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 calculates the likelihood of a financial market failure involving multiple major banks.
The dynamic network of relationships among corporations underlies cascading economic failures including the current economic crisis, and can be inferred from correlations in market value fluctuations. We analyze the time dependence of the network of correlations to reveal the changing relationships among the financial,…
Investors trade based on shifting prices, leading to market inefficiencies.
LLMs struggle with financial reasoning but can outperform the market with human oversight.
Over-the-counter markets are at the center of the postcrisis global reform of the financial system. We show how the size and structure of such markets can undergo rapid and extensive changes when participants engage in portfolio compression, a post-trade netting technology. Tightly-knit and concentrated trading structu…
The accurate prediction of time-changing covariances is an important problem in the modeling of multivariate financial data. However, some of the most popular models suffer from a) overfitting problems and multiple local optima, b) failure to capture shifts in market conditions and c) large computational costs. To addr…
In the current era of worldwide stock market interdependencies, the global financial village has become increasingly vulnerable to systemic collapse. The recent global financial crisis has highlighted the necessity of understanding and quantifying interdependencies among the world's economies, developing new effective …
This study analyzes how cryptocurrency networks adapt to financial disruptions.
A financial market comprising of a certain number of distinct companies is considered, and the following statement is proved: either a specific agent will surely beat the whole market unconditionally in the long run, or (and this "or" is not exclusive) all the capital of the market will accumulate in one company. Thus,…
The paper examines insurance market dynamics and optimal regulation.
Measuring systemic risk or fragility of financial systems is a ubiquitous task of fundamental importance in analyzing market efficiency, portfolio allocation, and containment of financial contagions. Recent attempts have shown that representing such systems as a weighted graph characterizing the complex web of interact…
This paper presents a new model for pricing financial derivatives subject to collateralization. It allows for collateral arrangements adhering to bankruptcy laws. As such, the model can back out the market price of a collateralized contract. This framework is very useful for valuing outstanding derivatives. Using a uni…
Quantum crypto-economics models price risks in blockchain technology.
Study models systemic risks in BRICS banks under geopolitical shocks.
In financial field, a robust software system is of vital importance to ensure the smooth operation of financial transactions. However, many financial corporations still depend on operators to identify and eliminate the system failures when financial software systems break down. This traditional operation method is time…
Adaptive Stress Testing detects financial fraud by simulating potential failures.
Study reveals how illiquidity network signals Chinese stock market crashes.
This paper evaluates LLMs for technical market analysis, finding GPT-4 Turbo and FinGPT outperform passive benchmarks.
This paper investigates two mechanisms of financial contagion that are, firstly, the correlated exposure of banks to the same source of risk, and secondly the direct exposure of banks in the interbank market. It will consider a random network of banks which are connected through the inter-bank market and will discuss t…
Study increasing profits in a flexible financial market model.
As economic entities become increasingly interconnected, a shock in a financial network can provoke significant cascading failures throughout the system. To study the systemic risk of financial systems, we create a bi-partite banking network model composed of banks and bank assets and propose a cascading failure model …
This paper uses MIS to identify key financial institutions with minimal risk contagion.
In complex systems like financial market, risk tolerance of individuals is crucial for system resilience.The single-security price limit, designed as risk tolerance to protect investors by avoiding sharp price fluctuation, is blamed for feeding market panic in times of crash.The relationship between the critical market…
One of the crucial problems in mathematical finance is to mitigate the risk of a financial position by setting up hedging positions of eligible financial securities. This leads to focusing on set-valued maps associating to any financial position the set of those eligible payoffs that reduce the risk of the position to …
StakeBench evaluates language understanding by linking comments to market commitments, improving model alignment with real-world outcomes.
Modern financial networks exhibit a high degree of interconnectedness and determining the causes of instability and contagion in financial networks is necessary to inform policy and avoid future financial collapse. In the American Economic Review, Elliott, Golub and Jackson proposed a simple model for capturing the dyn…
Modeling bank leverage dynamics to understand systemic risk in financial markets.
Enhances systemic risk analysis by incorporating debt valuation factors.
Financial markets are not random, but hard to predict due to hidden causes and strategic use.
Paper proposes methods to reduce financial contagion by targeted cash injections.
The 2008 financial crisis illustrated the need for a thorough, functional understanding of systemic risk in strongly interconnected financial structures. Dynamic processes on complex networks being intrinsically difficult, most recent studies of this problem have relied on numerical simulations. Here we report analytic…
The question we address here is of whether phenomena of collective bankruptcies are related to self-organized criticality. In order to answer it we propose a simple model of banking networks based on the random directed percolation. We study effects of one bank failure on the nucleation of contagion phase in a financia…
Study shows stock market efficiency varies over time and can be networked.
Financial markets are exposed to systemic risk (SR), the risk that a major fraction of the system ceases to function, and collapses. It has recently become possible to quantify SR in terms of underlying financial networks where nodes represent financial institutions, and links capture the size and maturity of assets (l…
The article detects market regimes from covariance matrices using VLSTAR and clustering models.
Margin trading in which investors purchase shares with money borrowed from brokers is blamed to be a major cause of the 2015 Chinese stock market crash. We propose a cascading failure model and examine how an increase in margin trading increases share price vulnerability. The model is based on a bipartite graph of inve…
LLM trading agents show risk feedback can improve alignment without fine-tuning.
New eco-systemic prudential policies aim to finance green companies, reducing systemic financial risk.
Benchmark evaluates LLM trading agents by masking identifiers to prevent memory leaks.
Network analysis improves risk assessment for surety bonds.
Proposes LSTM for financial market trend forecasting.
Study extends Gai-Kapadia framework to assess systemic risk in global equity markets.
FTX's failure linked to Terra-Luna collapse and Binance's influence.
FactorMiner discovers financial alpha factors with low redundancy.
Study examines cryptoasset service providers in Austria, revealing global integration and distinct responses to market shocks.
Prior to the financial crisis mortgage securitization models increased in sophistication as did products built to insure against losses. Layers of complexity formed upon a foundation that could not support it and as the foundation crumbled the housing market followed. That foundation was the Gaussian copula which faile…
K-means algorithm improves financial market risk prediction accuracy.
Cryptocurrency markets show similar returns but different volatility responses to infrastructure and regulatory shocks.