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 uses moment matching method for pricing spread options under Lévy models.
Predicts COVID-19 spread using dictionary learning and online NMF.
The paper prices energy spread options using a complex stochastic model.
The paper develops Hawkes-based models for LOB and applies them to European, spread, and basket option pricing.
The recent financial crisis has led to so-called multi-curve models for the term structure. Here we study a multi-curve extension of short rate models where, in addition to the short rate itself, we introduce short rate spreads. In particular, we consider a Gaussian factor model where the short rate and the spreads are…
We establish a super-replication duality in a continuous-time financial model where an investor's trades adversely affect bid- and ask-prices for a risky asset and where market resilience drives the resulting spread back towards zero at an exponential rate. Similar to the literature on models with a constant spread, ou…
This paper develops a two-dimensional structural framework for valuing credit default swaps and corporate bonds in the presence of default contagion. Modelling the values of related firms as correlated geometric Brownian motions with exponential default barriers, analytical formulae are obtained for both credit default…
In this paper, a Bayesian inference technique based on Taylor series approximation of the logarithm of the likelihood function is presented. The proposed approximation is devised for the case, where the prior distribution belongs to the exponential family of distributions. The logarithm of the likelihood function is li…
In this paper we propose a closed-form approximation for the price of basket options under a multivariate Black-Scholes model, based on Taylor expansions and the calculation of mixed exponential-power moments of a Gaussian distribution. Our numerical results show that a second order expansion provides accurate prices o…
We develop a modelling framework for multiple yield curves driven by continuous-state branching processes with immigration (CBI processes). Exploiting the self-exciting behavior of CBI jump processes, this approach can reproduce the relevant empirical features of spreads between different interbank rates. In particular…
Investors in stock market are usually greedy during bull markets and scared during bear markets. The greed or fear spreads across investors quickly. This is known as the herding effect, and often leads to a fast movement of stock prices. During such market regimes, stock prices change at a super-exponential rate and ar…
In this paper we use Bernstein and Chebyshev polynomials to approximate the price of some basket options under a bivariate Black-Scholes model. The method consists in expanding the price of a univariate related contract after conditioning on the remaining underlying assets and calculating the mixed exponential-power mo…
A self-organized model with social percolation process is proposed to describe the propagations of information for different trading ways across a social system and the automatic formation of various groups within market traders. Based on the market structure of this model, some stylized observations of real market can…
We propose a framework for studying optimal market making policies in a limit order book (LOB). The bid-ask spread of the LOB is modelled by a Markov chain with finite values, multiple of the tick size, and subordinated by the Poisson process of the tick-time clock. We consider a small agent who continuously submits li…
Continuous control imitation learning fails if expert actions are smooth.
A new model predicts bid-ask spread dynamics in financial markets.
Bid-ask spread is taken as an important measure of the financial market liquidity. In this article, we study the dynamics of the spread return and the spread volatility of four liquid stocks in the Chinese stock market, including the memory effect and the multifractal nature. By investigating the autocorrelation functi…
We explain a persistent cost-of-carry spread in EUA market and suggest ECB policy change.
Credit Default Swaps (CDS) on a reference entity may be traded in multiple currencies, in that protection upon default may be offered either in the domestic currency where the entity resides, or in a more liquid and global foreign currency. In this situation currency fluctuations clearly introduce a source of risk on C…
Based on the concept of self-decomposable random variables we discuss the application of a model for a pair of dependent Poisson processes to energy facilities. Due to the resulting structure of the jump events we can see the self-decomposability as a form of cointegration among jumps. In the context of energy faciliti…
We establish that, over certain ground fields, the set of osculating tangents of Cayley's ruled cubic surface gives rise to a (maximal partial) spread which is also a dual (maximal partial) spread. It is precisely the Betten-Walker spreads that allow for this construction. Every infinite Betten-Walker spread is not an …
We study the relationship between price spread, volatility and trading volume. We find that spread forms as a result of interplay between order liquidity and order impact. When trading volume is small adding more liquidity helps improve price accuracy and reduce spread, but after some point additional liquidity begins …
We introduce nonlinear higher-order label spreading for semi-supervised learning.
New approximations for Asian basket spread options using stochastic Taylor expansions.
The statistical properties of the bid-ask spread of a frequently traded Chinese stock listed on the Shenzhen Stock Exchange are investigated using the limit-order book data. Three different definitions of spread are considered based on the time right before transactions, the time whenever the highest buying price or th…
Study analyzes price response and spread impact in foreign exchange markets.
Machine learning fails to improve recession prediction with yield spread.
Model estimates LIBOR rates and finds COVID-19 spread spike due to credit risk.
The term structure of credit spreads is studied with an aim to predict its future movements. A completely new approach to tackle this problem is presented, which utilizes nonlinear parametric models. The Brain-Cousens regression model with five parameters is chosen to describe the term structure of credit spreads. Furt…
Deep learning models predict COVID-19 spread.
New model predicts credit spreads using stochastic CIR++ intensities.
GPR models epidemic spread on logarithmic scale.
We observe the effects of the three different events that cause spread changes in the order book, namely trades, deletions and placement of limit orders. By looking at the frequencies of the relative amounts of price changing events, we discover that deletions of orders open the bid-ask spread of a stock more often tha…
Model predicts bid and ask price dynamics with spread-dependent intensities.
We study the relaxation dynamics of the bid-ask spread and of the midprice after a sudden, large variation of the spread, corresponding to a temporary crisis of liquidity in a double auction financial market. We find that the spread decays very slowly to its normal value as a consequence of the strategic limit order pl…
Paper uses reinforcement learning to optimize bid-ask spreads in OTC markets.
We use high-frequency data of 1364 Chinese A-share stocks traded on the Shanghai Stock Exchange and Shenzhen Stock Exchange to investigate the intraday patterns in the bid-ask spreads. The daily periodicity in the spread time series is confirmed by Lomb analysis and the intraday bid-ask spreads are found to exhibit …
New lower bounds for linear classification problems in high dimensions.
We consider optimal execution strategies for block market orders placed in a limit order book (LOB). We build on the resilience model proposed by Obizhaeva and Wang (2005) but allow for a general shape of the LOB defined via a given density function. Thus, we can allow for empirically observed LOB shapes and obtain a n…
Paper forecasts recession indicators using yield spread models.
The paper uses option theory to estimate corporate bond liquidity spreads.
The global crisis of 2008 provoked a heightened interest among scientists to study the phenomenon, its propagation and negative consequences. The process of modelling the spread of a virus is commonly used in epidemiology. Conceptually, the spread of a disease among a population is similar to the contagion process in e…
In this work, we provide a framework linking microstructural properties of an asset to the tick value of the exchange. In particular, we bring to light a quantity, referred to as implicit spread, playing the role of spread for large tick assets, for which the effective spread is almost always equal to one tick. The rel…
Study of influenza A virus spread using mathematical equations.
For distributions and with different supports or undefined densities, the divergence may not exist. We define a Spread Divergence on modified and and describe sufficient conditions for t…
The paper explains how to construct a credit spread curve from bond prices.
Alternative closed-form formula for spread call option prices under log-normal models.
We identify and analyze statistical regularities and irregularities in the recent order flow of different NASDAQ stocks, focusing on the positions where orders are placed in the orderbook. This includes limit orders being placed outside of the spread, inside the spread and (effective) market orders. We find that limit …