On-device research index

arXiv research

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.

168,657 papers · 148 categories

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6 results for “externalisation”

Competition in Dealer Markets with Internalisation and Externalisationq-fin.TR

Modeling dealer competition, internalisation and externalisation impact market dynamics and costs.

problem Understanding and optimizing dealer competition in risky asset markets.

method Variational approach to derive Nash equilibrium for dealer competition.

result Dealers using internalisation are incentivized to increase externalisation, leading to higher hedging costs and wider spreads.

dealer competition internalisation externalisation Nash equilibrium market dynamics

2026-06-04abs ↗pdf ↗

To Hedge or Not to Hedge: Optimal Strategies for Stochastic Trade Flow Managementq-fin.TR

Paper solves trade-off between internalisation and externalisation in stochastic trade flows.

problem Managing risk in stochastic trade flows between internalisation and externalisation.

method Derives almost-closed-form solutions using Almgren-Chriss framework for quadratic execution costs. Uses numerical methods for more general cases. Proposes reinforcement learning as an alternative.

result Almost-closed-form solutions and numerical methods for optimal strategies.

trade flows stochastic internalisation externalisation Almgren-Chriss

2025-03-04abs ↗pdf ↗

Detecting Toxic Flowq-fin.TR

Paper develops a fast Bayesian method to predict toxic trades in financial transactions.

problem Predicting and managing toxic trades in financial transactions.

method PULSE: an online learning Bayesian procedure for neural networks.

result Neural networks trained with PULSE outperform traditional methods in predicting toxic trades.

toxic trades financial transactions Bayesian methods online learning neural networks

2023-12-10abs ↗pdf ↗

Unwinding Toxic Flow with Partial Informationq-fin.TR

Model optimizes trading strategy with unobservable toxicity.

problem Maximizing daily trading profit with unobservable toxicity.

method Formulated as a partially observable stochastic control problem, solved in two steps.

result P&L performance gap is negligible (0.01%) in all scenarios.

trading strategy toxicity stochastic control partial observability price impact

2024-07-05abs ↗pdf ↗

Strategic Learning and Trading in Broker-Mediated Marketsq-fin.TR

Strategic brokers exploit private information in broker-mediated markets, affecting informed traders' performance.

problem Strategic interactions and information leakage in broker-mediated markets.

method Study of strategic trading behavior and information leakage in a broker-mediated market.

result Brokers hold a strategic advantage over informed traders due to information leakage in trading flows.

broker-mediated markets strategic trading information leakage informed traders performance effects

2024-12-30abs ↗pdf ↗

A Mean Field Game between Informed Traders and a Brokerq-fin.TR

Solves a game between brokers and informed traders using stochastic differential equations.

problem Optimizing wealth in a game between brokers and informed traders with private signals.

method Closed-form solutions to a mean-field game using forward-backward SDEs.

result Optimal trading strategies for both brokers and informed traders are found.

Mean field game Informed traders Broker Stochastic differential equations Nash equilibrium

2024-01-10abs ↗pdf ↗