariate marked Hawkes process to model aggressive market order arrivals at the microstructural level. The order arrival intensity is marked by an exogenous part and two endogenous processes reflecting the self-excitation and cross-e…
We consider the problem of identifying current coupons for Agency backed To-be-Announced (TBA) Mortgage Backed Securities. In a doubly stochastic factor based model which allows for prepayment intensities to depend upon current and origination mortgage rates, as well as underlying investment factors, we identify the cu…
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.
The study explains how market-makers' hedging affects stock volatility during gamma-squeeze events.
Easy conditions found for simplifying complex systems.
New findings allow infinite mean intensity Hawkes processes to be stable.
Paper develops an AI-driven framework for systematic investing.
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.
Many fits of Hawkes processes to financial data look rather good but most of them are not statistically significant. This raises the question of what part of market dynamics this model is able to account for exactly. We document the accuracy of such processes as one varies the time interval of calibration and compare t…
Endogenous business cycles explain higher comovement across countries.
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 …
Analyzes how economic policies affect wealth distribution in Bitcoin token economy.
A new boosting method corrects endogeneity bias in instrumental variable regression.
CausalVAE learns causal relationships in VAE models for better data disentanglement.
About the economic growth the Keynesian theorists defend circular and cumulative processes, benefiting the rich localities and harming the poorest, without external interventions. In these processes the Verdoorn law has an important role. For Verdoorn (1949) the productivity growth rate is endogenous and depends of the…
Paper proposes a new model to assess risks in energy storage systems considering both exogenous and endogenous uncertainties.
New method identifies cause-effect relations in multivariate time series data.
There is a fast-growing literature on estimating optimal treatment regimes based on randomized trials or observational studies under a key identifying condition of no unmeasured confounding. Because confounding by unmeasured factors cannot generally be ruled out with certainty in observational studies or randomized tri…
We propose a heterogeneous simultaneous graphical dynamic linear model (H-SGDLM), which extends the standard SGDLM framework to incorporate a heterogeneous autoregressive realised volatility (HAR-RV) model. This novel approach creates a GPU-scalable multivariate volatility estimator, which decomposes multiple time seri…
Business cycles affect startup valuations, both directly and indirectly.
Generalized Lotka-Volterra (GLV) models extending the (70 year old) logistic equation to stochastic systems consisting of a multitude of competing auto-catalytic components lead to power distribution laws of the (100 year old) Pareto-Zipf type. In particular, when applied to economic systems, GLV leads to power laws in…
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…
The paper optimizes portfolios using MACD signals derived from price history.
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…
This paper proposes a simple technical approach for the analytical derivation of Point-in-Time PD (probability of default) forecasts, with minimal data requirements. The inputs required are the current and future Through-the-Cycle PDs of the obligors, their last known default rates, and a measurement of the systematic …
Study optimal reinsurance for insurers with a reinsurer's default risk.
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.
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…
The present study introduce the human capital component to the Fama and French five-factor model proposing an equilibrium six-factor asset pricing model. The study employs an aggregate of four sets of portfolios mimicking size and industry with varying dimensions. The first set consists of three set of six portfolios e…