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 extends option pricing theory for markets with informed traders.
This paper proposes a new geometric framework for asset pricing.
New pricing algorithm learns demand curves and optimizes prices in dynamic markets.
Paper develops privacy-preserving dynamic pricing policy for e-commerce.
Investors pay for additional asset information based on utility maximization.
We describe an agent-based simulation of a fictional (but feasible) information trading business. The Gas Price Information Trader (GPIT) buys information about real-time gas prices in a metropolitan area from drivers and resells the information to drivers who need to refuel their vehicles. Our simulation uses real wor…
Study on pricing rules for income streams with partial insider information.
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…
The paper analyzes binary option markets with exogenous information and price sensitivity.
New method identifies informed traders in prediction markets.
This paper investigates the effect of cross-shareholding on stock price synchronicity, as a measure of price informativeness, of the listed firms in the Chinese stock market. We gauge firms' levels of cross-shareholdings in terms of centrality in the cross-shareholding network. It is confirmed that it is through a nois…
The paper analyzes how market prices respond to information processing and non-linear dynamics.
Informer improves option pricing accuracy in volatile markets.
Improved price bounds for multi-asset derivatives using market option data.
This paper presents an optimal allocation problem in a financial market with one risk-free and one risky asset, when the market is driven by a stochastic market price of risk. We solve the problem in continuous time, for an investor with a Constant Relative Risk Aversion (CRRA) utility, under two scenarios: when the ma…
We investigate asymmetry of information in the context of robust approach to pricing and hedging of financial derivatives. We consider two agents, one who only observes the stock prices and another with some additional information, and investigate when the pricing--hedging duality for the former extends to the latter. …
We consider utility maximization problem for semi-martingale models depending on a random factor . We reduce initial maximization problem to the conditional one, given , which we solve using dual approach. For HARA utilities we consider information quantities like Kullback-Leibler information and Hellinger inte…
In the information-based approach to asset pricing the market filtration is modelled explicitly as a superposition of signals concerning relevant market factors and independent noise. The rate at which the signal is revealed to the market then determines the overall magnitude of asset volatility. By letting this inform…
In financial markets valuable information is rarely circulated homogeneously, because of time required for information to spread. However, advances in communication technology means that the 'lifetime' of important information is typically short. Hence, viewed as a tradable asset, information shares the characteristics…
The FSRM uses a multifractional process to capture price multifractality, revealing serial information for forecasting.
In this paper we introduce a class of information-based models for the pricing of fixed-income securities. We consider a set of continuous- time information processes that describe the flow of information about market factors in a monetary economy. The nominal pricing kernel is at any given time assumed to be given by …
Study finds adding more information to robust option pricing does not improve bounds.
In this paper incomplete-information models are developed for the pricing of securities in a stochastic interest rate setting. In particular we consider credit-risky assets that may include random recovery upon default. The market filtration is generated by a collection of information processes associated with economic…
Research predicts XRP price anomalies using graph topologies.
Physics-Informed Neural Network improves option pricing accuracy.
A pricing formula for discount bonds, based on the consideration of the market perception of future liquidity risk, is established. An information-based model for liquidity is then introduced, which is used to obtain an expression for the bond price. Analysis of the bond price dynamics shows that the bond volatility is…
A new framework for asset price dynamics is introduced in which the concept of noisy information about future cash flows is used to derive the price processes. In this framework an asset is defined by its cash-flow structure. Each cash flow is modelled by a random variable that can be expressed as a function of a colle…
Proposes indifference pricing to estimate weak information value.
Since exchange economy considerably varies in the market assets, asset prices have become an attractive research area for investigating and modeling ambiguous and uncertain information in today markets. This paper proposes a new generative uncertainty mechanism based on the Bayesian Inference and Correntropy (BIC) tech…
A new method for pricing European options in changing market conditions.
When investors have heterogeneous attitudes towards risk, it is reasonable to assume that each investor has a pricing kernel, and that these individual pricing kernels are aggregated to form a market pricing kernel. The various investors are then buyers or sellers depending on how their individual pricing kernels compa…
Bitcoin option prices reflect both market maker supply and trader demand, especially from those with insider information.
The paper analyzes financial market turbulence using mathematical physics.
Study finds on-chain data can proxy off-chain cryptocurrency pricing.
A limit order book provides information on available limit order prices and their volumes. Based on these quantities, we give an empirical result on the relationship between the bid-ask liquidity balance and trade sign and we show that liquidity balance on best bid/best ask is quite informative for predicting the futur…
We provide a microfoundation for linear price impact models in a stationary market.
While market is a social field where information flows over the interacting agents, there have been not so many methods to observe the spreading information in the prices comprising the market. By incorporating the entropy transfer in information theory in its relation to the Granger causality, the paper proposes a tre…
Informed traders strategically reveal noisier signals, making prices less responsive to public information.
This paper presents an overview of information-based asset pricing. In this approach, an asset is defined by its cash-flow structure. The market is assumed to have access to "partial" information about future cash flows. Each cash flow is determined by a collection of independent market factors called X-factors. The ma…
We propose a model to study the effects of delayed information on option pricing. We first talk about the absence of arbitrage in our model, and then discuss super replication with delayed information in a binomial model, notably, we present a closed form formula for the price of convex contingent claims. Also, we addr…
Trading strategy advantage based on information asymmetry.
Study uses non-parametric method to analyze EU ETS price determinants.
In this paper we extend the theory of option pricing to take into account and explain the empirical evidence for asset prices such as non-Gaussian returns, long-range dependence, volatility clustering, non-Gaussian copula dependence, as well as theoretical issues such as asymmetric information and the presence of limit…
Price without transaction makes no sense. Trading volume authenticates its corresponding price, so there exist mutual information and correlation between price and trading volume. We are curious about fractal features of this correlation and need to know how structures in different scales translate information. To expl…
Investigates optimal insurance and reinsurance strategies with incomplete market information.
We study the informational efficiency of a market with a single traded asset. The price initially differs from the fundamental value, about which the agents have noisy private information (which is, on average, correct). A fraction of traders revise their price expectations in each period. The price at which the asset …
A new framework for asset pricing based on modelling the information available to market participants is presented. Each asset is characterised by the cash flows it generates. Each cash flow is expressed as a function of one or more independent random variables called market factors or "X-factors". Each X-factor is ass…
The paper extends utility maximization by integrating partial information and robust VaR constraints.