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.
Model shows liquidity crises linked to past volatility and price trends.
Optimal early liquidation strategy reduces financial losses during crises.
We review the evidence that the erratic dynamics of markets is to a large extent of endogenous origin, i.e. determined by the trading activity itself and not due to the rational processing of exogenous news. In order to understand why and how prices move, the joint fluctuations of order flow and liquidity - and the way…
We study the relaxation dynamics of the bid-ask spread and of the midprice after a sudden, large variation of the spread, corresponding to a temporary crisis of liquidity in a double auction financial market. We find that the spread decays very slowly to its normal value as a consequence of the strategic limit order pl…
Study examines how institutional differences and crises affect volatility in ASEAN stock markets.
This study maps systemic risks in TradFi and DeFi, highlighting their interdependence.
We present an empirical analysis of the microstructure of financial markets and, in particular, of the static and dynamic properties of liquidity. We find that on relatively large time scales (15 minutes) large price fluctuations are connected to the failure of the subtle mechanism of compensation between the flows of …
Management of the portfolios containing low liquidity assets is a tedious problem. The buyer proposes the price that can differ greatly from the paper value estimated by the seller, the seller, on the other hand, can not liquidate his portfolio instantly and waits for a more favorable offer. To minimize losses in this …
The scope of financial systemic risk research encompasses a wide range of interbank channels and effects, including asset correlation shocks, default contagion, illiquidity contagion, and asset fire sales. This paper introduces a financial network model that combines the default and liquidity stress mechanisms into a "…
Latent order book models have allowed for significant progress in our understanding of price formation in financial markets. In particular they are able to reproduce a number of stylized facts, such as the square-root impact law. An important question that is raised -- if one is to bring such models closer to real mark…
Model predicts asset prices from initial shocks using neural networks.
We develop a model of stable assets, including non-custodial stablecoins backed by cryptocurrencies. Such stablecoins are popular methods for bootstrapping price stability within public blockchain settings. We derive fundamental results about dynamics and liquidity in stablecoin markets, demonstrate that these markets …
Study assesses the impact of Basel III reforms on Bangladeshi banks.
The study extends SPT to account for real-world transaction costs, improving portfolio performance.
We study cross-country GDP losses due to financial crises in terms of frequency (number of loss events per period) and severity (loss per occurrence). We perform the Loss Distribution Approach (LDA) to estimate a multi-country aggregate GDP loss probability density function and the percentiles associated to extreme eve…
Model explains deleveraging risks in non-custodial stablecoins.
Shorting IG ETFs can hedge bond portfolios during market drawdowns effectively.
Study financial crises using mathematical techniques to compare equity performance.
Throughout economic history, the global economy has experienced recurring crises. The persistent recurrence of such economic crises calls for an understanding of their generic features rather than treating them as singular events. The global economic system is a highly complex system and can best be viewed in terms of …
Various works have already showed that common shocks and cross-country financial linkages caused the banking systems of several countries to be highly interconnected with the result that during bad times, banking crises may arise simultaneously in different countries. Our aim is to provide further evidence on the topic…
Emerging economies use countercyclical policies to manage crises and dominant currencies.
Modeling financial crises and cryptocurrency shocks using copulae clustering.
TailCoR measures co-movement of financial crises events.
The paper analyzes the joint dynamics of prices and order flow in electronic order books.
Study evaluates cryptocurrency markets, focusing on Bitcoin.
The paper analyzes XVA reduction strategies in financial crises using Mandatory Breaks, Restructuring, and Resets.
News attention to financial intermediaries and crises predicts excess bond premium and macroeconomic movements.
The self-similar analysis of time series, suggested earlier by the authors, is applied to the description of market crises. The main attention is payed to the October 1929, 1987 and 1997 stock market crises, which can be successfully treated by the suggested approach. The analogy between market crashes and critical phe…
The paper explains the fair basis in bond-CDS trading during financial crises.
New method identifies precursors of financial crises in market correlation structures.
This paper investigates the dynamics of stocks in the S&P500 index for the last 30 years. Using a stochastic geometry technique, we investigate the evolution of the market space and define a new measure for that purpose, which is a robust index of the dynamics of the market structure and provides information on the int…
SRR detects early signs of financial crises using multi-layer graphs.
Banking system crises are complex events that in a short span of time can inflict extensive damage to banks themselves and to the external economy. The crisis literature has so far identified a number of distinct effects or channels that can propagate distress contagiously both directly within the banking network itsel…
Study on Leverage Ratio in European banks during financial crises.
We examine volume computation of general-dimensional polytopes and more general convex bodies, defined as the intersection of a simplex by a family of parallel hyperplanes, and another family of parallel hyperplanes or a family of concentric ellipsoids. Such convex bodies appear in modeling and predicting financial cri…
Study analyzes Airbnb booking lead times during global crises using a new metric.
Herd behavior is an important economic phenomenon, especially in the context of the recent financial crises. In this paper, herd behavior in global stock markets is investigated with a focus on intercontinental comparison. Since most existing herd behavior indices do not provide a comparative method, we propose a new h…
We consider dynamics of financial markets as dynamics of expectations and discuss such a dynamics from the point of view of phenomenological thermodynamics. We describe a financial Carnot cycle and the financial analogue of a heat machine. We see, that while in physics a perpetuum mobile is absolutely impossible, in ec…
Using data from world stock exchange indices prior to and during periods of global financial crises, clusters and networks of indices are built for different thresholds and diverse periods of time, so that it is then possible to analyze how clusters are formed according to correlations among indices and how they evolve…
Optimizes liquidity provision intervals for profitable AMM participation.
Study shows how crypto asset liquidity is affected by wash trading and proposes treatment to reduce liquidity diffusion.
This study examines how economic policy uncertainty impacts commodity prices across different crises.
The study introduces new liquidity measures and models for assets with extreme liquidity.
ASRI index detects crypto market risks with high precision and lead time.
KAN-PCA improves asset return analysis by capturing more variance than classical PCA during market crises.
A liquidity measure based on consideration and price range is proposed. Initially defined for daily data, Liquidity Index (LIX) can also be estimated via intraday data by using a time scaling mechanism. The link between LIX and the liquidity measure based on weighted average bid-ask spread is established. Using this li…
Predicting panic is of critical importance in many areas of human and animal behavior, notably in the context of economics. The recent financial crisis is a case in point. Panic may be due to a specific external threat, or self-generated nervousness. Here we show that the recent economic crisis and earlier large single…
Research proposes a model to estimate transaction costs and assess asset liquidity risk.