arXiv research

News attention to financial intermediaries and crises predicts excess bond premium and macroeconomic movements.

This work develops an agent-based model for the study of how the leverage through the use of repurchase agreements can function as a mechanism for the propagation and amplification of financial shocks in a financial system. Based on the analysis of financial intermediaries in the repo and interbank lending markets duri…

The main purpose of this paper is to formalize the modelling process, analysis and mathematical definition of corruption when entering into a contract between principal agent and producers. The formulation of the problem and the definition of concepts for the general case are considered. For definiteness, all calculati…

Study insurance pricing under correlation ambiguity without increasing prices or reducing utility.

This paper assesses risks in DeFi investments.

Framework integrates financial and annual report data for better corporate credit ratings.

Business cycles affect startup valuations, both directly and indirectly.

Financial markets are exposed to systemic risk, the risk that a substantial fraction of the system ceases to function and collapses. Systemic risk can propagate through different mechanisms and channels of contagion. One important form of financial contagion arises from indirect interconnections between financial insti…

Model for hedging price and quantity risks in electricity markets.

Recent developments in the literature on financial architecture suggest that banks and markets not only coexist, but also coevolve in ways that are non-neutral from the viewpoint of optimality. This article aims to analyse the concrete mechanisms of this coevolution by focusing on a very relevant case study: Belgium (t…

PLS-Lasso integrates dimension reduction into regression for financial index tracking.

SPAC data shows premium investors get better terms, non-premium get quid pro quo deals.

We consider a general discrete-time financial market with proportional transaction costs as in [Kabanov, Stricker and Rásonyi Finance and Stochastics 7 (2003) 403--411] and [Schachermayer Math. Finance 14 (2004) 19--48]. In addition to the usual investment in financial assets, we assume that the agents can invest part …

A new method for ILO with transition model disparity using an intermediary policy.

The existence of asymmetric information has always been a major concern for financial institutions. Financial intermediaries such as commercial banks need to study the quality of potential borrowers in order to make their decision on corporate loans. Classical methods model the default probability by financial ratios u…

We propose a new method for assessing agents' influence in financial network structures, which takes into consideration the intensity of interactions. A distinctive feature of this approach is that it considers not only direct interactions of agents of the first level and indirect interactions of the second level, but …

Automatic differentiation is involved for long in applied mathematics as an alternative to finite difference to improve the accuracy of numerical computation of derivatives. Each time a numerical minimization is involved, automatic differentiation can be used. In between formal derivation and standard numerical schemes…

Research proposes a decentralized invoice discounting system using Kelly criterion.

Integrates inductive biases into VAEs using intermediary latent variables.

Tensor factorization has been demonstrated as an efficient approach for computational phenotyping, where massive electronic health records (EHRs) are converted to concise and meaningful clinical concepts. While distributing the tensor factorization tasks to local sites can avoid direct data sharing, it still requires t…

Study reveals risks of investing in new crypto-tokens in decentralized exchanges.

The paper analyzes sterling bills of exchange during the first globalization, revealing their global financial role.

We compute the convex hull in $\mathbb{C}^2$ of an arbitrary finite subgroup of ${\mathbb{C}^*}^2$. The combinatorics are dictated by continued fractions in a natural way. This reproves a theorem of Smilansky, with a slightly stronger intermediary step.

Reduces data leakage in distributed deep learning models.

The paper proposes a machine learning framework for detecting DeFi fraud across multiple blockchain chains.

The paper analyzes algorithmic trading in cryptocurrency exchanges, finding a profitable strategy involving indirect conversions.

We classify nonsingular holomorphic foliations of dimension and codimension one on certain Hopf manifolds. More general, we prove that all nonsingular codimension one distributions on intermediary or generic Hopf manifolds are integrable and has holomorphic integral first. Also, we prove some results about singular hol…

This paper introduces an intermediary between conditional expectation and conditional sublinear expectation, called R-conditioning. The R-conditioning of a random-vector in $L^2$ is defined as the best $L^2$-estimate, given a $σ$-subalgebra and a degree of model uncertainty. When the random vector represents the payoff…

The study tests a functional-form restriction on risk exposure dynamics using margin debt data.

We study conservative partially hyperbolic diffeomorphisms in hyperbolic 3-manifolds. We show that they are always accessible and deduce as a result that every conservative $C^{1+}$ partially hyperbolic in a hyperbolic 3-manifold must be ergodic, giving an afirmative answer to a conjecture of Hertz-Hertz-Ures in the co…

Study finds Aave token network has core-periphery structure, with high decentralization predicting better returns.

This study categorizes RWA tokenization challenges and solutions.

The paper assesses VASPs' solvency using multiple data sources.

The implied volatility skew has received relatively little attention in the literature on short-term asymptotics for financial models with jumps, despite its importance in model selection and calibration. We rectify this by providing high-order asymptotic expansions for the at-the-money implied volatility skew, under a…

The definition of deposit substitutes in Philippine tax law fails to consider the maturity of a debt instrument. This makes it possible for long-term bonds to be considered as deposit substitutes if they meet the 20-lender rule, taxable at 20% final tax. However, long-term debt instruments cannot realistically function…

An assistant learns to mediate decisions between humans and experts, balancing risk and learning.

Thanks to the access to labeled orders on the Cac40 index future provided by Euronext, we are able to quantify market participants contributions to the volatility in the diffusive limit. To achieve this result we leverage the branching properties of Hawkes point processes. We find that fast intermediaries (e.g., market…

Analyzing available FAO data from 176 countries over 21 years, we observe an increase of complexity in the international trade of maize, rice, soy, and wheat. A larger number of countries play a role as producers or intermediaries, either for trade or food processing. In consequence, we find that the trade networks bec…

Hessian-free (HF) optimization has been successfully used for training deep autoencoders and recurrent networks. HF uses the conjugate gradient algorithm to construct update directions through curvature-vector products that can be computed on the same order of time as gradients. In this paper we exploit this property a…

Proposes a fair pricing framework insensitive to protected covariates.

New machine learning model identifies key drivers of market troughs.

Suppliers (including companies and individual prosumers) may wish to protect their private information when selling items they have in stock. A market is envisaged where private information can be protected through the use of differential privacy and option contracts, while privacy-aware suppliers deliver their stock a…

Study finds significant premium for low-beta stocks in firm-level idiosyncratic return distributions.

Flatland is a simple, lightweight environment for fast prototyping and testing of reinforcement learning agents. It is of lower complexity compared to similar 3D platforms (e.g. DeepMind Lab or VizDoom), but emulates physical properties of the real world, such as continuity, multi-modal partially-observable states with…

This study reviews decentralized prediction markets, identifying key design variants and open problems.

Q-groupoids and Q-algebroids are, respectively, supergroupoids and superalgebroids that are equipped with compatible homological vector fields. These new objects are closely related to the double structures of Mackenzie; in particular, we show that Q-groupoids are intermediary objects between Mackenzie's LA-groupoids a…

Framework learns image dynamics between time steps using latent variables.

Proposes a decentralized insurance protocol for DeFi.