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.
AlphaLogics mines market logic to generate interpretable alpha factors.
MarS simulates financial markets using generative models.
Paper generalizes Hardy-Rogers maps for market equilibrium analysis in duopoly markets.
Generative Adversarial Networks simulate realistic market interactions.
TRADES generates realistic market simulations for financial modeling.
Market-GAN adds context control to financial market data generation.
New market makers improve on existing models in DeFi.
Generates realistic stock market order streams using GANs.
This research improves capital efficiency and impermanent loss in cryptocurrency markets using multi-token trading pools.
In most OTC markets, a small number of market makers provide liquidity to other market participants. More precisely, for a list of assets, they set prices at which they agree to buy and sell. Market makers face therefore an interesting optimization problem: they need to choose bid and ask prices for making money while …
Almost twenty years ago, E.R. Fernholz introduced portfolio generating functions which can be used to construct a variety of portfolios, solely in the terms of the individual companies' market weights. I. Karatzas and J. Ruf recently developed another methodology for the functional construction of portfolios, which lea…
Financial market dynamics is rigorously studied via the exact generalized Langevin equation. Assuming market Brownian self-similarity, the market return rate memory and autocorrelation functions are derived, which exhibit an oscillatory-decaying behavior with a long-time tail, similar to empirical observations. Individ…
Financial Wind Tunnel generates versatile market data for model testing.
Paper proposes DigMA to generate controllable financial market orders.
Study optimizes SREC generation and trading in solar energy markets.
Modeling price formation in intraday electricity markets with renewable generation.
Study shows market makers can cooperate without communication.
Study tests financial market efficiency using random number generator tests.
A market portfolio is a portfolio in which each asset is held at a weight proportional to its market value. Functionally generated portfolios are portfolios for which the logarithmic return relative to the market portfolio can be decomposed into a function of the market weights and a process of locally finite variation…
Optimal market making strategy for electronic markets with persistent order flows.
Market Mill is a complex dependence pattern leading to nonlinear correlations and predictability in intraday dynamics of stock prices. The present paper puts together previous efforts to build a dynamical model reflecting the market mill asymmetries. We show that certain properties of the conditional dynamics at a sing…
An open market is a subset of an entire equity market composed of a certain fixed number of top capitalization stocks. Though the number of stocks in the open market is fixed, the constituents of the market change over time as each company's rank by its market capitalization fluctuates. When one is allowed to invest al…
Generative neural networks improve insurance market risk modeling.
Two markets should be considered isomorphic if they are financially indistinguishable. We define a notion of isomorphism for financial markets in both discrete and continuous time. We then seek to identify the distinct isomorphism classes, that is to classify markets. We classify complete one-period markets. We define …
TradeFM learns market microstructure from trade events, improving financial model accuracy.
Neuro-symbolic traders suppress market prices, highlighting risks to stability.
In a financial market model, we consider variations of the problem of minimizing the expected time to upcross a certain wealth level. For exponential Levy markets, we show the asymptotic optimality of the growth-optimal portfolio for the above problem and obtain tight bounds for the value function for any wealth level.…
In this short note, we study an optimization problem of expected implementation shortfall (IS) cost under general shaped market impact functions. In particular, we find that an optimal strategy is a VWAP (volume weighted average price) execution strategy when the market model is a Black-Scholes type with stochastic clo…
The paper analyzes binary option markets with exogenous information and price sensitivity.
This study examines whether the efficiency of cryptocurrency markets (Bitcoin and Ethereum) evolve over time based on Lo's (2004) adaptive market hypothesis (AMH). In particular, we measure the degree of market efficiency using a generalized least squares-based time-varying model that does not depend on sample size, un…
A Deep Q-Learning framework tackles market-making by incorporating closing auctions.
Considered an important macroeconomic indicator, the Purchasing Managers' Index (PMI) on Manufacturing generally assumes that PMI announcements will produce an impact on stock markets. International experience suggests that stock markets react to negative PMI news. In this research, we empirically investigate the stock…
Study on liquidity and market efficiency in auction games with imperfect information.
China's stock market is the largest emerging market all over the world. It is widely accepted that the Chinese stock market is far from efficiency and it possesses possible linear and nonlinear dependence. We study the predictability of returns in the Chinese stock market by employing the wild bootstrap automatic varia…
Optimized execution model using interbank and internal liquidity.
We present a new framework for Hermite fractional financial markets, generalizing the fractional Brownian motion and fractional Rosenblatt markets. Considering pure and mixed Hermite markets, we introduce a strategy-specific arbitrage tax on the rate of transaction volume acceleration of the hedging portfolio as the pr…
This study uses AI to analyze financial market coverage from YouTube videos.
Model approximates market prices and returns without prior market dynamics.
We propose a simple stochastic model of market behavior. Dividing market participants into two groups: trend-followers and fundamentalists, we derive the general form of a stochastic equation of market dynamics. The model has two characteristic time scales: the time of changes of market environment and the characterist…
Study shows how market efficiency changes during the pandemic.
A generalization of the Cont-Bouchaud market model to three markets agrees with the correlations netween New York, Tokyo, and Frankfurt observed by Vandewalle et al.
Modeling financial chaos with market makers' risk appetite.
The paper analyzes how stock market dimensionality changes impact portfolio performance.
Uniswap -- and other constant product markets -- appear to work well in practice despite their simplicity. In this paper, we give a simple formal analysis of constant product markets and their generalizations, showing that, under some common conditions, these markets must closely track the reference market price. We al…
DiffLOB models future market conditions for better decision-making.
This study optimizes crypto-market trading conditions without assuming convexity.
In this paper we explore the usage of deep reinforcement learning algorithms to automatically generate consistently profitable, robust, uncorrelated trading signals in any general financial market. In order to do this, we present a novel Markov decision process (MDP) model to capture the financial trading markets. We r…
Biondi et al. (2012) develop an analytical model to examine the emergent dynamic properties of share market price formation over time, capable to capture important stylized facts. These latter properties prove to be sensitive to regulatory regimes for fundamental information provision, as well as to market confidence c…