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.
Introduces an asymmetric model for measuring market risk.
Study compares short vs long strategies for equity factors, finds short strategy better.
An analysis of the Japanese credit market in 2004 between banks and quoted firms is done in this paper using the tools of the networks theory. It can be pointed out that: (i) a backbone of the credit channel emerges, where some links play a crucial role; (ii) big banks privilege long-term contracts; the "minimal spanni…
American Depositary Receipts (ADRs) are exchange-traded certificates that rep- resent shares of non-U.S. company securities. They are major financial instruments for investing in foreign companies. Focusing on Asian ADRs in the context of asyn- chronous markets, we present methodologies and results of empirical analysi…
Achilles predicts Gold vs USD with a profitable trading bot.
Digital transformation boosts corporate financial asset allocation, especially short-term.
Study shows short exposure and systematic risk exposure affect disposition effect asymmetries.
We study the optimal timing strategies for trading a mean-reverting price process with afinite deadline to enter and a separate finite deadline to exit the market. The price process is modeled by a diffusion with an affine drift that encapsulates a number of well-known models,including the Ornstein-Uhlenbeck (OU) model…
Deep learning models improve stock portfolio performance.
It is suggested to consider long term trends of financial markets as a growth phenomenon. The question that is asked is what conditions are needed for a long term sustainable growth or contraction in a financial market? The paper discuss the role of traditional market players of long only mutual funds versus hedge fund…
We show that the efficient frontier for a portfolio in which short positions precisely offset the long ones is composed of a pair of straight lines through the origin of the risk-return plane. This unique but important case has been overlooked because the original formulation of the mean-variance model by Markowitz as …
We study several optimal stopping problems that arise from trading a mean-reverting price spread over a finite horizon. Modeling the spread by the Ornstein-Uhlenbeck process, we analyze three different trading strategies: (i) the long-short strategy; (ii) the short-long strategy, and (iii) the chooser strategy, i.e. th…
The definition of deposit substitutes in Philippine tax law fails to consider the maturity of a debt instrument. This makes it possible for long-term bonds to be considered as deposit substitutes if they meet the 20-lender rule, taxable at 20% final tax. However, long-term debt instruments cannot realistically function…
Wireless traffic prediction is a fundamental enabler to proactive network optimisation in beyond 5G. Forecasting extreme demand spikes and troughs due to traffic mobility is essential to avoiding outages and improving energy efficiency. Current state-of-the-art deep learning forecasting methods predominantly focus on o…
This paper uses DRL for long-short portfolio optimization, improving risk-adjusted returns.
Method for factor analysis in short panels without assuming sphericity or Gaussianity.
New method fuses optical and SAR data to fill LAI gaps during cloudy periods.
Study investigates deep learning for scalable long-term traffic predictions in large transport networks.
WaveLSFormer learns profitable trading policies from financial time series data.
A model-free hedging method using stock crowding scores.
Study examines liquidation, leverage, and optimal margin requirements in Bitcoin futures markets.
We present a generalization of the Simultaneous Long-Short (SLS) trading strategy described in recent control literature wherein we allow for different parameters across the short and long sides of the controller; we refer to this new strategy as Generalized SLS (GSLS). Furthermore, we investigate the conditions under …
Paper finds optimal selling rule for pairs trading with stock constraints.
What predicts the evolution over time of subjective well-being? We correlate the trends of subjective well-being with the trends of social capital and/or GDP. We find that in the long and medium run social capital largely predicts the trends of subjective wellbeing in our sample of countries. In the short-term this rel…
Behavioral theories posit that investor sentiment exhibits predictive power for stock returns, whereas there is little study have investigated the relationship between the time horizon of the predictive effect of investor sentiment and the firm characteristics. To this end, by using a Granger causality analysis in the …
An option market maker incurs funding costs when carrying and hedging inventory. To hedge a net long delta inventory, for example, she pays a fee to borrow stock from the securities lending market. Because of haircuts, she posts additional cash margin to the lender which needs to be financed at her unsecured debt rate.…
In this short paper, we prove a Hitchin-Thorpe type inequality for closed 4-manifolds with non-positive Yamabe invariant, and admitting long time solutions of the normalized Ricci flow equation with bounded scalar curvature.
New RNN model learns from fMRI data better than existing methods.
This paper studies the problem of determining the optimal cut-off for pairs trading rules. We consider two correlated assets whose spread is modelled by a mean-reverting process with stochastic volatility, and the optimal pair trading rule is formulated as an optimal switching problem between three regimes: flat positi…
We propose a stylized model of production and exchange in which long-term investors set their production decision over a horizon τ , the "time to produce", and are liquidity constrained, while financial investors trade over a much shorter horizon δ (<< τ ) and are therefore more duly informed on the exogenous shocks af…
Model combines long-term and short-term memory using conceptors.
This paper studies the problem of trading futures with transaction costs when the underlying spot price is mean-reverting. Specifically, we model the spot dynamics by the Ornstein-Uhlenbeck (OU), Cox-Ingersoll-Ross (CIR), or exponential Ornstein-Uhlenbeck (XOU) model. The futures term structure is derived and its conne…
Optimizes Ethena's yield strategy by controlling stETH and ETH futures positions.
The starting point of this paper is the so-called Robust Positive Expectation (RPE) Theorem, a result which appears in literature in the context of Simultaneous Long-Short stock trading. This theorem states that using a combination of two specially-constructed linear feedback trading controllers, one long and one short…
Kernel method estimates long-term effects from short-term data.
Predicts S&P 500 trends using machine learning models.
New insights into attention mechanisms reveal dramatic trade-offs between rank and heads.
This paper uses Bayesian models to analyze CTA returns across short and long-term trends.
Examines scalar curvature results via covariant and contravariant methods.
A new model decomposes equity returns and volatilities into memory components.
New framework estimates long-term outcomes from short-term data.
Paper compares LSTM and GARCH for estimating value-at-risk.
This study examines the interaction between CDS and stock indices, revealing significant short and long-term impacts.
Study tests rough fractional volatility model across different time scales, revealing new volatility patterns.
QLSTM outperforms LSTM in predicting KSE 100 index movements.
The paper presents the comparative study of the nature of stock markets in short-term and long-term time scales with and without structural break in the stock data. Structural break point has been identified by applying Zivot and Andrews structural trend break model to break the original time series (TSO) into time ser…
This paper reviews methods to create compact neural networks for IoT applications.
In this paper we study a boundary value problem for the Ricci flow in the two dimensional ball endowed with a rotationally symmetric metric. We show short and long time existence results. We construct families of metrics for which the flow uniformizes the curvature along a sequence of times. Finally we show that if the…