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.
Activists align with large fund preferences for success.
Investor-driven information diffusion affects excess comovement in China and the U.S. markets.
The paper analyzes frameworks for integrating sustainability into investment decisions.
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…
Study shows institutional investments significantly impact cryptocurrency market evolution.
Traders in a stock market exchange stock shares and form a stock trading network. Trades at different positions of the stock trading network may contain different information. We construct stock trading networks based on the limit order book data and classify traders into classes using the -shell decomposition m…
Financial markets are exposed to systemic risk, the risk that a substantial fraction of the system ceases to function and collapses. Systemic risk can propagate through different mechanisms and channels of contagion. One important form of financial contagion arises from indirect interconnections between financial insti…
GAICF proposes a framework for governing generative AI in banking.
GAICF proposes a framework for managing generative AI risks in banking.
This paper reviews the checkered history of predictive distributions in statistics and discusses two developments, one from recent literature and the other new. The first development is bringing predictive distributions into machine learning, whose early development was so deeply influenced by two remarkable groups at …
The study of fairness in intelligent decision systems has mostly ignored long-term influence on the underlying population. Yet fairness considerations (e.g. affirmative action) have often the implicit goal of achieving balance among groups within the population. The most basic notion of balance is eventual equality bet…
Study predicts customer data sharing in Open Banking and explains key factors.
Following the financial crisis of 2007-2008, a deep analogy between the origins of instability in financial systems and complex ecosystems has been pointed out: in both cases, topological features of network structures influence how easily distress can spread within the system. However, in financial network models, the…
In this paper we study the effect of network structure between agents and objects on measures for systemic risk. We model the influence of sharing large exogeneous losses to the financial or (re)insuance market by a bipartite graph. Using Pareto-tailed losses and multivariate regular variation we obtain asymptotic resu…
The paper analyzes how mutable blockchain protocols affect miner behavior and strategic stability.
Study shows GDP and CPI predict CCC funding, highlighting need for economic forecasting.
This paper studies business cycle patterns in UK sectoral output. It analyzes the distinction between white noise processes and their non-white noise counterparts in the frequency domain and further examines the associated features and patterns for the process where white noise conditions are violated. The characterist…
Study shows investor sentiment boosts intraday trading in Chinese markets.
We introduce a framework to infer lead-lag networks between the states of elements of complex systems, determined at different timescales. As such networks encode the causal structure of a system, infering lead-lag networks for many pairs of timescales provides a global picture of the mutual influence between timescale…
The asymmetric price impact between the institutional purchases and sales of 32 liquid stocks in Chinese stock markets in year 2003 is carefully studied. We analyze the price impact in both drawup and drawdown trends with consecutive positive and negative daily price changes, and test the dependence of the price impact…
Model assesses loan profitability under changing credit conditions.
Study examines factors influencing lending to SMEs by Kenyan banks.
Study shows foreign institutional investment increases liquidity commonality in large Australian stocks.
Paper discusses how financial institutions' model risk management can benefit academic research.
We introduce the Speculative Influence Network (SIN) to decipher the causal relationships between sectors (and/or firms) during financial bubbles. The SIN is constructed in two steps. First, we develop a Hidden Markov Model (HMM) of regime-switching between a normal market phase represented by a geometric Brownian moti…
This paper tests LLMs in finance to assess ethical behavior.
The standard theory of coherent risk measures fails to consider individual institutions as part of a system which might itself experience instability and spread new sources of risk to the market participants. In compliance with an approach adopted by Shapley and Shubik (1969), this paper proposes a cooperative market g…
Genome-wide association studies (GWAS) offer new opportunities to identify genetic risk factors for Alzheimer's disease (AD). Recently, collaborative efforts across different institutions emerged that enhance the power of many existing techniques on individual institution data. However, a major barrier to collaborative…
Codebook for Institutional Grammar 2.0 simplifies policy encoding.
Study examines Trump's crypto influence on markets, revealing conflicts and vulnerabilities.
Financial crime is a large and growing problem, in some way touching almost every financial institution. Financial institutions are the front line in the war against financial crime and accordingly, must devote substantial human and technology resources to this effort. Current processes to detect financial misconduct h…
HyFi cryptocurrencies backed by institutions show lower price risk than fully decentralized ones.
This paper uses MIS to identify key financial institutions with minimal risk contagion.
We analyze cascades of defaults in an interbank loan market. The novel feature of this study is that the network structure and the size distribution of banks are derived from empirical data. We find that the ability of a defaulted institution to start a cascade depends on an interplay of shock size and connectivity. Fu…
This paper analyzes correlations in patterns of trading of different members of the London Stock Exchange. The collection of strategies associated with a member institution is defined by the sequence of signs of net volume traded by that institution in hour intervals. Using several methods we show that there are signif…
Reflective of income and wealth distributions, philanthropic gifting appears to follow an approximate power-law size distribution as measured by the size of gifts received by individual institutions. We explore the ecology of gifting by analysing data sets of individual gifts for a diverse group of institutions dedicat…
In aircraft industry, market needs evolve quickly in a high competitiveness context. This requires adapting a given aircraft model in minimum time considering for example an increase of range or the number of passengers (cf A330 NEO family). The computation of loads and stress to resize the airframe is on the critical …
Study examines how institutional differences and crises affect volatility in ASEAN stock markets.
The average portfolio structure of institutional investors is shown to have properties which account for transaction costs in an optimal way. This implies that financial institutions unknowingly display collective rationality, or Wisdom of the Crowd. Individual deviations from the rational benchmark are ample, which il…
An article based on a four-lecture introductory minicourse on minimal surface theory given at the 2013 summer program of the Institute for Advanced Study and the Park City Mathematics Institute.
Proof-of-Stake networks with EIP-1559 exhibit stable token prices and secure network security.
Financial institutions use LSTM models to predict customer goals.
Counterparty risk denotes the risk that a party defaults in a bilateral contract. This risk not only depends on the two parties involved, but also on the risk from various other contracts each of these parties holds. In rather informal markets, such as the OTC (over-the-counter) derivative market, institutions only rep…
The paper introduces GAER to assess market feasibility under geopolitical and institutional constraints.
A counterparty credit limit (CCL) is a limit that is imposed by a financial institution to cap its maximum possible exposure to a specified counterparty. CCLs help institutions to mitigate counterparty credit risk via selective diversification of their exposures. In this paper, we analyze how CCLs impact the prices tha…
Recent financial disasters emphasised the need to investigate the consequence associated with the tail co-movements among institutions; episodes of contagion are frequently observed and increase the probability of large losses affecting market participants' risk capital. Commonly used risk management tools fail to acco…
In those lecture notes, we review some applications of heat semigroups methods in Riemannian and sub-Riemannian geometry. The notes contain parts of courses taught at Purdue University, Institut Henri Poincaré, Levico Summer School and Tata Institute.
Deep learning models for semantic segmentation of images require large amounts of data. In the medical imaging domain, acquiring sufficient data is a significant challenge. Labeling medical image data requires expert knowledge. Collaboration between institutions could address this challenge, but sharing medical data to…