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.
The paper predicts and explains the decay of stock anomaly performance over time.
The study uses a multi-armed bandit model to analyze and mitigate hiring discrimination.
In the knowledge that the ex-post performance of Markowitz efficient portfolios is inferior to that implied ex-ante, we make two contributions to the portfolio selection literature. Firstly, we propose a methodology to identify the region of risk-expected return space where ex-post performance matches ex-ante estimates…
This paper investigates how realized and option implied volatilities are related to the future quantiles of commodity returns. Whereas realized volatility measures ex-post uncertainty, volatility implied by option prices reveals the market's expectation and is often used as an ex-ante measure of the investor sentiment.…
Proposes a machine learning predictor for survey data.
Study shows SEC crypto classification led to significant market reactions.
Framework selects real estate redevelopment uses by integrating value, risk, complexity, and irreversibility.
New risk-sharing rules induced by capital allocation principles.
New method separates model and non-model risks for more practical asset pricing.
The tick value is a crucial component of market design and is often considered the most suitable tool to mitigate the effects of high frequency trading. The goal of this paper is to demonstrate that the approach introduced in Dayri and Rosenbaum (2015) allows for an ex ante assessment of the consequences of a tick valu…
AGFN improves causal discovery by integrating expert feedback and handling latent confounding.
Kyle (1985) builds a pioneering and influential model, in which an insider with long-lived private information submits an optimal order in each period given the market maker's pricing rule. An inconsistency exists to some extent in the sense that the ``constant pricing rule " actually assumes an adaptive expected price…
This paper presents an analysis of the study variables such as gdp, employment levels, the level of R & D and technology that will serve as the basis for stochastic modeling of production possibilities frontier in the goodness of fractal dimensions Ex Ante and Ex Post a priori to determine the levels of causality immed…
The article first describes characteristics of major infrastructure projects. Second, it documents a much neglected topic in economics: that ex ante estimates of costs and benefits are often very different from actual ex post costs and benefits. For large infrastructure projects the consequence is cost overruns, benefi…
The paper examines how risk reduction and insurance choices interact under convex premium principles.
Systemic risk refers to the risk that the financial system is susceptible to failures due to the characteristics of the system itself. The tremendous cost of systemic risk requires the design and implementation of tools for the efficient macroprudential regulation of financial institutions. The current paper proposes a…
This paper investigates the equilibrium interactions between trading targets and private information in a multi-period Kyle (1985) market. There are two investors who each follow dynamic trading strategies: A strategic portfolio rebalancer who engages in order splitting to reach a cumulative trading target and an uncon…
We theoretically and empirically study portfolio optimization under transaction costs and establish a link between turnover penalization and covariance shrinkage with the penalization governed by transaction costs. We show how the ex ante incorporation of transaction costs shifts optimal portfolios towards regularized …
Modeling price dynamics in response to order flow imbalance in Chinese futures markets.
Climate volatility reduces economic growth, especially in poorer countries.
We propose the application of a high-speed maximum likelihood clustering algorithm to detect temporal financial market states, using correlation matrices estimated from intraday market microstructure features. We first determine the ex-ante intraday temporal cluster configurations to identify market states, and then st…
We introduce a natural generalization of the forward-starting options, first discussed by M. Rubinstein. The main feature of the contract presented here is that the strike-determination time is not fixed ex-ante, but allowed to be random, usually related to the occurrence of some event, either of financial nature or no…
Fair insurance contracts are designed to handle default risk using cooperative game theory.
Study minimizes market inefficiency in systemic economies.
We show that, in a resource allocation problem, the ex ante aggregate utility of players with cumulative-prospect-theoretic preferences can be increased over deterministic allocations by implementing lotteries. We formulate an optimization problem, called the system problem, to find the optimal lottery allocation. The …
The strengthening of capital requirements has induced banks and traders to consider charging a so called capital valuation adjustment (KVA) to the clients in OTC transactions. This roughly corresponds to charge the clients ex-ante the profit requirement that is asked to the trading desk. In the following we try to deli…
We describe an exercise of using Big Data to predict the Michigan Consumer Sentiment Index, a widely used indicator of the state of confidence in the US economy. We carry out the exercise from a pure ex ante perspective. We use the methodology of algorithmic text analysis of an archive of brokers' reports over the peri…
The paper analyzes fairness of compensation-based risk-sharing schemes for fund payouts.
Study on optimal information acquisition in Kyle model with entropy cost.
Proposes a method to infer the distributional impacts of predictive models on stakeholders.
New tests for conditional copulas based on decision trees.
The paper tackles fair representation learning by smoothing feature mappings.
We develop a strong diagnostic for bubbles and crashes in bitcoin, by analyzing the coincidence (and its absence) of fundamental and technical indicators. Using a generalized Metcalfe's law based on network properties, a fundamental value is quantified and shown to be heavily exceeded, on at least four occasions, by bu…
The model of rational decision-making in most of economics and statistics is expected utility theory (EU) axiomatised by von Neumann and Morgenstern, Savage and others. This is less the case, however, in financial economics and mathematical finance, where investment decisions are commonly based on the methods of mean-v…
Paper proposes a fair grading method for randomized exams.
A new test evaluates risk estimation accuracy using probability integral transform.
Ex ante forecast outcomes should be interpreted as counterfactuals (potential histories), with errors as the spread between outcomes. Reapplying measurements of uncertainty about the estimation errors of the estimation errors of an estimation leads to branching counterfactuals. Such recursions of epistemic uncertainty …
Model shows how Ethereum can capture MEV from block construction, but centralization remains a concern.
This paper provides a holistic study of how stock prices vary in their response to financial disclosures across different topics. Thereby, we specifically shed light into the extensive amount of filings for which no a priori categorization of their content exists. For this purpose, we utilize an approach from data mini…
Proving the existence of speculative financial bubbles even a posteriori has proven exceedingly difficult so anticipating a speculative bubble ex ante would at first seem an impossible task. Still as illustrated by the recent turmoil in financial markets initiated by the so called subprime crisis there is clearly an ur…
Study examines insurance demand under ambiguity aversion.
Machine learning predicts US will win most Olympic medals in 2020.
This paper develops a method to select a reference contract for multi-contract quoting to minimize execution risk.
Study develops hybrid model to mitigate stablecoin liquidity risk.
This work models overnight rates with jumps and discontinuities, extending classical short-rate models.
New Euler characteristics for groupoids generalize orbifold Euler characteristics.
The paper defines and calculates Euler characteristics for quandles.
Study characteristic classes of a specific type of determinantal varieties.