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.
We present a reactive beta model that includes the leverage effect to allow hedge fund managers to target a near-zero beta for market neutral strategies. For this purpose, we derive a metric of correlation with leverage effect to identify the relation between the market beta and volatility changes. An empirical test ba…
This paper introduces a new market making approach using scaled beta distributions.
The study explains how market-makers' hedging affects stock volatility during gamma-squeeze events.
New f-Betas for portfolio optimization using f-divergence risk measures.
Machine learning improves beta forecasts, enhancing equity valuation and portfolio performance.
New estimator reveals intraday betas mainly driven by correlations.
Smart beta, also known as strategic beta or factor investing, is the idea of selecting an investment portfolio in a simple rule-based manner that systematically captures market inefficiencies, thereby enhancing risk-adjusted returns above capitalization-weighted benchmarks. We explore the idea of applying a smart strat…
NeuralBeta uses deep learning to estimate beta, outperforming traditional methods.
Study finds significant premium for low-beta stocks in firm-level idiosyncratic return distributions.
Betas are possibly the most frequently applied tool to analyze how securities relate to the market. While in very widespread use, betas only express dynamics derived from second moment statistics. Financial returns data often deviate from normal assumptions in the sense that they have significant third and fourth order…
Study long-only minimum variance portfolio in one-factor market with arbitrary sign betas.
We investigate a solution for the problems related to the application of multivariate GARCH models to markets with a large number of stocks by restricting the form of the conditional covariance matrix. The model is a factor model and uses only six free GARCH parameters. One factor can be interpreted as the market compo…
Study examines time-varying betas and their volatility in bank interest income and expense margins.
New approach to Generalized Beta family using SDEs.
CAPM interpretation is flawed; beta reflects proxy for underlying driver, not causal transmission.
We introduce the stochastic multiplicative point process modelling trading activity of financial markets. Such a model system exhibits power-law spectral density S(f) ~ 1/f**beta, scaled as power of frequency for various values of beta between 0.5 and 2. Furthermore, we analyze the relation between the power-law autoco…
We give an explicit formulaic algorithm and source code for building long-only benchmark portfolios and then using these benchmarks in long-only market outperformance strategies. The benchmarks (or the corresponding betas) do not involve any principal components, nor do they require iterations. Instead, we use a multif…
Study uses CSIE to estimate portfolio volatility relative to market.
This paper examines the validity of the Capital Asset Pricing Model (CAPM) on the Ugandan stock market using monthly stock returns from 10 of the 11 companies listed on the Uganda Stock Exchange (USE), for the period 1st March 2007 to 10th November 2009. Due to the absence of readily available Uganda Stock Exchange(USE…
Beta is a widely used quantity in investment analysis. We review the common interpretations that are applied to beta in finance and show that the standard method of estimation - least squares regression - is inconsistent with these interpretations. We present the case for an alternative beta estimator which is more app…
Beta-SOD detects and corrects noisy object re-identification using cosine similarity and Beta mixtures.
The financial crisis of 2008 generated interest in more transparent, rules-based strategies for portfolio construction, with Smart beta strategies emerging as a trend among institutional investors. While they perform well in the long run, these strategies often suffer from severe short-term drawdown (peak-to-trough dec…
Investment strategy for NYSE stocks minimizes market correlation.
The study identifies key factors affecting cryptocurrency prices, including market beta, trading volume, and volatility.
This paper introduces a new market-based carbon risk measure for portfolio optimization.
This paper investigates how two important sources of risk -- market tail risk and extreme market volatility risk -- are priced into the cross-section of asset returns across various investment horizons. To identify such risks, we propose a quantile spectral beta representation of risk based on the decomposition of cova…
This paper explores portfolio management strategies to maximize alpha and minimize beta.
Copulas model cross-product effects in intraday power markets.
Study analyzes AI's impact on firms, markets, and workers using large language model data.
Equity activity is an essential topic for financial market studies. To explore its statistical regularities, we comprehensively examine the trading value, a measure of the equity activity, of the 3314 most-traded stocks in the U.S. equity market and find that (i) the trading values follow a log-normal distribution; (ii…
New tests for identifying the number of latent factors in short panels with small time dimensions.
Proposes a new factor to improve BAB strategies by recognizing bad-beta assets.
Paper develops new spot regression estimators using candlesticks for asset pricing.
Signals consisting of a sequence of pulses show that inherent origin of the 1/f noise is a Brownian fluctuation of the average interevent time between subsequent pulses of the pulse sequence. In this paper we generalize the model of interevent time to reproduce a variety of self-affine time series exhibiting power spec…
Proposes logistic-beta process for modeling dependent probabilities with beta marginals.
This paper studies the concept of instantaneous arbitrage in continuous time and its relation to the instantaneous CAPM. Absence of instantaneous arbitrage is equivalent to the existence of a trading strategy which satisfies the CAPM beta pricing relation in place of the market. Thus the difference between the arbitrag…
Study finds significant BTC co-movements with equity markets, highlighting dynamic risk management needs.
In an analysis of the US, the UK, and the German stock market we find a change in the behavior based on the stock's beta values. Before 2006 risky trades were concentrated on stocks in the IT and technology sector. Afterwards risky trading takes place for stocks from the financial sector. We show that an agent-based mo…
The study assesses carbon risk in investment portfolios and proposes new management strategies.
We discuss the foundations of factor or regression models in the light of the self-consistency condition that the market portfolio (and more generally the risk factors) is (are) constituted of the assets whose returns it is (they are) supposed to explain. As already reported in several articles, self-consistency implie…
A beta-negative binomial (BNB) process is proposed, leading to a beta-gamma-Poisson process, which may be viewed as a "multi-scoop" generalization of the beta-Bernoulli process. The BNB process is augmented into a beta-gamma-gamma-Poisson hierarchical structure, and applied as a nonparametric Bayesian prior for an infi…
Blockchain funds balance risk and return for various investors.
The beta-Bernoulli process provides a Bayesian nonparametric prior for models involving collections of binary-valued features. A draw from the beta process yields an infinite collection of probabilities in the unit interval, and a draw from the Bernoulli process turns these into binary-valued features. Recent work has …
Beta diffusion generates bounded data using multiplicative transitions.
We show that the stick-breaking construction of the beta process due to Paisley, et al. (2010) can be obtained from the characterization of the beta process as a Poisson process. Specifically, we show that the mean measure of the underlying Poisson process is equal to that of the beta process. We use this underlying re…
AlphaZeroBeta uses deep reinforcement learning for market-neutral portfolios, outperforming traditional methods.
In this paper, the geometric meaning of (alpha,beta)-norms is made clear. On this basis, we introduce a new class of Finsler metrics called general (alpha,beta)-metrics, which are defined by a Riemannian metric and an 1-form. These metrics not only generalize original (alpha,beta)-metrics naturally, but also include so…
Study beta function for convex billiard maps, linking spectral invariants.