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.
Paper proposes a new model to assess risks in energy storage systems considering both exogenous and endogenous uncertainties.
The study examines pricing American options with both exogenous and endogenous transaction costs.
New approach measures systemic risk by absorbing shocks before financial systems deteriorate.
Effective risk control must make a tradeoff between the microprudential risk of exogenous shocks to individual institutions and the macroprudential risks caused by their systemic interactions. We investigate a simple dynamical model for understanding this tradeoff, consisting of a bank with a leverage target and an unl…
Forecasting stock market decline and recovery post-COVID-19.
Method generates plausible financial stress scenarios using large deviations.
We propose a unified structural credit risk model incorporating both insolvency and illiquidity risks, in order to investigate how a firm's default probability depends on the liquidity risk associated with its financing structure. We assume the firm finances its risky assets by mainly issuing short- and long-term debt.…
New framework shows much of equity market risk may come from asset returns themselves.
A simple quantitative example of a reflexive feedback process and the resulting price dynamics after an exogenous price shock to a financial network is presented. Furthermore, an outline of a theory that connects financial reflexivity, which stems from cross-ownership and delayed or incomplete information, and no-arbit…
In stochastic control problems delicate issues arise when the controlled system can jump due to both exogenous shocks and endogenous controls. Here one has to specify what the controller knows when about the exogenous shocks and how and when she can act on this information. We propose to use Meyer--fields as a flexi…
Solves asset allocation for investors with utility functions and limits.
For this special issue, the article aims at discussing a few econophysics problems studied so far rather successfully. The following "applications" in micro-econo-physics are considered : (i) financial crashes; it is emphasized that one can distinguish between endogenous and exogenous causes; (ii) portofolio control, s…
New method identifies extreme risk propagation in financial networks.
Deep state space model forecasts time series with uncertainty.
The paper tackles reinforcement learning with exogenous variables and rewards.
Study portfolio selection with exogenous and endogenous transaction costs using deep learning.
Research forecasts electricity spot prices using stochastic volatility models.
In this paper we study the effect of network structure between agents and objects on measures for systemic risk. We model the influence of sharing large exogeneous losses to the financial or (re)insuance market by a bipartite graph. Using Pareto-tailed losses and multivariate regular variation we obtain asymptotic resu…
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…
We address microscopic, agent based, and macroscopic, stochastic, modeling of the financial markets combining it with the exogenous noise. The interplay between the endogenous dynamics of agents and the exogenous noise is the primary mechanism responsible for the observed long-range dependence and statistical propertie…
This paper improves parameter estimation for autonomous systems with unmodeled dynamics.
Study classifies stock price jumps as exogenous or endogenous using news data.
New method learns exogenous variable distributions for better causal optimization.
We study the optimal excess-of-loss reinsurance problem when both the intensity of the claims arrival process and the claim size distribution are influenced by an exogenous stochastic factor. We assume that the insurer's surplus is governed by a marked point process with dual-predictable projection affected by an envir…
We construct a continuous time model for price-mediated contagion precipitated by a common exogenous stress to the banking book of all firms in the financial system. In this setting, firms are constrained so as to satisfy a risk-weight based capital ratio requirement. We use this model to find analytical bounds on the …
We study Exo-MDPs to reduce sample complexity in reinforcement learning.
Investigates portfolio selection with transaction costs and stochastic volatility, using deep learning for computation.
This paper uses NARX neural networks for macroeconomic forecasting and goal setting.
Time series prediction has been studied in a variety of domains. However, it is still challenging to predict future series given historical observations and past exogenous data. Existing methods either fail to consider the interactions among different components of exogenous variables which may affect the prediction ac…
We consider the learning of multi-agent Hawkes processes, a model containing multiple Hawkes processes with shared endogenous impact functions and different exogenous intensities. In the framework of stochastic maximum likelihood estimation, we explore the associated risk bound. Further, we consider the superposition o…
Investment and insurance decisions are studied in a model with nonlinear portfolio frictions and background risk.
We study an optimal investment problem under default risk where related information such as loss or recovery at default is considered as an exogenous random mark added at default time. Two types of agents who have different levels of information are considered. We first make precise the insider's information flow by us…
We obtain stability estimates and derive analytic expansions for local solutions of multi-dimensional quadratic BSDEs. We apply these results to a financial model where the prices of risky assets are quoted by a representative dealer in such a way that it is optimal to meet an exogenous demand. We show that the prices …
New approach uses 'forward-looking' counterfactuals for treatment choice.
An investor with constant relative risk aversion and an infinite planning horizon trades a risky and a safe asset with constant investment opportunities, in the presence of small transaction costs and a binding exogenous portfolio constraint. We explicitly derive the optimal trading policy, its welfare, and implied tra…
DeFi doesn't fully remove trust, showing run risk and personal character's importance.
The paper analyzes binary option markets with exogenous information and price sensitivity.
The study uses Random Matrix Theory to identify structural changes in stock markets during shocks.
Enhances random forest performance with exogenous randomness.
HL algorithms improve resource allocation in cloud environments.
Model optimal liquidation in asset bubbles with varying entry times.
Study optimal contracts for pandemic risk, offering fixed shares and prevention mechanisms.
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…
Improved electricity price forecasting with NBEATSx model.
Method estimates exogenous and endogenous factors from event times.
We consider the problem of identifying the causal direction between two discrete random variables using observational data. Unlike previous work, we keep the most general functional model but make an assumption on the unobserved exogenous variable: Inspired by Occam's razor, we assume that the exogenous variable is sim…
We propose a stylized model of production and exchange in which long-term investors set their production decision over a horizon τ , the "time to produce", and are liquidity constrained, while financial investors trade over a much shorter horizon δ (<< τ ) and are therefore more duly informed on the exogenous shocks af…
Study liquidity provision with exogenous competition using a reference market maker.