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.
XGB-Chiarella model generates realistic intra-day financial price data using agent-based models.
Paper models and forecasts intra-day electricity price spreads.
We point out a stunning time asymmetry in the short time cross correlations between intra-day and overnight volatilities (absolute values of log-returns of stock prices). While overnight volatility is significantly (and positively) correlated with the intra-day volatility during the \textit{following} day (allowing thu…
In this paper we perform a statistical analysis over the returns and relative prices of the CAC and the S\&P with the purpose of analyzing the intra-day seasonalities of single and cross-sectional stock dynamics. In order to do that, we characterized the dynamics of a stock (or a set of stocks) by the evolut…
Generative model simulates financial market price variations from order flow.
How and why stock prices move is a centuries-old question still not answered conclusively. More recently, attention shifted to higher frequencies, where trades are processed piecewise across different timescales. Here we reveal that price impact has a universal non-linear shape for trades aggregated on any intra-day sc…
In finance, the weak form of the Efficient Market Hypothesis asserts that historic stock price and volume data cannot inform predictions of future prices. In this paper we show that, to the contrary, future intra-day stock prices could be predicted effectively until 2009. We demonstrate this using two different profita…
We decompose, within an ARCH framework, the daily volatility of stocks into overnight and intra-day contributions. We find, as perhaps expected, that the overnight and intra-day returns behave completely differently. For example, while past intra-day returns affect equally the future intra-day and overnight volatilitie…
Modeling price formation in intraday electricity markets with renewable generation.
A new theory for pricing options of a stock is presented. It is based on the assumption that while successive variations in return are uncorrelated, the frequency with which a stock is traded depends on the value of the return. The solution to the Fokker-Planck equation is shown to be an asymmetric exponential distribu…
Quantum theory explains price dynamics in financial markets, capturing bid-ask spread and ergodicity.
Study on price formation in a market with a major player and minor firms.
We seek to utilize the nonextensive statistics to the microscopic modeling of the interacting many-investor dynamics that drive the price changes in a market. The statistics of price changes are known to be fit well by the Students-T and power-law distributions of the nonextensive statistics. We therefore derive models…
Model asset pricing with habit formation in a large market.
Deep model predicts Bitcoin price movements without retraining.
Analyzes how order flow affects price formation in financial markets.
MiFID II impacts European stock liquidity and price formation.
Bayesian framework explains price formation with learning and market impact.
Optimal trading strategies identified in electricity markets with a major player.
This paper studies how relative performance concerns affect stock prices in a tree-like market model.
The new digital revolution of big data is deeply changing our capability of understanding society and forecasting the outcome of many social and economic systems. Unfortunately, information can be very heterogeneous in the importance, relevance, and surprise it conveys, affecting severely the predictive power of semant…
Study reveals jumps in crypto markets predict future prices.
Game-theoretic models predict asset prices in financial markets.
Financial economic models often assume that investors know (or agree on) the fundamental value of the shares of the firm, easing the passage from the individual to the collective dimension of the financial system generated by the Share Exchange over time. Our model relaxes that heroic assumption of one unique "true val…
We develop a theory of securities price formation and dynamics based on quantum approach and without presuming any similarities with quantum mechanics. Disorder introduced by trading environment leads to probability distribution of returns that is not a smooth curve, but a speckle-pattern fluctuating in both price coor…
Study on stock price formation on trees with multi-population and non-rational agents.
Survey of methods to incorporate external knowledge into stock price prediction.
The study identifies features making cross-impact relevant in explaining price variance of US assets.
A simple Ising spin model which can describe the mechanism of price formation in financial markets is proposed. In contrast to other agent-based models, the influence does not flow inward from the surrounding neighbors to the center site, but spreads outward from the center to the neighbors. The model thus describes th…
In this work we investigate intra-day patterns of activity on a population of 7,261 users of mobile health wearable devices and apps. We show that: (1) using intra-day step and sleep data recorded from passive trackers significantly improves classification performance on self-reported chronic conditions related to ment…
Study on price formation among investors with exponential utility and liabilities.
Using a large-scale Deep Learning approach applied to a high-frequency database containing billions of electronic market quotes and transactions for US equities, we uncover nonparametric evidence for the existence of a universal and stationary price formation mechanism relating the dynamics of supply and demand for a s…
Distributions of assets returns exhibit a slight skewness. In this note we show that our model of endogenous price formation \cite{Reimann2006} creates an asymmetric return distribution if the price dynamics are a process in which consecutive trading periods are dependent from each other in the sense that opening price…
We consider an auction market in which market makers fill the order book during a given time period while some other investors send market orders. We define the clearing price of the auction as the price maximizing the exchanged volume at the clearing time according to the supply and demand of each market participants.…
New method identifies informed traders in prediction markets.
Study optimal auction formats for maximizing MEV on Ethereum.
The formation of price in a financial market is modelled as a chain of Ising spin with three fundamental figures of trading. We investigate the time behaviour of the model, and we compare the results with the real EURO/USD change rate. By using the test of local Poisson hypothesis, we show that this minimal model leads…
The study compares uniform-price and discriminatory auctions in terms of learning difficulty.
We investigate triangular arbitrage within the spot foreign exchange market using high-frequency executable prices. We show that triangular arbitrage opportunities do exist, but that most have short durations and small magnitudes. We find intra-day variations in the number and length of arbitrage opportunities, with la…
This review explores probabilistic forecasting methods in evolving energy markets.
This paper develops a model of liquidity provision in financial markets by adapting the Madhavan, Richardson, and Roomans (1997) price formation model to realistic order books with quote discretization and liquidity rebates. We postulate that liquidity providers observe a fundamental price which is continuous, efficien…
We use standard physics techniques to model trading and price formation in a market under the assumption that order arrival and cancellations are Poisson random processes. This model makes testable predictions for the most basic properties of a market, such as the diffusion rate of prices, which is the standard measure…
Model quantifies market price of trading liquidity risk and market depth.
When modelling stock market dynamics, the price formation is often based on an equilbrium mechanism. In real stock exchanges, however, the price formation is goverend by the order book. It is thus interesting to check if the resulting stylized facts of a model with equilibrium pricing change, remain the same or, more g…
This paper examines the intra-day seasonality of transacted limit and market orders in the DEM/USD foreign exchange market. Empirical analysis of completed transactions data based on the Dealing 2000-2 electronic inter-dealer broking system indicates significant evidence of intraday seasonality in returns and return vo…
The impact of trades on asset prices is a crucial aspect of market dynamics for academics, regulators and practitioners alike. Recently, universal and highly nonlinear master curves were observed for price impacts aggregated on all intra-day scales [1]. Here we investigate how well these curves, their scaling, and the …
Efficiently price high-dimensional Bermudan options using tensor compression.
New model predicts energy prices under different scenarios.