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.
Unified framework for optimal liquidation with small market impact and semimartingale strategies.
Study optimal execution in a transient price impact model with multiple traders.
Theory of price impact on bond term structure.
This study examines how market makers balance risk and impact in foreign exchange markets.
Study compares Fourier estimators to mitigate asynchrony effects in finance.
Optimizes trading strategies with price impact, predictable returns, and stochastic volatility.
Study high-frequency trading game with price impact, finding unique equilibrium.
We study an optimal execution problem in illiquid markets with both instantaneous and persistent price impact and stochastic resilience when only absolutely continuous trading strategies are admissible. In our model the value function can be described by a three-dimensional system of backward stochastic differential eq…
We present an analysis of the price impact associated with trades effected by different financial firms. Using data from the Spanish Stock Market, we find a high degree of heterogeneity across different market members, both in the instantaneous impact functions and in the time-dependent market response to trades by ind…
We introduce a generalisation of the well-known ARCH process, widely used for generating uncorrelated stochastic time series with long-term non-Gaussian distributions and long-lasting correlations in the (instantaneous) standard deviation exhibiting a clustering profile. Specifically, inspired by the fact that in a var…
We derive an explicit solution for deterministic market impact parameters in the Graewe and Horst (2017) portfolio liquidation model. The model allows to combine various forms of market impact, namely instantaneous, permanent and temporary. We show that the solutions to the two benchmark models of Almgren and Chris (20…
There are two schools of thought regarding market impact modeling. On the one hand, seminal papers by Almgren and Chriss introduced a decomposition between a permanent market impact and a temporary (or instantaneous) market impact. This decomposition is used by most practitioners in execution models. On the other hand,…
Study optimal liquidation strategies on Uniswap v2/v3 considering price impact.
We study the problem of the optimal execution of a large trade in the presence of nonlinear transient impact. We propose an approach based on homotopy analysis, whereby a well behaved initial strategy is continuously deformed to lower the expected execution cost. We find that the optimal solution is front loaded for co…
CCVA adjusts for climate change impacts on financial valuation.
We compare optimal static and dynamic solutions in trade execution. An optimal trade execution problem is considered where a trader is looking at a short-term price predictive signal while trading. When the trader creates an instantaneous market impact, it is shown that transaction costs of optimal adaptive strategies …
Study Nash equilibrium between broker and trader in a lit exchange with price impact.
SMEs provide a transparent testbed for RL evaluation.
While the long-ranged correlation of market orders and their impact on prices has been relatively well studied in the literature, the corresponding studies of limit orders and cancellations are scarce. We provide here an empirical study of the cross-correlation between all these different events, and their respective i…
Novel signature approach for pricing and hedging path-dependent options with market frictions.
We prove uniqueness of instantaneously complete Ricci flows on surfaces. We do not require any bounds of any form on the curvature or its growth at infinity, nor on the metric or its growth (other than that implied by instantaneous completeness). Coupled with earlier work, particularly [23, 11], this completes the well…
Revisits behavioral finance option pricing model to align with rational asset pricing theory.
We show that the cost of market orders and the profit of infinitesimal market-making or -taking strategies can be expressed in terms of directly observable quantities, namely the spread and the lag-dependent impact function. Imposing that any market taking or liquidity providing strategies is at best marginally profita…
Develops large-sample theory for non-stationary source separation.
New framework IDOL identifies latent causal processes with instantaneous relations from time series data.
This paper studies the concept of instantaneous arbitrage in continuous time and its relation to the instantaneous CAPM. Absence of instantaneous arbitrage is equivalent to the existence of a trading strategy which satisfies the CAPM beta pricing relation in place of the market. Thus the difference between the arbitrag…
New formula for instantaneous frequency in unbalanced systems.
We examine optimal execution models that take into account both market microstructure impact and informational costs. Informational footprint is related to order flow and is represented by the trader's influence on the flow imbalance process, while microstructure influence is captured by instantaneous price impact. We …
Study uses machine learning to optimize stock trading strategies.
Study optimal stock purchases under fluctuating market resilience.
iCITRIS learns causal variables from interactive systems with instantaneous effects.
Modeling fees impacts on arbitrage profits and LP losses in AMMs.
It is shown that a lagrangian system whose Legendre transformation degenerates along a hypersurface behaves in a strange manner by jumping from time to time without any ''visible cause''. In such a jump the system changes instantaneously its coordinates as well as its momenta. The mathematical dscription of the phenome…
We investigate the joint dynamics of spot and implied volatility from an empirical perspective. We focus on the equity market with the SPX Index our underlying of choice. Using only observable quantities, we extract the instantaneous variance curves implied by the market and study their daily variations jointly with sp…
The Ricci flow preserves product structures with instantaneous curvature bounds.
Paper revises power theory using classical mechanics concepts.
This paper presents a novel one-factor stochastic volatility model where the instantaneous volatility of the asset log-return is a diffusion with a quadratic drift and a linear dispersion function. The instantaneous volatility mean reverts around a constant level, with a speed of mean reversion that is affine in the in…
Study cryptocurrency price dynamics using adaptive EMD and spectral analysis.
Modeling continuous movement of entities in latent space for interaction timing.
We study hedging and pricing of unattainable contingent claims in a non-Markovian regime-switching financial model. Our financial market consists of a bank account and a risky asset whose dynamics are driven by a Brownian motion and a multivariate counting process with stochastic intensities. The interest rate, drift, …
Modeling bank portfolio risk under climate transition impacts.
Working on different aspects of algorithmic trading we empirically discovered a new market invariant. It links together the volatility of the instrument with its traded volume, the average spread and the volume in the order book. The invariant has been tested on different markets and different asset classes. In all cas…
Collective behaviours taking place in financial markets reveal strongly correlated states especially during a crisis period. A natural hypothesis is that trend reversals are also driven by mutual influences between the different stock exchanges. Using a maximum entropy approach, we find coordinated behaviour during tre…
In this paper we formulate the now classical problem of optimal liquidation (or optimal trading) inside a Mean Field Game (MFG). This is a noticeable change since usually mathematical frameworks focus on one large trader in front of a "background noise" (or "mean field"). In standard frameworks, the interactions betwee…
Estimates chirp signal frequencies using probabilistic models.
A new principle minimizes residual and introduces momentum to improve PDE solution dynamics.
New model identifies regimes in non-stationary data.
To convert standard Brownian motion into a positive process, Geometric Brownian motion (GBM) is widely used. We generalize this positive process by introducing an asymmetry parameter which describes the instantaneous volatility whenever the process reaches a new low. For our new process, …