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.
Spectral Adaptive Conformal Prediction for Structured Non-Exchangeable Data
Statistical test verifies long-term rating system calibration with overlapping time windows.
Develops forecast hedging for improved calibration of forecasts.
Proposes a compensation mechanism for improving individual forecast confidence.
CJE calibrates cheap LLM judges against an oracle, achieving high accuracy at a fraction of the cost.
Deep neural network (DNN) regression models are widely used in applications requiring state-of-the-art predictive accuracy. However, until recently there has been little work on accurate uncertainty quantification for predictions from such models. We add to this literature by outlining an approach to constructing predi…
This study examines the interaction between CDS and stock indices, revealing significant short and long-term impacts.
This paper uses SDEs to analyze GANs training and long-run behavior.
CAP algorithm controls FCR in online selective prediction.
We study the portfolio selection problem of a long-run investor who is maximising the asymptotic growth rate of her expected utility. We show that, somewhat surprisingly, it is essentially not affected by introduction of a floor constraint which requires the wealth process to dominate a given benchmark at all times. We…
A new method for online prediction uncertainty quantification in non-exchangeable panel data.
It is well known that the Cox-Ingersoll-Ross (CIR) stochastic model to study the term structure of interest rates, as introduced in 1985, is inadequate for modelling the current market environment with negative short interest rates. Moreover, the diffusion term in the rate dynamics goes to zero when short rates are sma…
Trading styles affect long-run variance of asset prices, increasing under trend-following and decreasing under mean-reverting.
This paper develops a method to derive optimal portfolios and risk premia explicitly in a general diffusion model for an investor with power utility and a long horizon. The market has several risky assets and is potentially incomplete. Investment opportunities are driven by, and partially correlated with, state variabl…
In the paper portfolio optimization over long run risk sensitive criterion is considered. It is assumed that economic factors which stimulate asset prices are ergodic but non necessarily uniformly ergodic. Solution to suitable Bellman equation using local span contraction with weighted norms is shown. The form of optim…
Investigates long-term performance of multi-fidelity Bayesian optimization.
The study examines pricing American options with both exogenous and endogenous transaction costs.
The study identifies key factors affecting cryptocurrency prices, including market beta, trading volume, and volatility.
Machine learning improves measuring climate adaptation impacts.
Cover's celebrated theorem states that the long run yield of a properly chosen "universal" portfolio is as good as the long run yield of the best retrospectively chosen constant rebalanced portfolio. The "universality" pertains to the fact that this result is model-free, i.e., not dependent on an underlying stochastic …
We build a multiassets heterogeneous agents model with fundamentalists and chartists, who make investment decisions by maximizing the constant relative risk aversion utility function. We verify that the model can reproduce the main stylized facts in real markets, such as fat-tailed return distribution and long-term mem…
The paper analyzes how SGD visits different regions of a non-convex problem's state space.
Extended model ensures long-term survival of traders in limited stock market participation.
This paper analyzes the process of long-run co-movements and stock market globalization on the basis of cointegration tests and vector error correction (VEC) models. The cointegration tests used here allow for structural breaks to be explicitly modeled and breakpoints to be computed on a relative-time basis. The data u…
Hybrid method improves sampling from multimodal distributions.
We test for the long-run relationship between stock prices, inflation and its uncertainty for different U.S. sector stock indexes, over the period 2002M7 to 2015M10. For this purpose we use a cointegration analysis with one structural break to capture the crisis effect, and we assess the inflation uncertainty based on …
Stochastic defense improves natural classifiers against adversarial attacks.
Volatility of S&P 500 daily returns increases over 60 years.
CSA fills a gap in RLVR-trained LLM deployment by providing anytime-valid selective risk control.
Improves predictions by integrating forward-looking views into dynamic factor models.
This article examines arbitrage investment in a mispriced asset when the mispricing follows the Ornstein-Uhlenbeck process and a credit-constrained investor maximizes a generalization of the Kelly criterion. The optimal differentiable and threshold policies are derived. The optimal differentiable policy is linear with …
We study the market selection hypothesis in complete financial markets, populated by heterogeneous agents. We allow for a rich structure of heterogeneity: individuals may differ in their beliefs concerning the economy, information and learning mechanism, risk aversion, impatience and 'catching up with Joneses' preferen…
We generalize the classic Shiller cyclically adjusted price-earnings ratio (CAPE) used for prediction of future total returns of the stock market. We treat earnings growth as exogenous. The difference between log wealth and log earnings is modeled as an autoregression of order 1 with linear trend 4.6% and Gaussian inno…
Study examines how risk tolerance impacts long-term investment returns.
In this paper long-run risk sensitive optimisation problem is studied with dyadic impulse control applied to continuous-time Feller-Markov process. In contrast to the existing literature, focus is put on unbounded and non-uniformly ergodic case by adapting the weight norm approach. In particular, it is shown how to com…
In this paper we consider long-run risk sensitive average cost impulse control applied to a continuous-time Feller-Markov process. Using the probabilistic approach, we show how to get a solution to a suitable continuous-time Bellman equation and link it with the impulse control problem. The optimal strategy for the und…
Bubbles are essential in certain economic models with high growth and low interest rates.
Study finds dividend policy has no significant effect on IPO stock prices.
A Bayesian agent learns about the structure of a stationary process from ob- serving past outcomes. We prove that his predictions about the near future become ap- proximately those he would have made if he knew the long run empirical frequencies of the process.
For environmental problems such as global warming future costs must be balanced against present costs. This is traditionally done using an exponential function with a constant discount rate, which reduces the present value of future costs. The result is highly sensitive to the choice of discount rate and has generated …
Energy consumption in Ecuador has increased significantly during the last decades, affecting negatively the financial position of the country since large energy consumption subsidies are provided in its internal market and Ecuador is mostly a crude oil exporter and oil derivatives importer country. This research seeks …
The paper aims to explore the impacts of bi-demographic structure on the current account and growth. Using a SVAR modeling, we track the dynamic impacts between these underlying variables. New insights have been developed about the dynamic interrelation between population growth, current account and economic growth. Th…
A time-varying cointegration model for foreign exchange rates is presented. Unlike previous studies, we allow the loading matrix in the vector error correction (VEC) model to be varying over time. Because the loading matrix in the VEC model is associated with the speed at which deviations from the long-run relationship…
This paper investigates and compares currency substitution between the currencies of Central and Eastern European (CEE) countries and the euro. In addition, we develop a model with microeconomic foundations, which identifies difference between currency substitution and money demand sensitivity to exchange rate variatio…
Oil prices affect Russian banks' stability, with negative impacts from decreases.
In this paper we test computationally the performance of CAPM in an evolutionary setting. In particular we study the stability of wealth distribution in a financial market where some traders invest as prescribed by CAPM and others behave according to different portfolio rules. Our study is motivated by recent analytica…
The paper analyzes the stationarity of stochastic Volterra integral equations and introduces fake stationary regimes.
This paper derives explicit formulas for both the small and large time limits of the implied volatility in the minimal market model. It is shown that interest rates do impact on the implied volatility in the long run even though they are negligible in the short time limit.