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.
Optimal crypto order execution using cross-exchange signals.
It is assumed that under suitable economic and information-theoretic conditions, market exchange rates are free from arbitrage. Commodity markets in which trades occur over a complete graph are shown to be trivial. We therefore examine the vector space of no-arbitrage exchange rate ensembles over an arbitrary connected…
This paper investigates the impact of dark pools on price discovery (the efficiency of prices on stock exchanges to aggregate information). Assets are traded in either an exchange or a dark pool, with the dark pool offering better prices but lower execution rates. Informed traders receive noisy and heterogeneous signal…
Modeling exchange rates and options using entropic dynamics.
IUS framework predicts EUR/USD exchange rate with improved accuracy.
Study Nash equilibrium between broker and trader in a lit exchange with price impact.
In this paper we attempt to introduce an econophysics approach to evaluate some aspects of the risks in financial markets. For this purpose, the thermodynamical methods and statistical physics results about entropy and equilibrium states in the physical systems are used. Some considerations on economic value and financ…
We investigate an existing distributed algorithm for learning sparse signals or data over networks. The algorithm is iterative and exchanges intermediate estimates of a sparse signal over a network. This learning strategy using exchange of intermediate estimates over the network requires a limited communication overhea…
Sequence models quantify uncertainty over latent concepts.
The paper analyzes sterling bills of exchange during the first globalization, revealing their global financial role.
Model estimates foreign exchange reserve compositions of undisclosed central banks.
A quantitative check of weak efficiency in US dollar/German mark exchange rates is developed using high frequency data. We show the existence of long term return anomalies. We introduce a technique to measure the available information and show it can be profitable following a particular trading rule.
There are many studies dealing with the analysis of similarity among currencies in foreign exchange market by using network analysis approach. In those studies, each currency is represented by a univariate time series of exchange rate return. This is the standard practice to analyze the underlying information in the fo…
Privacy-preserving crypto exchanges adjust prices based on Gaussian noise.
Fast, global, and sensitively reacting to political, economic and social events of any kind, these are attributes that social media like Twitter share with foreign exchange markets. The leading assumption of this paper is that information which can be distilled from public debates on Twitter has predictive content for …
New method constructs synthetic treatment groups without mean exchangeability assumption.
Asynchronous computation and gradient compression have emerged as two key techniques for achieving scalability in distributed optimization for large-scale machine learning. This paper presents a unified analysis framework for distributed gradient methods operating with staled and compressed gradients. Non-asymptotic bo…
This paper investigates a multi-terminal source coding problem under a logarithmic loss fidelity which does not necessarily lead to an additive distortion measure. The problem is motivated by an extension of the Information Bottleneck method to a multi-source scenario where several encoders have to build cooperatively …
Money was invented to address the difficulty in the double coincidence of wants between the supply and demand when people exchanged their goods and services. There are two information states in society: one is the initial state that people have goods and services due to division of labor; the other is the final state t…
Study analyzes price response and spread impact in foreign exchange markets.
This paper advances theory on the process of collaboration between entities and its implications on the quality of services, information, and/or products (SIPs) that the collaborating entities provide to each other. It investigates the scenario of outsourced IS projects (such as custom software development) where the e…
Lead-lag relationships among assets represent a useful tool for analyzing high frequency financial data. However, research on these relationships predominantly focuses on correlation analyses for the dynamics of stock prices, spots and futures on market indexes, whereas foreign exchange data have been less explored. To…
This study examines how DEXs impact traders' behavior in perpetual futures contracts.
Study on communication delays in decentralized learning networks.
Research shows that information asymmetry affects how quickly companies adjust their capital structure and expected returns.
Study validates low latency's impact on trading profits.
Our society has been computerised and globalised due to emergence and spread of information and communication technology (ICT). This enables us to investigate our own socio-economic systems based on large amounts of data on human activities. In this article, methods of treating complexity arising from a vast amount of …
In this paper we test the random walk hypothesis on the high frequency dataset of the bid--ask Deutschemark/US dollar exchange rate quotes registered by the inter-bank Reuters network over the period October 1, 1992 to September 30, 1993. Then we propose a stochastic model for price variation which is able to describe …
Develops a new framework for analyzing sequential decision-making problems using information theory.
We study the cluster dynamics of multichannel (multivariate) time series by representing their correlations as time-dependent networks and investigating the evolution of network communities. We employ a node-centric approach that allows us to track the effects of the community evolution on the functional roles of indiv…
Study liquidity provision in decentralized exchanges considering risk aversion and replication costs.
Study on liquidity and market efficiency in auction games with imperfect information.
This thesis explores supervised classification methods using Bayesian and exchangeability theories.
Study complexity in financial market using Shannon entropy.
Modeling gas fee competition in decentralized exchanges to optimize arbitrage profits.
We review some methods recently used in the literature to detect the existence of a certain degree of common behavior of stock returns belonging to the same economic sector. Specifically, we discuss methods based on random matrix theory and hierarchical clustering techniques. We apply these methods to a set of stocks t…
This paper analyzes the relationship between public disclosure, private information and stock liquidity in Tunisian context using a sample of 41 listed firms in the Tunis Stock Exchange in 2007. First, we find no evidence that there is a relation between public and private information. Second, Tunisian investors do not…
JIT liquidity providers can sometimes reduce overall market liquidity by crowding out passive LPs.
Study Nash equilibrium between broker and informed trader in dealer and lit markets.
Synthetic data can be used to ask more questions and accelerate discovery with provable validity guarantees.
Proposes Moment Exchange to use moments in image recognition models, improving generalization.
Study examines value relevance of oil and gas reserve disclosures in London Stock Exchange.
Study examines how BRICS nations' economies respond to COVID-19.
EXFormer predicts foreign exchange returns with high accuracy using a multi-scale self-attention mechanism and dynamic variable selection.
This paper studies liquidity providers in decentralized exchanges.
Cloud-native simulator studies global trading latencies.
This work proposes ACTC for adaptive distributed learning under communication constraints.
In a system containing a large number of interacting stochastic processes, there will typically be many non-zero correlation coefficients. This makes it difficult to either visualize the system's inter-dependencies, or identify its dominant elements. Such a situation arises in Foreign Exchange (FX) which is the world's…