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 study identifies assets with local balance deviating from global balance to mitigate financial risk.
Model predicts global financial market risks and asset allocation.
Study examines asset pricing using various attention models, finding global self-attention and sliding window sparse attention models perform well.
Study tests how U.S. equity prices align with global asset frequencies using financial variables.
Study shows how market efficiency changes during the pandemic.
A new VWAP execution method using transformer and signature features.
Study extends Gai-Kapadia framework to assess systemic risk in global equity markets.
Study applies Gai-Kapadia framework to global equity markets to assess systemic risk and default cascades.
The aim of this paper is to compare two asset allocation methods for a pension scheme during the decumulation phase in the simplified portfolio selection between a risky asset following a geometric Brownian motion and a riskless asset. The two asset allocation criteria are the ruin probability of the insurance company …
Rebellion Research's AI strategy outperformed the S&P 500 for 14 years.
The DAO Report led to a significant shift of ICO activity to Europe.
Financial models are studied where each asset may potentially lose value relative to any other. Conditioning on non-devaluation, each asset can serve as proper numéraire and classical valuation rules can be formulated. It is shown when and how these local valuation rules can be aggregated to obtain global arbitrage-fre…
By monitoring the time evolution of the most liquid Futures contracts traded globally as acquired using the Bloomberg API from 03 January 2000 until 15 December 2014 we were able to forecast the S&P 500 index beating the Buy and Hold trading strategy. Our approach is based on convolution computations of 42 of the most …
Paper solves optimal portfolio deleveraging with cross asset impacts.
I show the equivalence between a model of financial contagion and the threshold model of global cascades proposed by Watts (2002). The model financial network comprises banks that hold risky external assets as well as interbank assets. It is shown that a simple threshold model can replicate the size and the frequency o…
We study analytically and numerically Minority Games in which agents may invest in different assets (or markets), considering both the canonical and the grand-canonical versions. We find that the likelihood of agents trading in a given asset depends on the relative amount of information available in that market. More s…
Enhances portfolio construction with tailored regime forecasts for individual assets.
This is the third installment of the Financial Bubble Experiment. Here we provide the digital fingerprint of an electronic document in which we identify 27 bubbles in 27 different global assets; for 25 of these assets, we present windows of dates of the most likely ending time of each bubble. We will provide that docum…
This is the second installment of the Financial Bubble Experiment. Here we provide the digital fingerprint of an electronic document in which we identify 7 bubbles in 7 different global assets; for 4 of these assets, we present windows of dates of the most likely ending time of each bubble. We will provide that documen…
Optimizes high-dimensional portfolios using joint shrinkage.
Tokenized RWAs face liquidity issues despite promising markets.
BreakGPT predicts asset price surges using LLMs.
The study examines markets with multiple numéraires and finds equivalent martingale measures.
TimeMixer predicts global financial asset volatility, excelling in short-term forecasts.
We analyze the regularity of the optimal exercise boundary for the American Put option when the underlying asset pays a discrete dividend at a known time during the lifetime of the option. The ex-dividend asset price process is assumed to follow Black-Scholes dynamics and the dividend amount is a deterministic fu…
Bitcoin is a digital financial asset that is devoid of a central authority. This makes it distinct from traditional financial assets in a number of ways. For instance, the total number of tokens is limited and it has not explicit use value. Nonetheless, little is know whether it obeys the same stylized facts found in t…
Optimal multi-asset trading with Markovian predictors is well understood in the case of quadratic transaction costs, but remains intractable when these costs are . We present a mean-field approach that reduces the multi-asset problem to a single-asset problem, with an effective predictor that includes a risk avers…
Investigates MAD-RP portfolios for asset allocation.
By exploiting a bipartite network representation of the relationships between mutual funds and portfolio holdings, we propose an indicator that we derive from the analysis of the network, labelled the Average Commonality Coefficient (ACC), which measures how frequently the assets in the fund portfolio are present in th…
The Split-Session Cluster GARCH model captures tail heterogeneity in overnight and intraday returns.
Develops a hedging method for multi-asset derivatives with correlation risk.
The main contribution of the paper is to employ the financial market network as a useful tool to improve the portfolio selection process, where nodes indicate securities and edges capture the dependence structure of the system. Three different methods are proposed in order to extract the dependence structure between as…
MiCA regulation led to a shift in stablecoin dominance.
We estimate the global minimum variance (GMV) portfolio in the high-dimensional case using results from random matrix theory. This approach leads to a shrinkage-type estimator which is distribution-free and it is optimal in the sense of minimizing the out-of-sample variance. Its asymptotic properties are investigated a…
This book, which is in Spanish, provides detailed descriptions, including over 550 mathematical formulas, for over 150 trading strategies across a host of asset classes (and trading styles). This includes stocks, options, fixed income, futures, ETFs, indexes, commodities, foreign exchange, convertibles, structured asse…
The economic equities maximization criterion (MFPE) leads to the choice of financial portfolio, which maximizes the ratio of the expected value of the insurance company on the capital. This criterion is presented in the framework of a non-life insurance company and is applied within the framework of the French legislat…
Integrates prediction models into portfolio optimization for better asset allocation.
Optimal crypto asset routing with CFMMs, including fixed costs.
Investor attention predicts global equity market volatility during Ukraine invasion.
Proposes a robust portfolio method for large asset universes.
Study examines financial contagion at community level, finding increased contagion density and widespread transmission.
Management of the portfolios containing low liquidity assets is a tedious problem. The buyer proposes the price that can differ greatly from the paper value estimated by the seller, the seller, on the other hand, can not liquidate his portfolio instantly and waits for a more favorable offer. To minimize losses in this …
The Heston stochastic volatility process, which is widely used as an asset price model in mathematical finance, is a paradigm for a degenerate diffusion process where the degeneracy in the diffusion coefficient is proportional to the square root of the distance to the boundary of the half-plane. The generator of this p…
This paper studies a 2-players zero-sum Dynkin game arising from pricing an option on an asset whose rate of return is unknown to both players. Using filtering techniques we first reduce the problem to a zero-sum Dynkin game on a bi-dimensional diffusion . Then we characterize the existence of a Nash equilibrium…
We created financial benchmarks for distribution shifts in crude oil prices and volatility.
Study detects anomalies in financial markets using GNN and nonextensive entropy.
The paper introduces a new financial market for environmental indices to attract investors.
New approach uses SGLD to minimize CVaR for portfolio weights.